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罗嘉雯

职称:副教授、硕导

所在系:财务管理系

  • Personal Profile | 个人概况

    罗嘉雯,中山大学博士,十博最佳体育财务管理系副教授、硕士生导师,2011年获中山大学金融学学士学位(中山大学逸仙实验班),2014-2015作为国家公派联合培养博士生前往澳大利亚昆士兰大学交流学习,2016年获中山大学金融学博士学位。主要研究领域为金融经济学、金融风险管理、金融市场微观结构理论、高频时间序列分析、金融预测理论与应用。讲授投资学、投资银行业务与经营、研究方法论等课程。

       Dr. Jiawen Luo is an Associate Professor at Department of Financial Management, School of Business Administration, the South China University of Technology (SCUT). She received her Ph.D. (2016) in Finance from the Sun Yat-sen University (SYSU), and her B.E (2011) in Finance from SYSU, and visited the University of Queensland as a Joined-trained Ph.D. during 2014-2015. Dr. Luo research interests include financial economics, financial Risk management, financial market microstructure, high-frequency time series, theory and application in financial forecasts. She teaches Investments, Investment Banking and Research Methodology.

  • Publications | 发表论文

    Journal Articles | 期刊论文

    - Jiawen Luo, Langnan Chen, Realized volatility forecast with the Bayesian random compressed multivariate HAR model, International Journal of Forecasting, 2019, Forthcoming

    - Jiawen Luo, Langnan Chen, Multivariate realized volatility forecasts of agricultural commodity futures, Journal of Futures Markets, 2019, Forthcoming

    - Jiawen Luo, Tony Klein, Qiang Ji, Chenghan Hou, Forecasting Realized Volatility Of Agricultural Commodity Futures With Infinite Hidden Markov HAR Models, 2019,  International Journal of Forecasting, Forthcoming

    - Jiawen Luo, Shengquan Wang, The Asymmetric High-frequency Volatility Transmission across International Stock Markets, Finance Research Letters, 2019 (31):104-109

    - Jiawen Luo, Langnan Chen, Weiguo Zhang,Covariance breakdowns and connectedness of crude oil futures markets with non-synchronous data, Applied Economics,  2019,51(9), 422-443.

    - Jiawen Luo, Langnan Chen, Modelling and forecasting the multivariate realized volatility of financial markets with time-varying sparsity, Emerging Market Finance and Trade, 2019

    - Jiawen Luo, Qiang Ji, High-frequency volatility connectedness between crude oil and China’s agricultural commodity markets, Energy Economic, 2018,76:424-438

    - Jiawen Luo, Langnan Chen,Volatility dependences of stock markets under structural breaks, European Journal of Finance, 2018, 24(17),1727-1753

    - 罗嘉雯, 陈浪南. 基于TVS-MHAR模型金融市场多元波动率的预测[J]. 系统工程理论与实践,2018 ,38 (7), 1677-1689

    - 罗嘉雯, 陈浪南. 基于贝叶斯因子模型金融高频波动率预测研究[J].  管理科学学报 2017 ,16 (8), 13-­26. (获第十届广东省优秀金融成果奖论文类一等奖)

    - 罗嘉雯,陈浪南. 多国股票市场的高频波动相关性研究[J].  中国管理科学,2018,26(2), 116-126  (人大书报资料中心全文转载)

    - Jiawen Luo, Langnan Chen, and Hao Liu. Distribution characteristics of stock market liquidity. Physica A: Statistical Mechanics and its Applications 392.23 (2013): 6004­-6014.

    - Jiawen Luo, Langnan Chen, Realized volatility forecast for stock index futures using the HAR models with Bayesian approaches, China Accounting and Finance Review, 18(3), 2016:22-­50.

    - Chen Langnan, Jiawen Luo, and Hao Liu. The determinants of liquidity with G­RJMCMC­VS model: Evidence from China. Economic Modelling 35 (2013): 192­-198.

    - 陈浪南,罗嘉雯,刘昊 基于TVP­VAR­GCK模型的量价时变关系研究[J].  管理科学学报 2015 ,18 (9), 72-­85.

    - 罗嘉雯, 陈浪南. 金融发展影响科技创新的实证研究[J]. 中国科技论坛, 2013, 1(8): 128-­133.

    Conference Articles | 会议论文

    - “Realized volatility forecasts with the Bayesian random compressed multivariate HAR model”, the Fourth PKU-NUS Annual International Conference on Quantitative Finance and Economics, (Shenzhen, 2019.5.11-2019.5.11)

    - “Covariance breakdowns and connectedness of crude oil markets with non-synchronous data”The 9th International Conference for applied energy (Cardiff, UK,2017.8.21-2017.8.25

    - “Realized volatility forecast for stock index futures using the HAR models with Bayesian approaches” The second international conference on forecasting economic and financial systems (Beijing,2015.10.30­ 2015.11.01)

    - “Modeling and forecasting multivariate volatilities with non­synchronous data under structural breaks” Melbourne Bayesian Econometrics Workshop 2015 (Melbourne, Australia,2015.06.03­2015.06.04)

  • Research Grants | 主持项目

    - 国家自然科学基金青年科学基金项目

    - 教育部人文社会科学研究青年基金

    - 中国博士后科学基金面上资助项目

    - 广东省自然科学基金项目博士启动项目

    - 广东省自然科学基金软科学项目

    - 广东省自然科学基金面上项目

    - 广州市哲学社会科学“十三五”规划项目

    - 中央高校科研业务费资助项目

  • Honors & Awards | 荣誉与奖励

    [1] 2016年度广东省优秀研究生

    [2] 2015年度国家博士研究生奖学金

    [3] 2014年度中山大学优秀博士奖学金

    [4] 2013年度国家博士研究生奖学金

    [5] 2013年度中山大学笹川奖学金优秀论文奖

    [6] 2013年度中山大学笹川奖学金优秀青年基金

    [7] 2012年岭南学院董事会奖学金

    [8] 2011年度中山大学优秀本科毕业生

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