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 1,887 (22,111)

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 760 (82,327)

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 566 (120,556)

Abstract:

4.

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 341 (219,135)

Abstract:

5.

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 340 (219,867)

Abstract:

6.

Modeling and Forecasting Count Data with Bayesian Vector Autoregressions

Downloads 253 (301,349)

Citation 1

2

Modeling and Forecasting Count Data with Bayesian Vector Autoregressions

Number of pages: 47 Posted: 13 Jun 2025

Davide Pettenuzzo, Aubrey Poon and Dan Zhu

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

Downloads 233 (325,133)

Abstract:

Modeling and Forecasting Count Data with Bayesian Vector Autoregressions

Number of pages: 47 Posted: 15 Jul 2025

Davide Pettenuzzo, Aubrey Poon and Dan Zhu

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:

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 206 (369,861)

Citation 4

Abstract:

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:

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)

Abstract:

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

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 184 (413,774)

Citation 4

Abstract:

11.

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 179 (422,345)

Citation 3

Abstract:

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:

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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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

Abstract:

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)

Abstract:

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:

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)

Abstract:

18.

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

Downloads 115 (617,542)

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 64 (938,792)

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 51 (1,072,374)

Abstract:

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

Abstract:

20.

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

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

Downloads 108 (649,907)

Abstract:

21.

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, Hunan University - School of Finance and Statistics, Macquarie University, Macquarie Business School and Monash University

Downloads 103 (679,608)

Citation 2

Abstract:

22.

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 97 (704,534)

Abstract:

23.

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 95 (715,072)

Abstract:

24.

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 95 (715,072)

Abstract:

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

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 88 (753,595)

Citation 4

Abstract:

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

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 88 (753,595)

Abstract:

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

Davide Pettenuzzo, Aubrey Poon and Dan Zhu

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

Downloads 85 (777,583)

Abstract:

28.

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 79 (809,932)

Citation 1

Abstract:

29.

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 67 (899,324)

Citation 3

Abstract:

30.

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 64 (924,743)

Abstract:

31.

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 47 (1,097,529)

Abstract:

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)

Abstract:

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)

Abstract:

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:

35.

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

Number of pages: 47 Posted: 24 Jan 2026

Davide Pettenuzzo, Aubrey Poon and Dan Zhu

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:

36.

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

Number of pages: 58 Posted: 05 Mar 2026

Xiaoyan Zhou, Joshua CC Chan and Dan Zhu

Beijing Normal-Hong Kong Baptist University, Purdue University and Monash University - Department of Econometrics & Business Statistics

Downloads 18 (1,470,786)

Abstract:

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:

38.

Bayesian Regularized U-MIDAS under Extreme Frequency Mismatch

Number of pages: 62 Posted: 14 Apr 2026

Xiaoyan Zhou, Joshua C. C. Chan, Joshua C. C. Chan and Dan Zhu

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)

Dan Zhu

Monash University - Department of Econometrics & Business Statistics

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