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劉威漢
劉威漢
副教授
教師簡介:

個人簡介


? ? ? ?劉威漢博士2018年8月全職加入南方科技大學,現為金融系副教授、博士生導師。他曾先后任教于美國、澳大利亞、沙特與阿聯酋等國家以及中國臺灣地區。他的目前研究方向主要為金融風險管理、應用金融、應用經濟三大方向。除了理論發展,尤其專注于能源、衍生性商品與匯率市場,以及國際資產之避險與投資組合管理策略。陸續在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等國際知名雜志發表了多篇論文,并且受邀擔任Australian Business Deans Council所選定多本A*與A級期刊之審稿人。


代表文章


(自2014年以來,ABDC: Australian Business Deans Council)

·???????????? 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 (forthcoming, ABDC A-ranked journal, single-authored)

·???????????? Liu, Wei-Han and Jow-Ran Chang. 2018 “Can the CMBO Strategies Beat CMBO Index and S&P 500 Index?”? Journal of Wealth Management (forthcoming, ABDC B-ranked journal)

·???????????? Liu, Wei-Han. 2018 “Hidden Markov Model Analysis of Extreme Behaviors of Foreign Exchange Rates” Physica A: Statistical Mechanism and Its Applications (forthcoming, ABDC A-ranked journal, single-authored)

·???????????? Liu, Wei-Han. 2018 “National Culture Effect on Stock Market Volatility Level” Empirical Economics (forthcoming, ABDC A-ranked journal, single-authored)

·???????????? Jow-Ran Chang. Liu, Wei-Han, and Mao-Wei Hung 2018 “Revisiting Generalized Almost Stochastic Dominance” Annals of Operations Research (forthcoming, ABDC A-ranked journal)

·???????????? Liu, Wei-Han. 2018. “Are gold and government bond safe-haven assets? An extremal quantile regression analysis” International Review of Finance (forthcoming, ABDC A-ranked journal)

·???????????? 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. (ABDC A-ranked journal)

·???????????? Liu, Wei-Han. 2016. “A re-examination of maturity effect of energy futures price from the perspective of stochastic volatility.” Energy Economics 56:51-362 (ABDC A*-ranked journal)

·???????????? 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. (2014 5-year Impact Factor: 0.869)

·???????????? Liu, Wei-Han. 2014. "Optimal hedge ratio estimation and hedge effectiveness with multivariate skew distributions." Applied Economics 46 (12):1420-1435. (ABDC A-ranked journal).

·???????????? Liu, Wei-han. 2014. "Do futures prices exhibit maturity effect? A nonparametric revisit." Applied Economics 46 (8):813-825. (ABDC A-ranked journal).

Han, Chuan-Hsiang. Liu, Wei-han, and Tzu-Ying Chen. 2014. “VaR/CVaR estimation under stochastic volatility models.” International Journal of Theoretical and Applied Finance 17 (2):1-35. (ABDC B-ranked journal)


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