姓　　名：汪训孝
职　　称：助教授/讲师
研究方向：金融工程，公司金融，能源经济
教授课程：金融计量学，计量经济学，随机过程，非参统计，SAS统计软件
E - mail：wang.xunxiao@sufe.edu.cn；电话：

研究项目
序号 项目名称 项目编号 项目来源 起止时间 项目经费
1 基于动态混合和分层收缩方法的金融波动率预测及传导研究 ** 国家自然科学基金青年项目 2018-2020 19万元
研究领域
基于高频数据金融市场波动率，金融风险管理，能源价格及其波动，供应链金融

教育经历
2011.9-2016.3
上海交通大学安泰经济与管理学院,管理科学与工程(金融工程）,博士

工作经历
2016年8月—至今 上海财经大学统计与管理学院，讲师，硕士生导师
研究成果
1.Wang, X. , Keshab S., Qi, S. 2019. Forecasting realised volatility: a Markov switching approach with time‐varying transition probabilities. Accounting and Finance 59: 1947-1975.
2. Wang, X.*, Yudong, W., 2019. Volatility spillovers between crude oil and Chinese sectoral equity markets: Evidence from a frequency dynamics perspective.Energy Economics, accept
3. Wang, X.*, Wu, C., 2018. Asymmetric Volatility Spillovers Between Crude Oil and International Financial Markets.Energy Economics 74: 592-604.
4. Wang, X.*, Wu, C.,Xu, W., 2015. Volatility forecasting: The role of lunch-break returns, overnight returns, trading volume and leverage effects. International Journal of Forecasting31(3): 609-619.
5. Wang, X., Wu, C.,Xu, W.*, 2015. When to buy or sell in supply chains with the presence of mergers. International Journal of Production Economics163(0): 137-145.
6. Wang, X.*, Diao X., Chen, Y., 2016. What are returns outside trading hours capturing for volatility of individual stocks?Applied Economics Letters.
7. Zhichao Liu, Feng Ma, Xunxiao Wang*, 2015. Forecasting the realized volatility: the roles of jumps. Applied Economics Letters.

奖励，荣誉
2016年 首届上海交通大学优秀博士学位论文
2015年 研究生国家奖学金

社会工作
审稿人
Journal of Business & Economic Statistics
Journal of Finance and Economics
International Journal of Production Economics
China Finance Review International
应用数学学报

学术报告（2008年以来）
1. "Volatility spillovers between stock index and futures markets: A frequency
dynamics perspective", an invited report at the15th Annual Meeting of Chinese Fnance,Guangzhou, China, Nov, 2018.
2. "Forecasting realized volatility: A Markov switching approach with time-varying
transition probabilities", an invited report at theChina Financial Innovation Conference, Zhejiang University,Nov, 2018.
3. Session Chair: Behavioral Finance , at the10th China Finance Review International Conference,Shanghai, China, July, 2017.
4. "Volatility forecasting with Markov-switching heterogeneous autoregressive models", an invited report at the 9th China Finance Review International Conference, Shanghai, China, July, 2016.
5. "Volatility transmission: structural stability and time-varying coefficients", an invited report at the12th Annual Meeting of Chinese Fnance, Wuhan, China, October, 2015.