刘威汉
刘威汉
副教授
教师简介:

个人简介


       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。


代表文章


(自2014年以来,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)


获奖经历: