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Dan Zhu

Monash University - Department of Econometrics & Business Statistics

Wellington Road

Clayton, Victoria 3168

Australia

SCHOLARLY PAPERS

38

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Top 16,634

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7,273

TOTAL CITATIONS
Rank 36,386

SSRN RANKINGS

Top 36,386

in Total Papers Citations

39

Scholarly Papers (38)

1.

First and Second Order Greeks in the Heston Model

Number of pages: 33 Posted: 02 Dec 2010 Last Revised: 05 Sep 2014
University of Melbourne - Centre for Actuarial Studies, University of Melbourne - Centre for Actuarial Studies (deceased) and Monash University - Department of Econometrics & Business Statistics
Downloads 1,887 (22,111)
Citation 4

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Heston, Stochastic Volatility, Hessian Greeks, Monte Carlo Simulation, Algorithmic Differentiation

2.

Optimal Partial Proxy Method for Computing Gammas of Financial Products with Discontinuous and Angular Payoffs

Number of pages: 28 Posted: 03 May 2014
Mark S. Joshi and Dan Zhu
University of Melbourne - Centre for Actuarial Studies (deceased) and Monash University - Department of Econometrics & Business Statistics
Downloads 760 (82,327)
Citation 6

Abstract:

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optimal partial proxy, Hessian, Monte Carlo simulation, TARN, Gamma matrix, automatic differentiation

3.

Using Statistical Estimators to Gain Much Improved Convergence of Nested Monte-Carlo Simulations

Number of pages: 33 Posted: 12 Jun 2017 Last Revised: 26 Jul 2017
Mark S. Joshi and Dan Zhu
University of Melbourne - Centre for Actuarial Studies (deceased) and Monash University - Department of Econometrics & Business Statistics
Downloads 566 (120,556)

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VIX Derivatives, Monte Carlo Simulation, Nested Simulation, VaR, CVA, PFE

4.

Time-Varying Parameter MIDAS Models: Application to Nowcasting US Real GDP *

Number of pages: 33 Posted: 23 Apr 2024
Purdue University, University of Kent - School of Economics and Monash University - Department of Econometrics & Business Statistics
Downloads 341 (219,135)

Abstract:

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MIDAS Regressions, Time-Varying Parameters, Stochastic volatility, Bayesian Estimation, Nowcasting

5.

Conditional Forecasts in Large Bayesian VARs with Multiple Equality and Inequality Constraints *

Number of pages: 43 Posted: 16 Feb 2023
Purdue University, Brandeis University - International Business School, University of Kent - School of Economics and Monash University - Department of Econometrics & Business Statistics
Downloads 340 (219,867)

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precision-based method, conditional forecast, vector autoregression JEL classification: C11, C32, C51

Modeling and Forecasting Count Data with Bayesian Vector Autoregressions

Number of pages: 47 Posted: 13 Jun 2025
Brandeis University - International Business School, University of Kent - School of Economics and Monash University - Department of Econometrics & Business Statistics
Downloads 233 (325,133)

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Modeling and Forecasting Count Data with Bayesian Vector Autoregressions

Number of pages: 47 Posted: 15 Jul 2025
Brandeis University - International Business School, University of Kent - School of Economics and Monash University - Department of Econometrics & Business Statistics
Downloads 20 (1,500,232)
Citation 1

Abstract:

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Count variables, VAR, Dynamic Systems, Bank failure, Corporate credit rating

7.

Automated Sensitivity Analysis for Bayesian Inference via Markov Chain Monte Carlo: Applications to Gibbs Sampling

Number of pages: 39 Posted: 12 Jun 2017 Last Revised: 09 Feb 2018
University of Melbourne - Faculty of Business and Economics, University of Melbourne - Centre for Actuarial Studies (deceased) and Monash University - Department of Econometrics & Business Statistics
Downloads 206 (369,861)
Citation 4

Abstract:

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MCMC, Bayesian analysis, sensitivity computations, automatic differentiation

8.

An Exact and Efficient Method for Computing Cross-Gammas of Bermudan Swaptions and Cancellable Swaps Under the Libor Market Model

Number of pages: 18 Posted: 22 Dec 2014
Mark S. Joshi and Dan Zhu
University of Melbourne - Centre for Actuarial Studies (deceased) and Monash University - Department of Econometrics & Business Statistics
Downloads 190 (399,431)
Citation 1

Abstract:

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Monte Carlo, Bermudan Swaption, Cancellable Swap, Greek, Gamma matrix, Automatic-differentiation

9.

Uncertainty and the Term Structure of Interest Rates

Number of pages: 33 Posted: 09 Nov 2023
Jamie Cross, Aubrey Poon and Dan Zhu
University of Melbourne - Melbourne Business School, University of Kent - School of Economics and Monash University - Department of Econometrics & Business Statistics
Downloads 188 (403,391)

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Yield curve, Uncertainty, Monetary Policy, Dynamic Nelson-Siegel model, Bayesian estimation

10.

Constructing Density Forecasts from Quantile Regressions: Multimodality in Macro-Financial Dynamics

FRB of Cleveland Working Paper No. 22-12, 2022R
Number of pages: 68 Posted: 10 May 2022 Last Revised: 12 Apr 2023
Federal Reserve Bank of Cleveland, University of Kent - School of Economics and Monash University - Department of Econometrics & Business Statistics
Downloads 184 (413,774)
Citation 4

Abstract:

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Density Forecasts, Quantile Regressions, Financial Conditions

11.

Indirect Inference With a Non-Smooth Criterion Function

Number of pages: 50 Posted: 25 Aug 2018 Last Revised: 09 Jul 2019
Monash Business School, Keio University and Monash University - Department of Econometrics & Business Statistics
Downloads 179 (422,345)
Citation 3

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Simulation Estimators, Indirect Inference, Discontinuous Objective Functions, Dynamic Discrete Choice Models

12.

A Parsimonious and Interpretable Factor Model of the Implied Volatility Surface

Number of pages: 48 Posted: 26 Feb 2026
Yanhong Wan, Wei Wei and Dan Zhu
Monash University, Monash Business School and Monash University - Department of Econometrics & Business Statistics
Downloads 154 (500,001)

Abstract:

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Implied Volatility Surface, Factor Models, Volatility Forecasting

13.

A Spatial Stochastic SIR Model for Transmission Networks with Application to COVID-19 Epidemic in China

Oka, T., Wei, W., & Zhu, D. (2021). The effect of human mobility restrictions on the COVID-19 transmission network in China. PloS one, 16(7), e0254403.
Number of pages: 16 Posted: 25 Aug 2020 Last Revised: 01 Jun 2025
Tatsushi Oka, Wei Wei and Dan Zhu
Keio University, Monash Business School and Monash University - Department of Econometrics & Business Statistics
Downloads 150 (494,203)

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COVID-19, Infection, Heterogeneity, Spatial Model, Bayesian Analysis

14.

Inflation Target at Risk: A Time-Varying Parameter Distributional Regression

Number of pages: 35 Posted: 21 Mar 2024 Last Revised: 27 Jan 2026
Yunyun Wang, Tatsushi Oka and Dan Zhu
Hunan University - College of Finance and Statistics, Keio University and Monash University - Department of Econometrics & Business Statistics
Downloads 132 (554,631)
Citation 2

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Time-varying Parameter Model, Distributional Regression, Bayesian Analysis, Inflation Risks

15.

Distributional Vector Autoregression: Eliciting Macro and Financial Dependence

Number of pages: 55 Posted: 13 Mar 2023
Yunyun Wang, Tatsushi Oka and Dan Zhu
Hunan University - College of Finance and Statistics, Keio University and Monash University - Department of Econometrics & Business Statistics
Downloads 120 (596,393)

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Vector Autoregression, Impulse Response Function, Multivariate Time Series, Distributional Regression

16.

Bivariate Distribution Regression with Application to Insurance Data

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 46 Posted: 05 Apr 2022 Last Revised: 24 Mar 2024
Yunyun Wang, Tatsushi Oka and Dan Zhu
Hunan University - College of Finance and Statistics, Keio University and Monash University - Department of Econometrics & Business Statistics
Downloads 119 (600,462)

Abstract:

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Finance, Multivariate statistics, Risk management, Distribution Regression

17.

The Robust Computation and the Sensitivity Analysis of Finite-Time Ruin Probabilities and the Estimation of Risk-Based Regulatory Capital

Number of pages: 28 Posted: 22 Dec 2014
Mark S. Joshi and Dan Zhu
University of Melbourne - Centre for Actuarial Studies (deceased) and Monash University - Department of Econometrics & Business Statistics
Downloads 116 (613,149)

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Finite-time Ruin Probability, Monte-Carlo, Sensitivity, Risk Model

How Sensitive are VAR Forecasts to Prior Hyperparameters? An Automated Sensitivity Analysis

CAMA Working Paper No. 25/2018
Number of pages: 25 Posted: 03 Jun 2018
Joshua Chan, Liana Jacobi and Dan Zhu
University of Technology Sydney (UTS), University of Melbourne - Faculty of Business and Economics and Monash University - Department of Econometrics & Business Statistics
Downloads 64 (938,792)

Abstract:

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vector autoregression, automatic differentiation, interval forecasts

How Sensitive are VAR Forecasts to Prior Hyperparameters? An Automated Sensitivity Analysis

Number of pages: 23 Posted: 12 Jun 2018
Joshua Chan, Liana Jacobi and Dan Zhu
University of Technology Sydney (UTS), University of Melbourne - Faculty of Business and Economics and Monash University - Department of Econometrics & Business Statistics
Downloads 51 (1,072,374)

Abstract:

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vector autoregression, automatic differentiation, interval forecasts

19.

An Exact Method for the Sensitivity Analysis of Systems Simulated by Rejection Techniques

Number of pages: 31 Posted: 28 Aug 2014
Mark S. Joshi and Dan Zhu
University of Melbourne - Centre for Actuarial Studies (deceased) and Monash University - Department of Econometrics & Business Statistics
Downloads 110 (640,165)
Citation 4

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sensitivitites, Monte Carlo Simulation, queueing theory, Levy processes, rejection sampling

20.

A Sparse Dynamic Factor Model for Clustered High-Dimensional Time Series

Number of pages: 40 Posted: 12 Feb 2024
Hunan University - School of Finance and Statistics, Monash University - Department of Econometrics & Business Statistics and Monash University
Downloads 108 (649,907)

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Dynamic Factor Model, Clustering, Dimension Reduction, Bayesian Markov Chain Monte Carlo

21.

Multi-Population Mortality Modelling: A Bayesian Approach

Number of pages: 36 Posted: 04 Jun 2022
Monash University - Department of Econometrics & Business Statistics, Hunan University - School of Finance and Statistics, Macquarie University, Macquarie Business School and Monash University
Downloads 103 (679,608)
Citation 2

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Lee-Carter Model, Multi-population Approach, Markov Chain Monte Carlo, Vector Error

22.

An analysis of vectorised automatic differentiation for statistical applications

Number of pages: 47 Posted: 04 Apr 2022
St. Vincent's Institute of Medical Research, Monash University - Department of Econometrics & Business Statistics and University of Melbourne - Faculty of Business and Economics
Downloads 97 (704,534)

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Automatic differentiation, Optimisation, MCMC

23.

A Constrained Dynamic Nelson-Siegel Model for Monetary Policy Analysis

Number of pages: 36 Posted: 18 Jul 2024
University of Melbourne - Melbourne Business School, University of Kent - School of Economics, University of Melbourne - Melbourne Business School and Monash University - Department of Econometrics & Business Statistics
Downloads 95 (715,072)

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Dynamic Nelson-Siegel model, Term Structure, Yield curve, Monetary Policy, Bayesian Analysis.

24.

Bayesian Mixed-Frequency Quantile Vector Autoregression: Eliciting Tail Risks of Monthly Us GDP

Number of pages: 32 Posted: 14 Mar 2023
Queen Mary University of London, University of Kent - School of Economics, University of Milan and Monash University - Department of Econometrics & Business Statistics
Downloads 95 (715,072)

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Bayesian inference, mixed-frequency, multivariate quantile regression, nowcasting, VAR

25.

Efficient Selection of Hyperparameters in Large Bayesian VARs Using Automatic Differentiation

CAMA Working Paper No. 46/2019
Number of pages: 24 Posted: 25 Jun 2019
Purdue UniversityUniversity of Technology Sydney (UTS) - UTS Business School, University of Melbourne - Faculty of Business and Economics and Monash University - Department of Econometrics & Business Statistics
Downloads 88 (753,595)
Citation 4

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automatic differentiation, model comparison, vector autoregression, factor models

26.

Estimating Posterior Sensitivities with Application to Structural Analysis of Bayesian Vector Autoregressions

Number of pages: 37 Posted: 28 Mar 2019 Last Revised: 14 Jul 2022
University of Melbourne - Faculty of Business and Economics, Monash University - Department of Econometrics & Business Statistics and University of Melbourne - Centre for Actuarial Studies (deceased)
Downloads 88 (753,595)

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MCMC, Prior Robustness, Convergence, Automatic Differentiation

27.

Revealing Growth-at-Risk Through Daily Corporate Activity: New Evidence from a Functional Quantile MIDAS Model

Number of pages: 47 Posted: 19 Jan 2026
Brandeis University - International Business School, University of Kent - School of Economics and Monash University - Department of Econometrics & Business Statistics
Downloads 85 (777,583)

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28.

An Automated Prior Robustness Analysis in Bayesian Model Comparison

CAMA Working Paper No. 45/2019
Number of pages: 28 Posted: 25 Jun 2019
Purdue UniversityUniversity of Technology Sydney (UTS) - UTS Business School, University of Melbourne - Faculty of Business and Economics and Monash University - Department of Econometrics & Business Statistics
Downloads 79 (809,932)
Citation 1

Abstract:

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automatic differentiation, model comparison, vector autoregression, factor models

29.

Time-Varying Parameter Midas Models: Application to Nowcasting Us Real GDP

Number of pages: 33 Posted: 09 Aug 2024
Purdue UniversityUniversity of Technology Sydney (UTS) - UTS Business School, University of Kent - School of Economics and Monash University - Department of Econometrics & Business Statistics
Downloads 67 (899,324)
Citation 3

Abstract:

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MIDAS regressions, Bayesian estimation Stochastic volatility, Precision-based methods, Nowcasting

30.

Uncertainty and the Term Structure of Interest Rates

Number of pages: 58 Posted: 19 Oct 2024
Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA)Center of Applied Macroeconomics and Commodity Prices (CAMP), BI Norwegian Business School, University of Kent - School of Economics and Monash University - Department of Econometrics & Business Statistics
Downloads 64 (924,743)

Abstract:

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Yield curve, Uncertainty, Monetary Policy, Dynamic Nelson-Siegel model, Bayesian estimation.

31.

Conditional Forecasts in Large Bayesian Vars with Multiple Equality and Inequality Constraints

Number of pages: 43 Posted: 24 Jul 2024
Purdue UniversityUniversity of Technology Sydney (UTS) - UTS Business School, Brandeis University - International Business School, Monash University - Department of Econometrics & Business Statistics and University of Kent - School of Economics
Downloads 47 (1,097,529)

Abstract:

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precision-based method, conditional forecast, vector autoregression

32.

The Impact of Temperature on Macroeconomic Tail Risks

Number of pages: 19 Posted: 04 Feb 2025
Aubrey Poon and Dan Zhu
University of Kent - School of Economics and Monash University - Department of Econometrics & Business Statistics
Downloads 45 (1,133,231)

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Temperature Anomalies, Tail Risks, Quantile Regression, Density Forecast.

33.

Structural Macroeconomics with Daily Data: A Matrix-Free Mixed-Frequency VAR Approach

Number of pages: 45 Posted: 15 May 2026
Dan Zhu
Monash University - Department of Econometrics & Business Statistics
Downloads 24 (1,481,165)

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34.

The Implied Volatility Surface as a Macro-Financial Uncertainty Indicator: An Interpretable Factor Decomposition 1

Number of pages: 50 Posted: 07 May 2026
Yanhong Wan, Wei Wei and Dan Zhu
Monash University, Monash Business School and Monash University - Department of Econometrics & Business Statistics
Downloads 23 (1,411,822)

Abstract:

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implied volatility surface, Factor models, volatility forecasting, macro-financial uncertainty

35.

Revealing Growth-at-Risk Through Daily Corporate Activity: New Evidence from a Functional Quantile MIDAS

Number of pages: 47 Posted: 24 Jan 2026
Brandeis University - International Business School, University of Kent - School of Economics and Monash University - Department of Econometrics & Business Statistics
Downloads 19 (1,459,862)

Abstract:

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Growth-at-Risk, Quantile Regression, MIDAS, High-frequency Corporate Data

36.

Mixed-Data Sampling under Extreme Frequency Mismatch: Inference on Within-Period Information

Number of pages: 58 Posted: 05 Mar 2026
Beijing Normal-Hong Kong Baptist University, Purdue University and Monash University - Department of Econometrics & Business Statistics
Downloads 18 (1,470,786)

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mixed-frequency data, smoothing spline regularization, linear functionals, Bayesian inference, nowcasting, macroeconomic uncertainty

37.

A Bayesian Additive Tree Approach to Mortality Forecasting and Nowcasting

Number of pages: 37 Posted: 20 Apr 2026
Jianjie Shi, Yunyun Wang and Dan Zhu
Hunan University, Hunan University - College of Finance and Statistics and Monash University - Department of Econometrics & Business Statistics
Downloads 10 (1,548,648)

Abstract:

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Regression Trees, Mixed Data Sampling Regression, Bayesian Analysis, Mortality Modeling

38.

Bayesian Regularized U-MIDAS under Extreme Frequency Mismatch

Number of pages: 62 Posted: 14 Apr 2026
Beijing Normal-Hong Kong Baptist University, Purdue UniversityUniversity of Technology Sydney (UTS) - UTS Business School and Monash University - Department of Econometrics & Business Statistics
Downloads 8 (1,555,090)

Abstract:

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mixed-frequency data, smoothing spline regularization, Bayesian inference, nowcasting, macroeconomic uncertainty