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Qifa Xu
Qifa Xu received the B.E. degree in the Department of Mathematics from the Fuyang Normal University, China, the M.S. degree from the Dongbei University of Finance and Economics, China, and the Ph. D. degree in School of Management from the Tianjin University, China, in 2006. He is currently a Professor with the School of Management, the Hefei University of Technology, China. He has held a visiting position of statistics at the Florida State University, USA, from May, 2012 to May, 2013. His research interests include financial big data analysis, financial econometrics, quantile regression, and statistical learning.
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Articles by Qifa Xu
Reinvestigating international crude oil market risk spillovers
This paper develops a copula-GARCH-MIDAS model to estimate the joint probability distribution of multivariate variables, and then derives CoVaR-type risk measures.