Selected Publications by Research Fields since 2018

1. Modeling climate changes and climate change risks

with K. S. Tan  and  M. Fang. 2018. Managing Climate and Carbon Risk in Investment Portfolios. Society of Actuaries (SOA) Climate & Environmental Sustainability Research Committee, Pages 1-54.

with M. Fang and K. S. Tan. 2019. Sustainable portfolio management under climate change. Journal of Sustainable Finance & Investment. Journal of Sustainable Finance & Investment Volume 9, 2019 - Issue 1, Pages 45-67.

with M. Fang and K. S. Tan. 2019. Sustainable Portfolios Under Climate Change: A Framework for Managing Investment-related Climate Change Risks. Risks & Rewards, March, Issue 73, Pages 18-23.

with M. Fang and K. S. Tan. 2021. Valuation of carbon emission allowance options under a close trading phase. Funded by the Society of Actuaries Centers of Actuarial Excellence Research Grant for the project entitled: “Maintaining Financial Stability in an Era of Changing Climate and Demographics.” Working Paper. University of Waterloo.

with M. Fang and K. S. Tan. 2021. Valuation of carbon emission allowance options under a close trading phase. Technical Appendix. Funded by the Society of Actuaries Centers of Actuarial Excellence Research Grant for the project entitled: “Maintaining Financial Stability in an Era of Changing Climate and Demographics.” Working Paper. University of Waterloo.

with M. Fang and K. S. Tan. 2021. Valuation of carbon emission allowance options under an open trading phase. Funded by the Society of Actuaries Centers of Actuarial Excellence Research Grant for the project entitled: “Maintaining Financial Stability in an Era of Changing Climate and Demographics.” Working Paper. University of Waterloo.

with H. Cao. 2021 ESG Information Integration into Portfolio Optimization. Forthcoming in Journal of Risk Management in Financial Institutions.

with Y. P. Samoo, 2021.  Predicting Cost of Damage due to Pluvial Flooding. Working Paper. University of Waterloo.

with Y. Wang. 2022. ESG Integration within Equity Portfolios. Working Paper. University of Waterloo.

with Y. Zhang. 2022. Disagreements on ESG Ratings with Perspectives from Real-Estate Industry. Working Paper. University of Waterloo.

2. Functional Time Series with Applications to Quantitative Finance

with G. Rice and Y. Zhao. 2020. Tests for conditional heteroscedasticity of functional data, Journal of Time Series Analysis, 41, 733-758.

with G. Rice and Y. Zhao. 2020. Forecasting value at risk with intra-day return curves,  International Journal of Forecasting, Volume 36, Issue 3, July–September, Pages 1023-1038.

with K. Ramsay, G. Rice, and Y. Zhao.  2020. CurVol: An R Package for Analyzing Volatility of Functional Time Series Data, December 7, 16 pages. Accessible at https://github.com/yzhao7322/CurVol/blob/master/README.md.

with K.  Ramsay, G. Rice, and Y. Zhao. 2020. A manual for an R Package ‘CurVol’. Accessible at https://rdrr.io/github/yzhao7322/CurVol/man/.

with G. Rice and Y. Zhao. 2021. Functional GARCH-X Model with an Application to Forecasting Crude Oil Return. Working Paper. University of Waterloo.

3. Portfolio Optimization and Risk Management

with D. Guo and C. Weng. 2020. Sample Eigenvalues Adjustment for Portfolio Performance

Improvement under Factor Models. October. Available at SSRN: https://ssrn.com/abstract=2959808 or http://dx.doi.org/10.2139/ssrn.2959808.

with D. Guo, P. Boyle, and  C. Weng. 2020. When Does The 1/N Rule Work? October 28. Available at SSRN:https://ssrn.com/abstract=3111531 or http://dx.doi.org/10.2139/ssrn.3111531.

with D. Guo, P. Boyle and C. Weng. 2020. Eigen Portfolio Selection: A Robust Approach to Sharpe Ratio Maximization. April 1. Available at SSRN: https://ssrn.com/abstract=3070416 or http://dx.doi.org/10.2139/ssrn.3070416.

with D. Guo,  P. Boyle and C. Weng  2020. Age Matters. April 11. Available at SSRN: https://ssrn.com/abstract=3363360 or http://dx.doi.org/10.2139/ssrn.3363360.

4. Others

with D. Melkuev and D. Guo. 2018.  Applications of Random-Matrix Theory and Nonparametric Change-Point Analysis to Three Notable Systemic Crises. A special issue on Systemic Risk Measurement in Quantitative Finance and Economics, 2(2): 413–467

with Z. Men. 2018. A New Variant of Estimation Approach to Asymmetric Stochastic Volatility Model. A special issue on Volatility of Prices of Financial Assets in Quantitative Finance and Economics, 2(2): 325-347. 

with  Y. Shen. 2019 Stationarity as a path property.  Probability and Mathematical Statistics. 39(2), 403-422.

with Z. Men and A. W. Kolkiewicz. 2019. Threshold Stochastic Conditional Duration Model for Financial Transaction Data. Journal of Risk and Financial Management. 12, 88. 

with Tan, K. S. and C. Weng. 2020. Advances in Predictive Analytics. North American Actuarial Journal, Vol. 24, Issue 2, 165-167.

with D. Wang, J. Ding, G. Chu, and D. Xu. 2020. Modelling asset returns in the presence of price limits with Markov-switching mixture of truncated normal GARCH distribution: evidence from China. Applied Economics. Volume 53, 2021. Volume 53, Issue 7. Pages 781-804. Sep 09.

with Z. Men and A. W. Kolkiewicz. 2021. Multiscale stochastic volatility with heavy tail and leverage effect. Journal of Risk and Financial Management. May 18^th, 14(5), 225.

with Diao, L., Y. Meng, C, Weng, and T. S. Wirjanto, 2022. Enhancing Mortality Forecasting Accuracy with Model Averaging and Time Shifting. Working Paper. University of Waterloo.