Faculty
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:
Liu, Wei-Han, Jow-Ran Chang, and Guojun Yang 2023 “An Improved Criterion for Almost Marginal Conditional Stochastic Dominance” Review of Quantitative Finance and Accounting (forthcoming)
Gan, Lirong and Wei-han Liu 2023“Option pricing based on the residual neural network, Computational Economics, https://doi.org/10.1007/s10614-023-10413-3
Liu, Wei-Han and Daniel Nguyen 2023 ”Portfolio management using time-varying vine copula: An application on the G7 equity market indices” European Journal of Finance 29(11): 1303-1329
Liu, Wei-Han 2023 “Attaining stochastic optimal control over debt ratios in U.S. markets” Review of Quantitative Finance and Accounting 61:967–993
Liu, Wei-Han 2023 “Re-evaluating the major factors in the low origination rate of the reverse mortgage market” Review of Pacific Basin Financial Markets and Policies 26(02): 2350014; https://doi.org/10.1142/S0219091523500145
Liu, Wei-Han and Jow-Ran Chang 2022 “What can inverse VIX contribute to an investment portfolio?” International Journal of Finance & Economics 27(3): 3791-3798; DOI: 10.1002/ijfe.2351
Liu, Wei-Han and Qian Long Kweh 2022 “Reexamining nonlinear effects of intellectual capital on firm efficiency” Annals of Operations Research 315:1319–1344; DOI: https://doi.org/10.1007/s10479-021-04252-4
Liu, Wei-Han and Jow-Ran Chang 2021 “Revisiting and refining the comparison of conventional and Islamic markets’ performance” Applied Economics 53(38):4371-4385; https://doi.org/10.1080/00036846.2021.1900533
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.
Liu, Wei-Han. 2021 “Revisiting of the Samuelson Hypothesis on energy futures” Quantitative Finance 21(12): 2089-2101; https://doi.org/10.1080/14697688.2020.1724319.
Liu, Wei-Han and Jow-Ran Chang 2020 “Can the Improved CMBO Strategies Beat the CMBO Index?” Journal of Derivatives (forthcoming, http://dx.doi.org/10.1002/ijfe.2351)
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).
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).
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).
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).
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).
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).
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).
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).
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).
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).
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：
• Establishing Accounting Information Database of Temporary Chinese Shareholder Enterprises and Its Empirical Analysis of Business History, Yongyou Foundation 2019-2020 (Principal Investigator)