LIU Weihan
Associate Professor


Dr. Wei-han Liu has joined our school as a full-time faculty member since August 2018. He is currently appointed as an Associate Professor and Ph.D. Student Advisor. His international career covers USA, Australia, Saudi Arabia, and United Arab Emirates. His current research directions range from Financial Risk Management, Applied Finance, to Applied Economics. The research topics include the applications of markets of energy, derivatives, and foreign exchange rates, in addition to theoretical developments. He also studies the strategies of hedging and portfolio management in international markets. He has series publications in peer-reviewed 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 the Asia Pacific Economy, International Journal of Theoretical and Applied Finance, Journal of Simulation. He is also an invited reviewer for several distinguished journals, ranked A* and A levels by Australian Business Deans Council.

Selected Publication

(since 2014,ABDC: Australian Business Deans Council)

  • Liu, Wei-Han. 2020 “Revisiting of the Samuelson Hypothesis on Energy Futures" Quantitative Finance  (forthcoming, ABDC A-ranked journal, single-authored)
  • 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)