Embedded Files
Publications:
Publications:
Chan, Joshua CC, Aubrey Poon, and Dan Zhu.(2025) "Time-varying parameter midas models: Application to nowcasting us real gdp." Forthcoming Journal of Econometrics.
Chan, J., Pettenuzzo, D., Poon, A. and Zhu, D. (2025). Conditional Forecast in Large Bayesian VARs with Multiple Equality and Inequality Constraints. Journal of Economic Dynamics and Control, Volume 173, April 2025.
Jacobi, L., Zhu, D., & Joshi, M. (2025). Estimating Posterior Sensitivities with Application to Structural Analysis of Bayesian Vector Autoregressions. Journal of Business & Economic Statistics, 43:1, 134-149. (Link)
Poon, A., & Zhu, D. (2024). Do Recessions and Bear Markets Occur Concurrently across Countries? A Multinomial Logistic Approach. Journal of Financial Econometrics, Volume 22, Issue 5, Autumn 2024, Pages 1482–1502 (Link) (Forthcoming).
Ai, M., Wang, Y., Zhang, Z., & Zhu, D. (2024). Valuation of variable annuities with guaranteed minimum maturity benefits and periodic fees. Scandinavian Actuarial Journal, 2024(3), 252-278. (Link)
Loaiza-Maya, R., Nibbering, D., & Zhu, D. (2024). Hybrid unadjusted Langevin methods for high-dimensional latent variable models. Journal of Econometrics, 241(2), 105741. (Link)
Mitchell, J., Poon, A., & Zhu, D. (2024). Constructing density forecasts from quantile regressions: Multimodality in macrofinancial dynamics. Journal of Applied Econometrics, 39(5), 790-812. (Link)
Shi, J., Shi, Y., Wang, P., & Zhu, D. (2024). Multi-population mortality modelling: a Bayesian hierarchical approach. ASTIN Bulletin: The Journal of the IAA, 54(1), 46-74. (Link)
Ai, M., Zhang, Z., & Zhu, D. (2023). Valuing variable annuities with path-dependent surrender guarantees under regime-switching Lévy models. Scandinavian Actuarial Journal, 2023(4), 330-358. (Link)
Chan, J. C., Poon, A., & Zhu, D. (2023). High-dimensional conditionally Gaussian state space models with missing data. Journal of Econometrics, 236(1), 105468. (Link)
Chen, P., Yao, H., Yang, H., & Zhu, D. (2023). Target benefit versus defined contribution scheme: a multi-period framework. ASTIN Bulletin: The Journal of the IAA, 53(3), 545-579. (Link)
Iacopini, M., Poon, A., Rossini, L., & Zhu, D. (2023). Bayesian mixed-frequency quantile vector autoregression: Eliciting tail risks of monthly US GDP. Journal of Economic Dynamics and Control, 157, 104757. (Link)
Lu, Y., & Zhu, D. (2023). Modelling mortality: A bayesian factor-augmented var (favar) approach. ASTIN Bulletin: The Journal of the IAA, 53(1), 29-61. (Link)
Wang, Y., Oka, T., & Zhu, D. (2023). Bivariate distribution regression with application to insurance data. Insurance: Mathematics and Economics, 113, 215-232. (Link)
Zhong, W., Zhu, D., & Zhang, Z. (2023). Valuation of variable annuities under stochastic volatility and stochastic jump intensity. Scandinavian Actuarial Journal, 2023(7), 708-734. (Link)
Chan, J. C., Jacobi, L., & Zhu, D. (2022). An automated prior robustness analysis in Bayesian model comparison. Journal of Applied Econometrics, 37(3), 583-602. (Link)
Kang, B., Shen, Y., Zhu, D., & Ziveyi, J. (2022). Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier Cosine method. Insurance: Mathematics and Economics, 105, 96-127. (Link)
Poon, A., & Zhu, D. (2022). A new Bayesian model for contagion and interdependence. Econometric Reviews, 41(7), 806-826. (Link)
Wei, W., & Zhu, D. (2022). Generic improvements to least squares monte carlo methods with applications to optimal stopping problems. European Journal of Operational Research, 298(3), 1132-1144. (Link)
Sun, J., Zhu, D., & Platen, E. (2021). Dynamic asset allocation for target date funds under the benchmark approach. ASTIN Bulletin: The Journal of the IAA, 51(2), 449-474. (Link)
Oh, R., Lee, Y., Zhu, D., & Ahn, J. Y. (2021). Predictive risk analysis using a collective risk model: Choosing between past frequency and aggregate severity information. Insurance: Mathematics and Economics, 96, 127-139. (Link)
Chan, J. C., Jacobi, L., & Zhu, D. (2020). Efficient selection of hyperparameters in large Bayesian VARs using automatic differentiation. Journal of Forecasting, 39(6), 934-943. (Link)
Chan, J. C., Jacobi, L., & Zhu, D. (2019). How sensitive are VAR forecasts to prior hyperparameters? An automated sensitivity analysis. In Topics in Identification, Limited Dependent Variables, Partial Observability, Experimentation, and Flexible Modeling: Part A (Vol. 40, pp. 229-248). Emerald Publishing Limited. (Advances in Econometrics). (Link)
Frazier, D. T., Oka, T., & Zhu, D. (2019). Indirect inference with a non-smooth criterion function. Journal of Econometrics, 212(2), 623-645. (Link)
Joshi, M. S., & Zhu, D. (2016). An exact method for the sensitivity analysis of systems simulated by rejection techniques. European Journal of Operational Research, 254(3), 875-888. (Link)
Joshi, M. S., & Zhu, D. (2016). An exact and efficient method for computing cross-Gammas of Bermudan swaptions and cancelable swaps under the Libor market model. Journal of Computational Finance, 20(1), 113-137. (Link)
Joshi, M. S., & Zhu, D. (2016). Optimal partial proxy method for computing gammas of financial products with discontinuous and angular payoffs. Applied Mathematical Finance, 23(1), 22-56. (Link)
Joshi, M. S., & Zhu, D. (2016). The efficient computation and the sensitivity analysis of finite-time ruin probabilities and the estimation of risk-based regulatory capital. ASTIN Bulletin: The Journal of the IAA, 46(2), 431-467. (Link)
Chan, J. H., Joshi, M. S., & Zhu, D. (2015). First-and second-order Greeks in the Heston model. Journal of Risk, 17(4). (Link)
Report abuse