BIOGRAPHY
Research Focus: Empirical Asset Pricing, Futures Markets, carbon markets
Secondary Fields: Theoretical Asset Pricing, Derivative pricing
Education:
Ph.D. in Finance, University of Groningen
RESEARCH
Publications:
1. Han, M. (2023). Commodity momentum and reversal: Do they exist, and if so, why? The Journal of Futures Markets , 1– 34. https://doi.org/10.1002/fut.22424.
2. Ding, L., Zhao, Z., and Han, M. (2021). Probability density forecasts for steam coal pricesin china: The role of high-frequency factors. Energy , 220:119758.
3. Han, M., Ding, L., Zhao, X., and Kang, W. (2019). Forecasting carbon prices in the Shenzhen market, China: The role of mixed-frequency factors. Energy , 171:69–76.
4. Ding, L., Lv, Z., Han, M., Zhao, X., and Wang, W. (2019). Forecasting china’s wastewaterdischarge using dynamic factors and mixed-frequency data. Environmental Pollution ,255:113148.
5. Zhao, X., Han, M., Ding, L., and Kang, W. (2018). Usefulness of economic and energydata at different frequencies for carbon price forecasting in the EU ETS. Applied Energy ,216:132–141.
6. Zhao X., Han M., Ding L., Calin AC. (2018). Forecasting carbon dioxide emissions based on a hybrid of mixed data sampling regression model and back propagation neural network in the USA. Environ mental Sci ence and Pollut ion Res earch , 25(3):2899-2910.
Conference Papers:
1. The Net Convenience Yield and the Cross-section of Commodity Returns (with Lammertjan Dam and Bert Scholtens; Submitted)
2. What Drives Commodity Price Variation? (with Lammertjan Dam and Walt Pohl; Submission ready)
Invited Presentations:
European Financial Management Association 2022 Annual Meeting (EFMA 2022, discussant)
International Risk Management Conference 2021 (IRMC2021)
11th International Conference on Applied Energy (ICAE2019)
Fourth Conference on Econometric Models of Climate Change (EMCC-IV)
TEACHING
Master course: Financial Derivatives
Bachelor course: Financial Engineering, Data Analysis and Statistical Software, Theory and Practice of Financial Technology
