时间：6月16日 12:00

地点: 向东楼406

主题：The role of global economic policy uncertainty in predicting crude oil futures volatility—Evidence from a two-factor GARCH-MIDAS model

主要内容：

We construct a global economic policy uncertainty index (GEPU) through the principal component analysis of the economic policy uncertainty indices for twenty primary economies around the world. We find that the PCA-based global economic policy uncertainty index is a good proxy for the economic policy uncertainty on the global scale, which is quite consistent with the GDP-weighted global economic policy uncertainty index. The results show that the models with rolling-window specification perform better than those with fixed-span specification. For single-factor models, the GEPU index and its changes, as well as realized volatility, are consistent effective factors in predicting the volatility of crude oil futures. Specially, GEPU changes have stronger predictive power than the GEPU index. The two-factor model with GEPU changes contains more information and exhibits stronger forecasting ability for crude oil futures market volatility than the single-factor models. The GEPU changes are indeed the main source of long-term volatility of the crude oil futures.主讲人简介：

周炜星，华东理工大学商学院教授，博士生导师。 教育部青年长江学者、上海市领军人才、教育部新世纪优秀人才、上海市曙光学者。主要从事金融物理学和社会经济系统复杂性研究，以及相关领域大数据分析。发表SCI/SSCI收录论文180多篇，他引5000余次，10篇论文入选ESI高被引论文，H指数41，连续6年进入爱思唯尔发布的中国高被引学者榜单。论文主要发表在JIFMIM、JEBO和QF等主流金融经济期刊及PNAS、Rep. Prog. Phys.、Scientific Reports等重要交叉学科期刊上。先后主持包括4项国家自然科学基金在内的10余项国家级和省部级项目。担任《计量经济学报》及多个国际期刊（包括JIFMIM、Financial Innovation、Fractals、Fluctuation and Noise Letters等）的编委。