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Publications:
Publications:
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)
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