You are here: Home > Faculty & Research > Faculty Directory > Full-time Professors >
  • Qian Chen, PhD

  • Assistant Professor
  • PhD, Operations Management and Econometrics,the University of Sydney
  • Fields:Bayesian inference, extreme event forecasting
  • Office Phone Number: +86-755-2603-7541
  • Office Room: RM 757, PHBS Building
  • Email: qianchen@phbs.pku.edu.cn
Research Fields:
Bayesian inference, extreme event forecasting

Education:
Ph.D., Operations Management and Econometrics, The University of Sydney, Sydney, NSW Australia, 2011
MS., Economics, The Hong Kong University of Science and Technology, Hong Kong, 2006
BS, School of Mathematics and Statistics, The Wuhan University, Wuhan, China, 2003
Publications:
The two-sided Weibull distribution and forecasting financial tail risk, International Journal of Forecasting, Volume 29, Issue 4, October–December 2013, Pages 527-540
Qian Chen, Richard H. Gerlach

Bayesian Value-at-Risk and expected shortfall forecasting via the asymmetric Laplace distribution, Computational Statistics and Data Analysis: Special Issue on Computational and Financial Econometrics, 56(11): 3498-3516 (2012), November 1, 2012
Authors: Qian Chen, Richard Gerlach, Zudi Lu

Working papers:
Forecasting Tail Risk via a Partitioned Distribution, Qian Chen, Richard Gerlach