Financial Econometrics
Econometric methods for measuring, modeling, and interpreting financial-market behavior, with attention to volatility, dependence, and risk transmission.
Junior Associate Professor, School of Management, Tokyo University of Science
Xie He
Researcher in financial econometrics, financial time-series analysis, data science in finance, and empirical finance, with a focus on risk spillovers and sustainable finance.
About
Academic Profile
I am a Junior Associate Professor in the School of Management at Tokyo University of Science. My research focuses on financial econometrics, financial time-series analysis, data science in finance, and empirical finance. I study how risks are transmitted across markets and economic systems, and how sustainable finance relates to financial stability, investment behavior, and real economic activity.
- Current Position
- Junior Associate Professor, School of Management, Tokyo University of Science
- Ph.D.
- Kobe University, Economics
- Location
- Tokyo, Japan
Research
Research Interests
Financial Time-Series Analysis
Empirical analysis of dynamic financial data, including forecasting, market fluctuations, cross-market linkages, and changes in risk over time.
Risk Spillovers
Study of how shocks, uncertainty, and financial stress propagate across assets, sectors, countries, and the broader financial system.
Sustainable Finance
Research on sustainable investment, green finance, climate-related financial risk, and the interaction between sustainability and market performance.
Researchmap Records
Publications
- Does Endogenous Inter-Firm Spillover Amplify Industry-Wide Risk? Evidence from China's New Energy Sector
- Copula-Based Mixed-Frequency Vector Autoregression and Its State Space Extensions
- Spillover Effects Between Policy Uncertainty, Economy and Financial System in China and the United States: A Mixed-Frequency Connectedness Approach
- Currency cluster and volatility co-movement: The role of common global factors
- Asymmetric Higher-Moment spillovers between sustainable and traditional investments
Teaching
Courses
Tokyo University of Science
東京理科大学
2025
First Semester
- Practice in Information Literacy 2 (Japanese)
- Applied Finance 3 (Japanese)
- Career Studies A (Japanese)
Second Semester
- Introduction to Finance (Japanese)
- Foreign Academic Reading (Japanese, English)
- Financial Literacy A (Japanese)
- Applied Finance 1 (Japanese)
- Positive Accounting and Finance
Contact
Get in Touch
- xie_he at rs.tus.ac.jp replace "at" with "@".
- Address
- 1-11-2 Fujimi, Chiyoda-ku, Tokyo 102-0071, Japan
- Tel
- +81-3-3556-2505 (official)