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MONASH UNIVERSITY profile page

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Scopus Author ID: 57158053200
Scopus Author ID: 57158053200

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Employment (2)

MONASH UNIVERSITY: Clayton, AU

Employment
Source: check_circle
Monash University

Monash University: Clayton, VIC, AU

2016-03-01 to present
Employment
Source: Self-asserted source
Dan Zhu

Education and qualifications (1)

University of Melbourne: Melbourne, VIC, AU

2012-03-01 to 2016-03-01 | PhD (Economics)
Education
Source: Self-asserted source
Dan Zhu

Professional activities (1)

Institute of Actuaries of Australia: Sydney, NSW, AU

2016-08 to present | Fellow
Membership
Source: Self-asserted source
Dan Zhu

Works (19)

Conditional forecasts in large Bayesian VARs with multiple equality and inequality constraints

Journal of Economic Dynamics and Control
2025-04 | Journal article
DOI: 10.1016/j.jedc.2025.105061
Contributors: Joshua C.C. Chan; Davide Pettenuzzo; Aubrey Poon; Dan Zhu
Source: check_circle
Crossref

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

Journal of Business & Economic Statistics
2025-01-02 | Journal article
DOI: 10.1080/07350015.2024.2329639
Contributors: Liana Jacobi; Dan Zhu; Mark Joshi
Source: check_circle
Crossref

Do Recessions and Bear Markets Occur Concurrently across Countries? A Multinomial Logistic Approach

Journal of Financial Econometrics
2024-12-15 | Journal article
DOI: 10.1093/jjfinec/nbae003
Contributors: Aubrey Poon; Dan Zhu
Source: check_circle
Crossref

Hybrid unadjusted Langevin methods for high-dimensional latent variable models

Journal of Econometrics
2024-04 | Journal article
DOI: 10.1016/j.jeconom.2024.105741
Contributors: Rubén Loaiza-Maya; Didier Nibbering; Dan Zhu
Source: check_circle
Crossref

Multi-population mortality modelling: a Bayesian hierarchical approach

ASTIN Bulletin
2024-01 | Journal article
DOI: 10.1017/asb.2023.29
Contributors: Jianjie Shi; Yanlin Shi; Pengjie Wang; Dan Zhu
Source: check_circle
Crossref

Bayesian mixed-frequency quantile vector autoregression: Eliciting tail risks of monthly US GDP

Journal of Economic Dynamics and Control
2023-12 | Journal article
DOI: 10.1016/j.jedc.2023.104757
Contributors: Matteo Iacopini; Aubrey Poon; Luca Rossini; Dan Zhu
Source: check_circle
Crossref

Target benefit versus defined contribution scheme: a multi-period framework

ASTIN Bulletin
2023-09 | Journal article
DOI: 10.1017/asb.2023.27
Contributors: Ping Chen; Haixiang Yao; Hailiang Yang; Dan Zhu
Source: check_circle
Crossref

Generic improvements to least squares monte carlo methods with applications to optimal stopping problems

European Journal of Operational Research
2022-05 | Journal article
DOI: 10.1016/j.ejor.2021.08.016
Contributors: Wei Wei; Dan Zhu
Source: check_circle
Crossref

A new Bayesian model for contagion and interdependence

Econometric Reviews
2022-05-13 | Journal article
DOI: 10.1080/07474938.2022.2072319
Part of ISSN: 0747-4938
Part of ISSN: 1532-4168
Source: Self-asserted source
Dan Zhu

An automated prior robustness analysis in Bayesian model comparison

Journal of Applied Econometrics
2022-04 | Journal article
DOI: 10.1002/jae.2889
Contributors: Joshua C. C. Chan; Liana Jacobi; Dan Zhu
Source: check_circle
Crossref

Predictive risk analysis using a collective risk model: Choosing between past frequency and aggregate severity information

Insurance: Mathematics and Economics
2021-01 | Journal article
DOI: 10.1016/j.insmatheco.2020.11.002
Contributors: Rosy Oh; Youngju Lee; Dan Zhu; Jae Youn Ahn
Source: check_circle
Crossref

Efficient selection of hyperparameters in large Bayesian VARs using automatic differentiation

Journal of Forecasting
2020-09 | Journal article
DOI: 10.1002/for.2660
Contributors: Joshua C. C. Chan; Liana Jacobi; Dan Zhu
Source: check_circle
Crossref

Indirect inference with a non-smooth criterion function

Journal of Econometrics
2019-10 | Journal article
DOI: 10.1016/j.jeconom.2019.06.003
Part of ISSN: 0304-4076
Source: Self-asserted source
Dan Zhu

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

Advances in Econometrics
2019-08-30 | Book chapter
DOI: 10.1108/s0731-90532019000040a010
Part of ISBN: 9781789732429
Part of ISSN: 0731-9053
Source: Self-asserted source
Dan Zhu

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

Applied Mathematical Finance
2016 | Journal article
DOI: 10.1080/1350486X.2016.1156487
EID:

2-s2.0-84961217848
Contributors: Joshi, M.S.; Zhu, D.
Source: Self-asserted source
Dan Zhu via Scopus - Elsevier
grade
Preferred source (of 2)‎

The efficient computation and the sensitivity analysis of finite-Time ruin probabilities and the estimation of risk-based regulatory capital

ASTIN Bulletin
2016 | Journal article
DOI: 10.1017/asb.2016.5
EID:

2-s2.0-84960090570
Contributors: Joshi, M.S.; Zhu, D.
Source: Self-asserted source
Dan Zhu via Scopus - Elsevier
grade
Preferred source (of 2)‎

An exact method for the sensitivity analysis of systems simulated by rejection techniques

European Journal of Operational Research
2016-11-01 | Journal article | Author
DOI: 10.1016/j.ejor.2016.04.024
SOURCE-WORK-ID:

31a93e86-4d30-42b0-8547-26db6a7f2a78

EID:

2-s2.0-84992311319
Contributors: Mark S. Joshi; Dan Zhu
Source: check_circle
Monash University
grade
Preferred source (of 2)‎

An exact and efficient method for computing cross-Gammas of Bermudan swaptions and cancelable swaps under the Libor market model

Journal of Computational Finance
2016-09-01 | Journal article | Author
DOI: 10.21314/JCF.2016.311
SOURCE-WORK-ID:

90e3717f-841a-4d80-b44c-38fe93f452d9

EID:

2-s2.0-84993967115

WOSUID:

000383889100005
Contributors: Mark S. Joshi; Dan Zhu
Source: check_circle
Monash University

First- and second-order Greeks in the Heston model

Journal of Risk
2015 | Journal article
EID:

2-s2.0-84973567135
Contributors: Chan, J.H.; Joshi, M.; Zhu, D.
Source: Self-asserted source
Dan Zhu via Scopus - Elsevier
grade
Preferred source (of 2)‎

Peer review (7 reviews for 4 publications/grants)

Review activity for European journal of operational research. (3)
Review activity for Insurance. Mathematics & economics (2)
Review activity for International review of economics & finance. (1)
Review activity for Journal of economic dynamics & control. (1)
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