Associate Professor Department of Finance

Dr. Liu has years of an international career and life experience in multicultural environments. His recent publication list reveals his research interest.

You are welcome to apply for Ph.D. program or postdoc position if you think it is a nice match of your potential. He is also actively recruiting postdoc for the Center of Quantitative History in the Business School, SUSTECH.

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


Macroeconomics, Microeconomics

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Publication since 2014:

• 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, (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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