Mr Gang Xu

Lecturer

g.xu@lbss.gla.ac.uk
Room S108
Tel: +44(0)141 330 5683
Office hour: Thursday 1.00 pm - 2.00 pm

Teaching 2009/10

Undergraduate: Financial Markets and Asset Pricing.
Postgraduate: Financial Risk Analysis.

Research interests

• Financial Econometrics: modelling volatility and jumps in asset prices using daily and high frequency prices.
• Financial Risk Management: modelling time varying correlations using Markov chain Monte Carlo simulation.

Background

Gang joined the Department in September 2009.

Working papers

Taylor, S., Wojakowski, R. and Xu, G. (2009). 'Information flow, volatility measurement and jump prediction'.

Xu, G. (2009). 'An investigation of equity return models with jumps using Markov chain Monte Carlo simulation'.