Author Page for Dan Zhu

First and Second Order Greeks in the Heston Model

Number of pages: 33 Posted: 02 Dec 2010 Last Revised: 05 Sep 2014

Jiun Hong Chan, Mark S. Joshi and Dan Zhu

University of Melbourne - Centre for Actuarial Studies, University of Melbourne - Centre for Actuarial Studies (deceased) and Monash University - Department of Econometrics & Business Statistics

Downloads 1,811 (20,121)

Citation 4

Abstract:

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 727 (74,471)

Citation 6

Abstract:

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 546 (107,069)

Abstract:

4.

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

Number of pages: 43 Posted: 16 Feb 2023

Joshua CC Chan, Davide Pettenuzzo, Aubrey Poon and Dan Zhu

Purdue University, Brandeis University - International Business School, University of Kent - School of Economics and Monash University - Department of Econometrics & Business Statistics

Downloads 306 (208,000)

Abstract:

5.

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

Number of pages: 33 Posted: 23 Apr 2024

Joshua CC Chan, Aubrey Poon and Dan Zhu

Purdue University, University of Kent - School of Economics and Monash University - Department of Econometrics & Business Statistics

Downloads 219 (290,992)

Abstract:

6.

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 180 (349,000)

Citation 1

Abstract:

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

Liana Jacobi, Mark S. Joshi and Dan Zhu

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 163 (380,612)

Citation 4

Abstract:

8.

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

James Mitchell, Aubrey Poon and Dan Zhu

Federal Reserve Bank of Cleveland, University of Kent - School of Economics and Monash University - Department of Econometrics & Business Statistics

Downloads 158 (390,865)

Citation 1

Abstract:

9.

Indirect Inference With a Non-Smooth Criterion Function

Number of pages: 50 Posted: 25 Aug 2018 Last Revised: 09 Jul 2019

David Frazier, Tatsushi Oka and Dan Zhu

Monash Business School, Keio University and Monash University - Department of Econometrics & Business Statistics

Downloads 156 (395,177)

Citation 3

Abstract:

10.

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

Number of pages: 16 Posted: 25 Aug 2020

Tatsushi Oka, Wei Wei and Dan Zhu

Keio University, Monash Business School and Monash University - Department of Econometrics & Business Statistics

Downloads 133 (449,265)

Abstract:

11.

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 117 (496,297)

Abstract:

12.

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

Monash University - Department of Econometrics and Business Statistics, Keio University and Monash University - Department of Econometrics & Business Statistics

Downloads 114 (506,103)

Abstract:

13.

Distributional Vector Autoregression: Eliciting Macro and Financial Dependence

Number of pages: 55 Posted: 13 Mar 2023

Yunyun Wang, Tatsushi Oka and Dan Zhu

Monash University - Department of Econometrics and Business Statistics, Keio University and Monash University - Department of Econometrics & Business Statistics

Downloads 111 (516,246)

Abstract:

14.

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 109 (523,145)

Abstract:

15.

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 99 (560,481)

Citation 4

Abstract:

16.

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

Downloads 83 (625,048)

2

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 42 (893,070)

Abstract:

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 41 (901,953)

Abstract:

17.

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

Liana Jacobi, Dan Zhu and Mark S. Joshi

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 77 (652,129)

Abstract:

18.

Multi-Population Mortality Modelling: A Bayesian Approach

Number of pages: 36 Posted: 04 Jun 2022

Dan Zhu, Jianjie Shi, Yanlin Shi and PENGJIE WANG

Monash University - Department of Econometrics & Business Statistics, Monash University, Macquarie University, Macquarie Business School and Monash University

Downloads 74 (666,498)

Citation 2

Abstract:

19.

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

Number of pages: 40 Posted: 12 Feb 2024

Jianjie Shi, Dan Zhu and Catherine Forbes

Monash University, Monash University - Department of Econometrics & Business Statistics and Monash University

Downloads 73 (671,452)

Abstract:

20.

An analysis of vectorised automatic differentiation for statistical applications

Number of pages: 47 Posted: 04 Apr 2022

Chun Fung Kwok, Dan Zhu and Liana Jacobi

St. Vincent's Institute of Medical Research, Monash University - Department of Econometrics & Business Statistics and University of Melbourne - Faculty of Business and Economics

Downloads 68 (702,583)

Abstract:

21.

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

Number of pages: 32 Posted: 14 Mar 2023

Matteo Iacopini, Aubrey Poon, Luca Rossini and Dan Zhu

Queen Mary University of London, University of Kent - School of Economics, University of Milan and Monash University - Department of Econometrics & Business Statistics

Downloads 60 (742,302)

Abstract:

22.

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

Joshua C. C. Chan, Joshua C. C. Chan, Liana Jacobi and Dan Zhu

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 55 (774,082)

Citation 4

Abstract:

23.

An Automated Prior Robustness Analysis in Bayesian Model Comparison

CAMA Working Paper No. 45/2019

Number of pages: 28 Posted: 25 Jun 2019

Joshua C. C. Chan, Joshua C. C. Chan, Liana Jacobi and Dan Zhu

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 47 (831,044)

Citation 1

Abstract:

24.

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

Number of pages: 31 Posted: 21 Mar 2024

Yunyun Wang, Tatsushi Oka and Dan Zhu

Monash University - Department of Econometrics and Business Statistics, Keio University and Monash University - Department of Econometrics & Business Statistics

Downloads 43 (862,892)

Citation 1

Abstract:

25.

A Constrained Dynamic Nelson-Siegel Model for Monetary Policy Analysis

Number of pages: 36 Posted: 18 Jul 2024

Jamie Cross, Aubrey Poon, Wenying Yao and Dan Zhu

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 41 (879,684)

Abstract:

26.

Uncertainty and the Term Structure of Interest Rates

Number of pages: 58 Posted: 19 Oct 2024

Jamie Cross, Jamie Cross, Aubrey Poon and Dan Zhu

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 38 (906,427)

Abstract:

27.

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

Number of pages: 33 Posted: 09 Aug 2024

Joshua C. C. Chan, Joshua C. C. Chan, Aubrey Poon and Dan Zhu

Purdue UniversityUniversity of Technology Sydney (UTS) - UTS Business School, University of Kent - School of Economics and Monash University - Department of Econometrics & Business Statistics

Downloads 31 (974,380)

Abstract:

28.

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

Number of pages: 43 Posted: 24 Jul 2024

Joshua C. C. Chan, Joshua C. C. Chan, Davide Pettenuzzo, Dan Zhu and Aubrey Poon

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 29 (995,772)

Abstract:

29.

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 13 (1,191,242)

Dan Zhu

Monash University - Department of Econometrics & Business Statistics

29

Top 18,515

5,681

Top 35,390

31

Scholarly Papers (29)

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract: