Liu Weihan

Associate Professor Department of Finance

Dr. Liu receives his Ph.D. degree in Management from the Krannert School of Management in Purdue He has years of an international career and life experience in multicultural environments. He has worked in some distinguished universities in USA, Australia, Saudi Arabia, United Arab Emirates, and Taiwan (China). His recent publication list reveals his research interest: quantitative financial risk management, applied finance, and applied economics. He has focused on energy industry, derivatives markets, and foreign exchange markets. His publications appear in the international 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 Derivatives, Quantitative Finance, Journal of the Asia Pacific Economy, International Journal of Theoretical and Applied Finance, Journal of Simulation, etc. He has been an active journal reviewer for various academic journals, including those ranked A* and A in the Australian Business Deans Council journal list.

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.

Personal Profile


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


Macroeconomics, Microeconomics, Empirical Methods in Finance

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Publication since 2014:

  • Liu, Wei-Han and Jow-Ran Chang 2021 “Revisiting and Refining the Comparison of Conventional and Islamic markets’ Performance” Applied Economics (forthcoming,
  • 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:
  • Liu, Wei-Han. 2020 “Revisiting of the Samuelson Hypothesis on Energy Futures” Quantitative Finance (single-authored; DOI:
  • 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).

Research Support:

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

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