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 | 34 | 2021 |
First-and second-order Greeks in the Heston model JH Chan, MS Joshi, D Zhu Journal of Risk 17 (4), 2015 | 18 | 2015 |
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 | 14 | 2022 |
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 | 14 | 2020 |
Constructing density forecasts from quantile regressions: Multimodality in macrofinancial dynamics J Mitchell, A Poon, D Zhu Journal of Applied Econometrics, 2022 | 13 | 2022 |
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 | 13 | 2018 |
Indirect inference with a non-smooth criterion function DT Frazier, T Oka, D Zhu Journal of Econometrics 212 (2), 623-645, 2019 | 11 | 2019 |
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 | 10 | 2019 |
High-dimensional conditionally Gaussian state space models with missing data JCC Chan, A Poon, D Zhu Journal of Econometrics 236 (1), 105468, 2023 | 9 | 2023 |
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 | 8 | 2021 |
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 | 7 | 2016 |
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 | 6 | 2023 |
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 | 6 | 2022 |
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 | 6 | 2016 |
Bivariate distribution regression with application to insurance data Y Wang, T Oka, D Zhu Insurance: Mathematics and Economics 113, 215-232, 2023 | 5 | 2023 |
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 | 5 | 2023 |
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 | 4 | 2023 |
Efficient estimation of state-space mixed frequency VARs: A precision-based approach J Chan, A Poon, D Zhu arXiv preprint arXiv:2112.11315, 2021 | 4 | 2021 |
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 | 4 | 2021 |
An automated prior robustness analysis in Bayesian model comparison JCC Chan, L Jacobi, D Zhu Journal of Applied Econometrics 37 (3), 583-602, 2022 | 3 | 2022 |