Publications by year
In Press
Brown S, Harris M, Srivastava P, Zhang X (In Press). Modelling Illegal Drug Participation. Journal of the Royal Statistical Society Series A: Statistics in Society
Gao J, Peng B, Ren Z, Zhang X (In Press). VARIABLE SELECTION FOR a CATEGORICAL VARYING-COEFFICIENT MODEL WITH IDENTIFICATIONS FOR DETERMINANTS OF BODY MASS INDEX. Annals of Applied Statistics
2021
Yan D, Zhang X, Wang M (2021). A robust bank asset allocation model integrating credit-rating migration risk and capital adequacy ratio regulations.
Annals of Operations Research,
299(1-2), 659-710.
Abstract:
A robust bank asset allocation model integrating credit-rating migration risk and capital adequacy ratio regulations
In this paper, we consider a bank asset allocation problem with uncertain migration risk of credit ratings and capital adequacy ratio (CAR) regulations. In the practical scenarios, the future market values of each risky asset are largely affected by outer complex environments. We only observe the information about their first-moment and marginal second-moment of year-ahead market value of each loan asset. Based on these scenarios, we propose a new distributionally robust optimization model with the chance constraint characterized by uncertain CAR. Following the duality theory in infinite-dimensional optimization problem and the theory of conic linear optimization model, we can reformulate the original problem into a tractable linear deterministic semi-definite programming (SDP) model. By using this tractable linear SDP model, we can provide a robust asset allocation policy to bank managers. Further, we conduct a simulation study to illustrate the application of our method under two different economic conditions, a downward condition and an upward condition. Then a series of sensitivity tests is applied to examine the impacts of various factors, including safety probability, target CAR and recovery rate, on the optimal asset allocations. We also compare the performance of our model and the CVaR model. We demonstrate our model provides an efficient way to deal with the trade-off between expected return and CAR.
Abstract.
DOI.
Feng G, McLaren KR, Yang O, Zhang X, Zhao X (2021). The impact of environmental policy stringency on industrial productivity growth: a semi-parametric study of OECD countries.
Energy Economics,
100, 105320-105320.
DOI.
2020
Tajik F, Wang M, Zhang X, Han J (2020). Evaluation of the impact of body mass index on venous thromboembolism risk factors.
PLoS ONE,
15(7 July).
Abstract:
Evaluation of the impact of body mass index on venous thromboembolism risk factors
In this paper, we investigate the interaction impacts of body mass index (BMI) on the other important risk factors for venous thromboembolism (VTE), using deep venous thrombosis (DVT) patient data from the International Warfarin Pharmacogenetics Consortium (IWPC). We apply eight machine learning techniques, including naive Bayes classifier (NB), support vector machine (SVM), elastic net regression (ENET), logistic regression (LR), lasso regression (LAR), multivariate adaptive regression splines (MARS), boosted regression tree (BRT) and random forest model (RF). The RF method is selected as the best model for classification. Out of 33 features considered in this study, we identify 12 variables as relatively important risk factors for VTE. Finally, we examine the interaction impacts of BMI on these important VTE risk factors. We conclude that the impacts of risk factors on VTE incidence are varying across different BMI groups, and the variations are different for different risk factors. Therefore the interaction impacts of BMI on the other risk factors have to be taken into account in order to better understand the incidence of VTE.
Abstract.
DOI.
Price S, Zhang X, Spencer A (2020). Measuring the impact of national guidelines: what methods can be used to uncover time-varying effects for healthcare evaluations?.
Social Science and Medicine, n/a-n/a.
DOI.
Price S, Spencer A, Zhang X, Ball S, Lyratzopoulos G, Mujica-Mota R, Stapley S, Ukoumunne OC, Hamilton W (2020). Trends in time to cancer diagnosis around the period of changing national guidance on referral of symptomatic patients: a serial cross-sectional study using UK electronic healthcare records from 2006–17.
Cancer Epidemiology,
69, 101805-101805.
DOI.
2019
Adams L (2019). Reputation in Indefinite Interactions: Experimental and Empirical Evidence.
Abstract:
Reputation in Indefinite Interactions: Experimental and Empirical Evidence
This thesis models the importance of reputation in indefinite interactions using experimental and empirical evidence. In modern society reputation plays an important role in many everyday life situations. I analyse the resulting incentive structures through microeconomic modelling and econometric regression analysis. Thus, I gauge the impact of reputational considerations on individual decision making.
Abstract.
2018
Feng G, Gao J, Zhang X (2018). Estimation of technical change and price elasticities: a categorical time–varying coefficient approach.
Journal of Productivity Analysis,
50(3), 117-138.
Abstract:
Estimation of technical change and price elasticities: a categorical time–varying coefficient approach
We propose a categorical time-varying coefficient translog cost function, where each coefficient is expressed as a nonparametric function of a categorical time variable, thereby allowing each time period to have its own set of coefficients. Our application to U.S. electricity firms reveals that this model offers two major advantages over the traditional time trend representation of technical change: (1) it is capable of producing estimates of productivity growth that closely track those obtained using the Törnqvist approximation to the Divisia index; and (2) it can solve a well-known problem commonly referred to as “the problem of trending elasticities”.
Abstract.
DOI.
2017
Hillberry R, Zhang X (2017). Policy and performance in customs: Evaluating the trade facilitation agreement.
Review of International Economics,
26(2), 438-480.
DOI.
Feng G, Peng B, Zhang X (2017). Productivity and efficiency at bank holding companies in the U.S.: a time-varying heterogeneity approach. Journal of Productivity Analysis, 48, 179-192.
2016
Feng G, Gao J, Peng B, Zhang X (2016). A Varying-Coefficient Panel Data Model with Fixed Effects: Theory and an Application to U.S. Commercial Banks.
Journal of Econometrics,
196, 68-82.
DOI.
Hauck K, Zhang X (2016). Heterogeneity in the Effect of Common Shocks on Healthcare Expenditure Growth.
Health Economics,
25(9), 1090-1103.
DOI.
2015
Hong KJ, Peng B, Zhang X (2015). Capturing the Impact of Unobserved Sector-Wide Shocks on Stock Returns with Panel Data Model.
Economic Record,
91(295), 495-508.
DOI.
2014
Feng G, Zhang X (2014). Returns to scale at large banks in the US: a random coefficient stochastic frontier approach.
Journal of Banking & Finance,
39, 135-145.
DOI.
2013
Griffiths W, Zhang X, Zhao X (2013). Estimation and efficiency measurement in stochastic production frontiers with ordinal outcomes.
Journal of Productivity Analysis,
42(1), 67-84.
DOI.
Zhang X, Hauck K, Zhao X (2013). PATIENT SAFETY IN HOSPITALS - a BAYESIAN ANALYSIS OF UNOBSERVABLE HOSPITAL AND SPECIALTY LEVEL RISK FACTORS.
Health Economics,
22(9), 1158-1174.
DOI.
2012
Feng G, Zhang X (2012). Productivity and efficiency at large and community banks in the US: a Bayesian true random effects stochastic distance frontier analysis.
Journal of Banking & Finance,
36(7), 1883-1895.
DOI.
2009
Zhang X, Zhao X, Harris A (2009). Chronic diseases and labour force participation in Australia.
Journal of Health Economics,
28(1), 91-108.
DOI.