副教授 金融系

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。

个人简介

研究领域

Applied Finance, Applied Economics, Applied Econometrics, Quantitative Risk Management, Portfolio Management, Quantitative History


教学

宏观经济学 微观经济学


学术成果 查看更多

自2014年以来的发表文章:

• 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).

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