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專任老師
葉錦徽 副教授兼系主任
學歷: 國立台灣大學經濟博士
專長: 經濟財務計量理論與應用、資產定價實證、投資與風險管理、資料支援智慧決策分析
辦公室: 管二館 810
分機: 66255
聯絡信箱 : jhyeh@ncu.edu.tw
個人網頁 : http://fm.mgt.ncu.edu.tw/teacher/Jin-Huei%20Yeh.htm

期刊論文

  1. Jin-Huei Yeh (with Jying-Nang Wang) (2016), A New Approach for Identification and Characterization of Price Jumps, Journal of Management, forthcoming.
  2. Jin-Huei Yeh (with Chuang-Chang Chang, Ching-Hsiang Chao) (2016), The Role of Buy-side Anchoring Bias: Evidence from the Real Estate Market, Pacific Basin Finance Journal, forthcoming.
  3. Jin-Huei Yeh (with Jying-Nang Wang) (2016), Bias-corrected realized variance, Econometric Reviews, forthcoming.
  4. 葉錦徽  (與朱珊瑩、張芸菁合著) (2016), 計量與財務如何為司法討論違反證交法155 條之股價操縱案開一扇窗, 即將刊登於經濟論文叢刊.
  5. 葉錦徽  (與張傳章、趙慶祥合著) (2016), 購屋決策之定錨偏誤--分量迴歸之觀點, 即將刊登於經濟論文叢刊.
  6. 葉錦徽 (與朱珊瑩、林怡諄合著) (2015), 拉高倒貨型的股價操縱之台灣經驗與預警, 經濟論文, 43(4), 589-638.
  7. Jin-Huei Yeh (with Lien-Chuan Chen), (2014), Stabilizing the market with short sale constraint? New evidence from price jump activities, Finance Research Letters, 11, 238-246.
  8. Jin-Huei Yeh (with Jying-Nang Wang and Chung-Ming Kuan) (2014), A Simple Noise-robust Inter-Quantile-Range-based Volatility, Review of Quant. Finance and Accounting, 43, 751-779.
  9. Jin-Huei Yeh, Jying-Nan Wang, Chung-Ming Kuan (2014), A noise-robust estimator of volatility based on interquantile ranges, Review of Quantitative Finance and Accounting.
  10. 葉錦徽 (與黃泰翔合著) (2012), 股市的長期風險管理與總體經濟基要, 經濟論文, 40(2), 199-235.
  11. 葉錦徽 (與程英賓、王景南合著) (2012), 經濟解構法與台灣經濟成長之預測, 經濟論文, 40(4), 559-598.
  12. Jin-Huei Yeh (with Jying-Nan Wang and Nick Cheng) (2011), How Accurate is the Square-Root-Of-Time Rule at Scaling Tail Risk: A Global Study, Journal of Banking and Finance, 35(5), 1158-1169.
  13. Jin-Huei Yeh (with Ruey S.Tsay) (2011), Random Aggregation with Applications in High-Frequency Finance, Journal of Forecasting, 30, 72-103.
  14. 葉錦徽 (與王景南、林宗漢合著) (2011), 台灣房市存在股價泡沫嗎?, 經濟論文, 39(1), 61-89.
  15. Jin-Huei Yeh (with Jying-Nan Wang) (2010), Correcting Microstructure Comovement Biases for Integrated Covariance, Finance Research Letters, 7(3), 184-191.
  16. Jin-Huei Yeh (with Chung-Ming Kuan) (2009), Assessing Value at Risk with CARE: Conditional AutoRegressive Expectile Models, Journal of Econometrics, 150, 261-270.

研討會

  1. Yeh, J.-H., S.-Y. Chu (2012), On the Determinants and Evolovement of Happiness across Time among Taiwanese People., .
  2. Jin-Huei Yeh, Lien-Chuan Chen (2012), Market Efficiency, Stability and Short-Sale Constraints: Evidence from Taiwan, .
  3. Jin-Huei Yeh, Mu-Shu Yun (2012), Identifying and Understanding Asset Price Cojumps, .
  4. Jin-Huei Yeh, Mu-Shu Yun (2011), Identification of Price Jumps, Cojumps and Tail Dependence in Financial Asset Prices, .
  5. Jin-Huei Yeh,Ruey Tsay, C.-M. Kuan (2011), Synchronizing Asynchronously Traded Financial Assets for Noise-Robust Realized Covariance, .
  6. Yeh, J.-H., Ruey, S. Tsay, C.-M. Kuan (2011), Synchronizing Asynchronously Traded Financial Assets for Noise-Robust Realized Covariance, .
  7. Jin-Huei Yeh, Ruey Tsay, C.-M. Kuan (2011), Synchronizing Asynchronously Traded Financial Assets for Noise-Robust Realized Covariance, .
  8. Yeh, J.-H., Nick Cheng (2010), On the Empirical Decomposition and Forecasting of Economic Growth of Taiwan, .
  9. Jin-Huei Yeh, Jying-Nan Wang, Yu-Pin Hu (2010), Resolving Volatility from Microstructure Noises Coinstantaneously, .
  10. 葉錦徽 (2010), A Simple Noise-Free Realized Estimator for Volatility, .
  11. Yeh, J.-H., T.-S., Huang (2010), Decomposing Long Run Risk with Macroeconomic Fundamentals, .
  12. Yeh, J.-H., Ruey Tsay, C.-M. Kuan (2010), Synchronizing Asynchronously Traded Financial Assets for Noise-Robust Realized Covariance, .
  13. 葉錦徽*,王景南 (2010), Bias-corrected Realized Variance, .
  14. Jin-Huei Yeh,J.-W. Huang, C.-C. Hsu (2009), Hedging Ideally with Realized Covariance, .
  15. “A New Jump-Free Quantile-Based Estimator for Volatility via High Frequency,” (with Jying-Nang Wang, Chung-Ming Kuan, and Sy-Ming Guu) (2007), , The 2007 Far-Eastern Summer Meeting of the Econometric Society, Academia Sinica, Taipei, Taiwan.
  16. “Realized Volatility and Correlation for Non-Synchronously Traded Financial Assets,” (with Chung-Ming Kuan) (2007), , The 2007 North American Summer Meeting of the Econometric Society, Duke University, Durham, North Carolina, USA.
  17. “Assessing Value at Risk with CARE: Conditional AutoRegressive ExpectileModels,” (with Chung-Ming Kuan) (2005), , The Macroeconomic and Econometric Modelling Conference, Academia Sinica, Taipei, Taiwan.
  18. “Assessing Value at Risk with CARE: Conditional AutoRegressive Expectile Model,” (with Chung-Ming Kuan) (2005), , The 2005 Annual Conference of Taiwan Economic Association and North American Chinese Economic Association, NCCU, Taipei, Taiwan.
  19. “Non-synchronous Trading and High Frequency Beta,” (with Ruey S. Tsay) (2004), , The 12th Conference on the Theories and Practices of Securities and Financial Markets, National Sun Yat-Sen University, Kaohsiung, Taiwan.
  20. “Non-synchronous Trading and High Frequency Beta,” (with Ruey S. Tsay) (2004), , The 2004 International Conference on Finance, National Taiwan University, Taipei, Taiwan.
  21. “Market Fear Gauge as the Source of Volatility Asymmetry – A New Perspective,” (with Chi-Feng, J., Tzeng) ( 2007), , The Third Symposium on Econometric Theory and Applications, Hong Kong University of Science and Technology, Hong Kong.
  22. “Assessing Value at Risk with CARE: Conditional AutoRegressive Expectile Models,” (with Chung-Ming Kuan) ( 2006), , The 2006 Far-Eastern Summer Meeting of the Econometric Society, Tsing-Hua University, Beijing, China.

著作

  1. 葉錦徽, 林怡諄 2013 股價操縱的台灣經驗 Equity Price Manipulations in Taiwan
  2. Jin-Huei Yeh, Shin-Han Shie 2013 The Cross-asset Spillovers in Business and Investor Sentiment Cycles
  3. Jin-Huei Yeh, Lien-Chuan Chen 2013 Stabilizing the Market with Short Sale Constraint? New Evidence from Price Jump Activities

專利

研究計畫


年度 研究計畫名稱 研究計畫經費 補助單位
2014"台灣經濟政策不確定性:指標的建構與其在經濟、財務金融領域的應用" 103-2410-H-008-014-MY2 National Science Council
2013“定價誤差與個別風險波動的迷思” 102-2410-H-008-012 National Science Council
2012 “價格跳躍與共躍的價格變異效果探究與測度-高頻資料的解析” 100-2410-H-008-026 National Science Council
2011“總體與財務時間序列中的趨勢、變化與景氣循環的波動- 以經驗模態解構法觀點出發之比較與應用” 100-2628-H-008-002-MY3 National Science Council
2009“波動共通性的認識、建模、預測與應用,” NSC98-2410-H-008-031-MY2 National Science Council
2008“一個以高頻報酬分量建構共變異與相關矩陣的新方法,” NSC97-2410-H-008-005 National Science Council
2007“非常態非線性世界中的投資風險分散化” NSC 96-2415-H-155-002 National Science Council
2006“A New Class of Downside Risk in Cross-sectional Equity Returns,” 95-2415-H-155-003 National Science Council
2006“Market Fear Gauge as the Source of Volatility Asymmetry” 403018 Yuan Ze University
2006“A New Event-Driven Stochastic Volatility Model for Financial Time Series,” , NSC 95-2415-H-155 -001 National Science Council