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Weihan Liu

Associate Professor

Homepage:http://faculty.sustech.edu.cn/liuwh/en/&lang=en

Bio

Dr. Wei-han Liu has joined our school as a full-time faculty member since August 2018. He is currently appointed as an Associate Professor and Ph.D. Student Advisor. His international career covers USA Australia Saudi Arabia and United Arab Emirates. His current research directions range from Financial Risk Management Applied Finance to Applied Economics. The research topics include the applications of markets of energy derivatives and foreign exchange rates in addition to theoretical developments. He also studies the strategies of hedging and portfolio management in international markets. He has series publications in peer-reviewed quality journals such as 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. He is also an invited reviewer for several distinguished journals ranked A* and A levels by Australian Business Deans Council.

Selected Publication

Since 2014:

  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).

Research Support:

  1. Establishing Accounting Information Database of Temporary Chinese Shareholder Enterprises and Its Empirical Analysis of Business History Yongyou Foundation 2019-2020 (Principal Investigator)

 

Bio:http://faculty.sustech.edu.cn/liuwh/en/&lang=en