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Dan Zhu
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Cited by
Year
The effect of human mobility restrictions on the COVID-19 transmission network in China
T Oka, W Wei, D Zhu
PloS one 16 (7), e0254403, 2021
322021
First-and second-order Greeks in the Heston model
JH Chan, MS Joshi, D Zhu
Journal of Risk 17 (4), 2015
182015
Efficient selection of hyperparameters in large Bayesian VARs using automatic differentiation
JCC Chan, L Jacobi, D Zhu
Journal of Forecasting 39 (6), 934-943, 2020
142020
Automated sensitivity analysis for Bayesian inference via Markov chain Monte Carlo: Applications to Gibbs sampling
L Jacobi, MS Joshi, D Zhu
Available at SSRN 2984054, 2018
132018
Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier Cosine method
B Kang, Y Shen, D Zhu, J Ziveyi
Insurance: Mathematics and Economics 105, 96-127, 2022
122022
Constructing density forecasts from quantile regressions: Multimodality in macro-financial dynamics
J Mitchell, A Poon, D Zhu
FRB of Cleveland Working Paper, 2022
122022
Indirect inference with a non-smooth criterion function
DT Frazier, T Oka, D Zhu
Journal of Econometrics 212 (2), 623-645, 2019
112019
How sensitive are VAR forecasts to prior hyperparameters? An automated sensitivity analysis
JCC Chan, L Jacobi, D Zhu
Topics in Identification, Limited Dependent Variables, Partial Observability …, 2019
102019
High-dimensional conditionally Gaussian state space models with missing data
JCC Chan, A Poon, D Zhu
Journal of Econometrics 236 (1), 105468, 2023
82023
Predictive risk analysis using a collective risk model: Choosing between past frequency and aggregate severity information
R Oh, Y Lee, D Zhu, JY Ahn
Insurance: Mathematics and Economics 96, 127-139, 2021
72021
Optimal partial proxy method for computing gammas of financial products with discontinuous and angular payoffs
MS Joshi, D Zhu
Applied Mathematical Finance 23 (1), 22-56, 2016
72016
Generic improvements to least squares monte carlo methods with applications to optimal stopping problems
W Wei, D Zhu
European Journal of Operational Research 298 (3), 1132-1144, 2022
62022
An exact method for the sensitivity analysis of systems simulated by rejection techniques
MS Joshi, D Zhu
European Journal of Operational Research 254 (3), 875-888, 2016
62016
Valuing variable annuities with path-dependent surrender guarantees under regime-switching Lévy models
M Ai, Z Zhang, D Zhu
Scandinavian Actuarial Journal 2023 (4), 330-358, 2023
42023
Efficient estimation of state-space mixed frequency VARs: A precision-based approach
J Chan, A Poon, D Zhu
arXiv preprint arXiv:2112.11315, 2021
42021
Dynamic asset allocation for target date funds under the benchmark approach
J Sun, D Zhu, E Platen
ASTIN Bulletin: The Journal of the IAA 51 (2), 449-474, 2021
42021
Bayesian mixed-frequency quantile vector autoregression: Eliciting tail risks of monthly US GDP
M Iacopini, A Poon, L Rossini, D Zhu
Journal of Economic Dynamics and Control 157, 104757, 2023
32023
Bivariate distribution regression with application to insurance data
Y Wang, T Oka, D Zhu
Insurance: Mathematics and Economics 113, 215-232, 2023
32023
Conditional forecasts in large bayesian VARs with multiple soft and hard constraints
JCC Chan, D Pettenuzzo, A Poon, D Zhu
Available at SSRN 4358152, 2023
32023
An automated prior robustness analysis in Bayesian model comparison
JCC Chan, L Jacobi, D Zhu
Journal of Applied Econometrics 37 (3), 583-602, 2022
32022
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Articles 1–20