Department of Economics and Business Economics

Wei Wei

International Fellow

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Wei Wei

International Fellow

  • Department of Economics and Business Economics
  • Department of Economics and Business Economics - CREATES
Postal address:
Fuglesangs Allé 4
8210
Aarhus V
Denmark

Email: Wei.Wei2@monash.edu

Education

2008-2013 North Carolina State University
Ph.D. in Economics

2006-2007 London School of Economics
MSc in Finance and Economics

2002-2006 Beijing Normal University
BSc in Astronomy
BA in Business Administration

Publications

Bagging weak predictors

Hillebrand, E., Lukas, M. & Wei, W., Jan 2021, In: International Journal of Forecasting. 37, 1, p. 237-254 18 p.

A generalized Schwartz model for energy spot prices — Estimation using a particle MCMC method

Brix, A. F., Lunde, A. & Wei, W., 2018, In: Energy Economics. 72, p. 560-582 23 p.

Comments on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference

Wei, W. & Lunde, A., 2016, In: Journal of Financial Econometrics. 14, 2, p. 278-283 6 p.

The Geometric-VaR Backtesting Method

Pelletier, D. & Wei, W., 2016, In: Journal of Financial Econometrics. 14, 4, p. 725-745 21 p.

A Generalized Schwartz Model for Energy Spot Prices - Estimation using a Particle MCMC Method

Lunde, A., Brix, A. F. & Wei, W., 12 Oct 2015, Aarhus: Institut for Økonomi, Aarhus Universitet, 35 p. (CREATES Research Papers; No. 2015-46).

A Jump-Diffusion Model with Stochastic Volatility and Durations

Wei, W. & Pelletier, D., 10 Aug 2015, Aarhus: Institut for Økonomi, Aarhus Universitet, 44 p. (CREATES Research Papers; No. 2015-34).

A Stochastic Price Duration Model for Estimating High-Frequency Volatility

Wei, W. & Pelletier, D., 2014, Aarhus: Institut for Økonomi, Aarhus Universitet.

The Geometric-VaR Backtesting Method

Wei, W. & Pelletier, D., 2014, p. 1-28, 28 p.

A Jump Diffusion Model for Volatility and Duration

Wei, W. & Pelletier, D., 2013, Aarhus: Institut for Økonomi, Aarhus Universitet, 41 p.