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刘威汉

副教授

刘威汉博士2018年8月全职加入南方科技大学,现为金融系副教授、博士生导师。他曾先后任教于美国、澳大利亚、沙特与阿联酋等国家以及中国台湾地区。

他的目前研究方向主要为金融风险管理、应用金融、应用经济三大方向。除了理論發展,尤其专注于能源、衍生性商品与汇率市场,以及国际资产之避险与投资組合管理策略。陆续在Journal of Econometrics Energy Economics Annals of Operations Research Journal of Futures Markets Applied Economics International Review of Finance Journal of the Asia Pacific Economy International Journal of Theoretical and Applied Finance Journal of Simulation等国际知名杂志发表了多篇论文,并且受邀担任Australian Business Deans Council所选定多本A*与A级期刊之审稿人。

代表文章

自2014年以来:

  1. Liu Wei-Han and Jow-Ran Chang 2021 “Revisiting and Refining the Comparison of Conventional and Islamic markets’ Performance” Applied Economics (forthcoming https://doi.org/10.1080/00036846.2021.1900533)
  2. Liu Wei-Han and Jow-Ran Chang 2021 “Can the Improved CMBO Strategies Beat the CMBO Index?” Journal of Derivatives 28(3) 163-183; DOI: https://doi.org/10.3905/jod.2020.1.121
  3. Liu Wei-Han. 2020 “Revisiting of the Samuelson Hypothesis on Energy Futures” Quantitative Finance (single-authored; DOI: https://doi.org/10.1080/14697688.2020.1724319).
  4. Liu Wei-Han. 2019 “An empirical re-examination of extreme tail behavior: Testing the assumptions of the power laws and the generalized Pareto distribution on the financial series” Applied Economics 51(30): 1-15 (H Index 72 Q2 SJR 2018 0.5; single-authored).
  5. Liu Wei-Han. Jow-Ran Chang and Mao-Wei Hung 2019 “Revisiting generalized almost stochastic dominance” Annals of Operations Research 281(1): 175–192. (H Index 90 Q1 SJR 2018 1.03).
  6. Liu Wei-Han. 2018 “Hidden Markov model analysis of extreme behaviors of foreign exchange rates” Physica A: Statistical Mechanism and Its Applications 503: 1007–1019 (H Index 141 Q2 SJR 2018 0.7; single-authored).
  7. Liu Wei-Han. 2018 “National culture effect on stock market volatility level” Empirical Economics: 57(4) 1229-1253 https://doi.org/10.1007/s00181-018-1502-z (H Index 48 Q2 SJR 2018 0.57; single-authored).
  8. Liu Wei-Han. 2018. “Are gold and government bond safe-haven assets? An extremal quantile regression analysis” International Review of Finance DOI: 10.1111/irfi.12232 (H Index 14 Q2 SJR 2018 0.4).
  9. Liu Wei-Han and Phong Nguyen. 2017. “Time-varying linkage of the possible safe-haven assets: A cross-market and cross-asset analysis.” International Review of Finance 17 (1):43-76 (H Index 14 Q2 SJR 2018 0.4).
  10. Liu Wei-Han. 2016. “A re-examination of maturity effect of energy futures price from the perspective of stochastic volatility.” Energy Economics 56:351-362 (H Index 120 Q1 SJR 2018 2; single-authored).
  11. Liu Wei-Han. 2016. “Large-scale portfolio optimization: An improved simulation algorithm based on differential evolution and optimal computing budget allocation.” Journal of Simulation 10:1-11 (H Index 20 Q2 SJR 2018 0.53; single-authored).
  12. Liu Wei-Han. 2014. “Optimal hedge ratio estimation and hedge effectiveness with multivariate skew distributions.” Applied Economics 46 (12):1420-1435 (H Index 72 Q2 SJR 2018 0.5; single-authored).
  13. Liu Wei-han. 2014. “Do futures prices exhibit maturity effect? A nonparametric revisit.” Applied Economics 46 (8):813-825 (H Index 72 Q2 SJR 2018 0.5; single-authored).
  14. Liu Wei-han Han Chuan-Hsiang and Tzu-Ying Chen. 2014. “VaR/CVaR estimation under stochastic volatility models.” International Journal of Theoretical and Applied Finance 17 (2):1-35 (H Index 27 Q1 SJR 2018 0.5).

研究课题支持:

  1. “中国近代股份制企业会计信息数据库的构建与商业发展的实证分析
  2. ”重点项目 用友基金会 2019-2020 (主持人)

 

个人主页:http://faculty.sustech.edu.cn/liuwh/