个人信息：

英国曼彻斯特大学金融学博士

硕士生导师

研究领域：金融时间序列分析，期权定价

邮箱：weiliu_cueb@163.com

教育背景：

University of Manchester 博士
Alliance Manchester Business School, 金融学 2015.09—2019.12
University of Manchester 硕士
School of Economics, 经济学 2012.09—2014.09
University of Nottingham 硕士
School of Economics, 金融经济学 2010.09—2011.09

工作经历：

首都经济贸易大学 国际经济管理学院
助理教授 2019.09—至今

教授课程：
2020-至今: 金融计量学（英语）国际经济管理学院 首都经济贸易大学
2019-2020: 金融数据分析（英语）国际经济管理学院 首都经济贸易大学
2016-2018: BMAN21011-Financial markets and institutions, University of Manchester AMBS
2016-2017: BMAN30242-Financial Engineering, University of Manchester AMBS
2016-2017 : ECON20292-Further Statistics, University of Manchester
2014-2015: ECON20110-Econometric

发表论文：
Wei Liu, Ian Garrett, “Regime-dependent effects of macroeconomic uncertainty on realized volatility in the US stock
market.” Economic Modelling 2023, 128:106483.

工作论文：
Ian Garrett, Wei Liu, “Does the Macro-economy contain explanatory information for stock market volatility?
International evidence from the GARCH-MIDAS model”
Ian Garrett, Wei Liu, “Option Valuation using Macroeconomic Information: A Realized Volatility Approach”
Wei Liu, Yiyuan Sun, “The Role of Information Flow on the Dynamic Jumps in Stock Returns.”

科研项目：

国家自然科学基金面上项目（72373106）, 带有交互效应的高维离散选择模型:理论研究及其应用, 2024,01-2027,12,
参与人。
国家社会科学基金委员会，特别委托项目 (2020MYB019), 加快完善社会主义市场经济体制研究， 2020,01-
2020,06，子课题参与人。

荣誉奖励：
2016 金融与会计系-最佳文章摘要奖 曼彻斯特大学
2013-2014 经济系学生奖学金 曼彻斯特大学

学术会议：
2017: 3rd 宏观经济与金融国际会议， 马其顿大学
2018-06: 第11届国际管理风险大会, 里昂商学院， 巴黎第九大学
2018-09: 第25届金融市场预测会议, 塞德商学院， 牛津大学
2018-12: 英国皇家经济学会博士会议, 威斯敏斯特大学
2019-06: 亚洲经济计量年会(AMES), 厦门大学

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Personal information:

PhD in Finance, University of Manchester

Research Interests:

Applied Financial Time Series Analysis , Empirical Asset Pricing

Education Background:

2015-9 to 2019-9 University of Manchester PhD in Finance
2012-9 to 2014-12 University of Manchester Master of Research in Economics.
2010-9 to 2011-9 University of Nottingham Master in Financial Economics.

Working experience:

2019-9 till now Assistant Professor, Capital University of Economics and Business

Working papers:
“Do the macroeconomic variables contain explanatory information for stock market volatility? International evidence from the GARCH-MIDAS model”
Ian Garrett, Wei Liu

“The Role of Macroeconomic Information in High-frequency Realized Volatility: Evaluating Persistence and Structural Change in U.S Stock Market Volatility”
Ian Garrett, Wei Liu

“Option Valuation using Macroeconomic Information: A Realized Volatility Approach” Ian Garrett, Wei Liu

Working in progress:
Option pricing with conditional skewness, Wei Liu

Teaching experience:

Instructor:
2020-2021 Financial Econometrics Capital University of Economics and Business
2019-2020 Financial Data Analysis Capital University of Economics and Business

Teaching assistant: University of Manchester
2016-2018 BMAN21011-Financial markets and institutions
2016-2017 BMAN30242-Financial Engineering
2016-2017 ECON20292-Further Statistics
2014-2015 ECON20110-Econometrics
2014 ECON10062-Introductory Econometrics

Honors and Awards:
2016 Divisional Best Abstract Award (Accounting and Finance Division) Alliance Manchester Business School, University of Manchester

2013-2014 Economic Discipline Area Studentship, University of Manchester

Conference:

3rd International Conference in Applied Macro and Empirical Finance, University of Macedonia, 2017-4-21 to 2017-4-22.

International Risk Management Conference 2018 11th Edition , EM-LYON Business School, Dauphine University , 2018-6-7 to 2018-6-8.

The 25th International Conference on Forecasting Financial Markets, Said Business School, University of Oxford, 2018 -9-5 to 2018-9-7。

Royal Economic Society PhD Meetings , University of Westminster , 2018-12-18至2018-12-19.

Yue Lu Forum, Hunan University China, 2018-12-27至2018-12-28.

2019 Asian Meeting of the Econometrics Society (AMES), Xiamen University , 2019-6-14至2019-6-16.