師資
個(gè)人簡(jiǎn)介
劉威漢博士2018年8月全職加入南方科技大學(xué)，現(xiàn)為金融系副教授、博士生導(dǎo)師。曾先后任教于美國(guó)、澳大利亞、沙特與阿聯(lián)酋等國(guó)家以及中國(guó)臺(tái)灣地區(qū)。他的目前研究方向主要為金融風(fēng)險(xiǎn)管理、應(yīng)用金融、應(yīng)用經(jīng)濟(jì)三大方向。除了理論發(fā)展，尤其專注于能源、衍生性商品與匯率市場(chǎng)，以及國(guó)際資產(chǎn)之避險(xiǎn)與投資組合管理策略。陸續(xù)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(guó)際知名雜志發(fā)表了多篇論文，并且受邀擔(dān)任Australian Business Deans Council所選定多本A*與A級(jí)期刊之審稿人。
代表文章
自2014年以來的發(fā)表文章:
Liu, Wei-Han, Jow-Ran Chang, and Guojun Yang 2023 “An Improved Criterion for Almost Marginal Conditional Stochastic Dominance” Review of Quantitative Finance and Accounting (forthcoming)
Gan, Lirong and Wei-han Liu 2023“Option pricing based on the residual neural network, Computational Economics, https://doi.org/10.1007/s10614-023-10413-3
Liu, Wei-Han and Daniel Nguyen 2023 ”Portfolio management using time-varying vine copula: An application on the G7 equity market indices” European Journal of Finance 29(11): 1303-1329
Liu, Wei-Han 2023 “Attaining stochastic optimal control over debt ratios in U.S. markets” Review of Quantitative Finance and Accounting 61:967–993
Liu, Wei-Han 2023 “Re-evaluating the major factors in the low origination rate of the reverse mortgage market” Review of Pacific Basin Financial Markets and Policies 26(02): 2350014; https://doi.org/10.1142/S0219091523500145
Liu, Wei-Han and Jow-Ran Chang 2022 “What can inverse VIX contribute to an investment portfolio?” International Journal of Finance & Economics 27(3): 3791-3798; DOI: 10.1002/ijfe.2351
Liu, Wei-Han and Qian Long Kweh 2022 “Reexamining nonlinear effects of intellectual capital on firm efficiency” Annals of Operations Research 315:1319–1344; DOI: https://doi.org/10.1007/s10479-021-04252-4
Liu, Wei-Han and Jow-Ran Chang 2021 “Revisiting and refining the comparison of conventional and Islamic markets’ performance” Applied Economics 53(38):4371-4385; 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. 2021 “Revisiting of the Samuelson Hypothesis on energy futures” Quantitative Finance 21(12): 2089-2101; https://doi.org/10.1080/14697688.2020.1724319.
Liu, Wei-Han and Jow-Ran Chang 2020 “Can the Improved CMBO Strategies Beat the CMBO Index?” Journal of Derivatives (forthcoming, http://dx.doi.org/10.1002/ijfe.2351)
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).
研究課題支持
? 主持“中國(guó)近代股份制企業(yè)會(huì)計(jì)信息數(shù)據(jù)庫的構(gòu)建與商業(yè)發(fā)展的實(shí)證分析” 重點(diǎn)項(xiàng)目， 用友基金會(huì)， 2019-2020
專書成果：2022 《 近代中國(guó)商道列傳》 劉威漢 著，社會(huì)科學(xué)文獻(xiàn)出版社，
2023年第十一屆深圳市哲學(xué)社會(huì)科學(xué)優(yōu)秀成果獎(jiǎng)科普著作類優(yōu)秀成果獎(jiǎng)
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