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

Macroeconomics, Microeconomics, Empirical Methods in Finance

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, 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. 2020 “Revisiting of the Samuelson Hypothesis on Energy Futures” Quantitative Finance (single-authored; DOI: https://doi.org/10.1080/14697688.2020.1724319).
• 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)