Wei Wei
Wei Wei is a Lecturer in the Department of Econometrics and Business Statistics at Monash University. She was a postdoctoral research fellow at CREATES (2013-2016) after obtaining her PhD in Economics with a Statistics minor from North Carolina State University (2013).
Her research interests include volatility and duration modeling, and Bayesian methods with applications in high-frequency financial economics and Energy Economics
Hillebrand, E., Lukas, M. & Wei, W. (2021). Bagging weak predictors. International Journal of Forecasting, 37(1), 237-254. https://doi.org/10.1016/j.ijforecast.2020.05.002
Brix, A. F., Lunde, A. & Wei, W. (2018). A generalized Schwartz model for energy spot prices — Estimation using a particle MCMC method. Energy Economics, 72, 560-582. https://doi.org/10.1016/j.eneco.2018.03.037
Pelletier, D. & Wei, W. (2016). The Geometric-VaR Backtesting Method. Journal of Financial Econometrics, 14(4), 725-745. https://doi.org/10.1093/jjfinec/nbv015
