Yin-Feng Gau, Professor

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Faculty-Yin-Feng Gau, Professor

Yin-Feng Gau, Professor

Education
Ph.D. in Economics, University of California, San Diego
Research Expertise
International Financial Market, Market Microstructure, Financial Time Series Analysis
Office
I1-838
Teaching expertise
Time series analysis, Econometrics, Macroeconomics, Investment, Financial risk management, International Financial Management, International Finance
EXT.
66263
Email
yfgau@ncu.edu.tw
Curriculum Vitae
Yin-Feng Gau
Papers
  1. Wu, Zhen-Xing, Zhen-Wei Hong, Yin-Feng Gau, 2020, The Effect of Algorithmic Trading on Intraday Price Efficiency: Evidence from the Foreign Exchange Market, Journal of Financial Studies, 28, 49-90. 
  2. Gau, Yin‑Feng and Zhen‑Xing Wu (2017), Macroeconomic Announcements and Price Discovery in the Foreign Exchange Market, Journal of International Money and Finance, 79, 232‑254.
  3. Chang, Yating, Yin‑Feng Gau, and Chih‑Chaing Hsu (2017), Liquidity Commonality in Foreign Exchange Markets During the Global Financial Crisis and the Sovereign Debt Crisis: Effects of Macroeconomic and Quantitative Easing Announcements, North American Journal of Economics and Finance, 42, 172‑192. 
  4. Chang, Yating, and Yin‑Feng Gau (2017), Information Effect of Trades Around Macroeconomic Announcements, Journal Financial Studies, 25, 1‑46. 
  5. Wu, Wen‑Lin, and Yin‑Feng Gau (2017), Home Bias in Portfolio Choices: Social Learning among Partially Informed Agents, Review of Quantitative Finance and Accounting, 48, 527‑556. 
  6. Chen, Yu‑Lun, Yin‑Feng Gau, and Wen‑Ju Liao (2016), Trading Activities and Price Discovery in Foreign Currency Futures Markets, Review of Quantitative Finance and Accounting, 46, 793‑818.
  7. Chen, Yu‑Lun and Yin‑Feng Gau (2015), Foreign Exchange Market Intervention and Price Discovery , Journal of The Japanese and International Economies, 38, 217‑227.
  8. Chen, Yu‑Lun and Yin‑Feng Gau (2014), Asymmetric Responses of Ask and Bid Quotes to Information in the Foreign Exchange Market, Journal of Banking and Finance, 38, 194‑204
  9. Chen, Yu‑Lun, Yin‑Feng Gau, Wen‑Ju Liao  (2014), Trading Activities and Price Discovery in Foreign Currency Futures Markets, Review of Quantitative Finance and Accounting,
  10. Gau, Yin‑Feng and Zhen‑Xing Wu (2014), Order Choices under Information Asymmetry in Foreign Exchange Markets, Journal of International Financial Markets, Institutions, and Money, 30, 106‑118.
  11. Chen, Yulun, Yin‑Feng Gau, and Ching‑Yu Wang (2013), Macroeconomic Announcements and Information Asymmetry in the Foreign Exchange Market, Journal of Financial Studies, 21:3; 1‑28
  12. Chen, Ming‑Hsien, Yin‑Feng Gau, and Vivian W. Tai (2013), Issuer Credit Ratings and Warrant‑Pricing Errors, Emerging Markets Finance and Trade, 49:S3, 35‑46 
  13. Chang, Ya‑Kai, Yu‑Lun Chen, Robin K. Chou, and Yin‑Feng Gau (2013), The Effectiveness of Position Limits: Evidence from the Foreign Exchange Futures Markets, Journal of Banking and Finance, 37, 4501-4509
  14. 高櫻芬、宋昌原 (2013), 台灣期貨市場交易制度之變化對於交易量、買賣價差、與波動度的影響, 期貨與選擇權學刊, 6:1, 1‑22
  15. Gau, Yin‑Feng and Wen‑Ju Liao (2012), The Predictability of Excess Returns in the Emerging Bond Markets,  Applied Financial Economics, 22, 1429‑1451 
  16. Chen, Yulun and Yin‑Feng Gau, (2012), Information Shares in Foreign Currency Futures and Spot Markets, Advances in Financial Planning and Forecasting, 
  17. Gau, Yin‑Feng, Mingshu Hua, and Wenlin Wu (2010), International Asset Allocation for Incompletely Informed Investors, Journal of Financial Markets,13, 422‑447 
  18. Chen, Yulun and Yin‑Feng Gau (2010), News Announcements and Price Discovery in Foreign Exchange Spot and Futures Markets, Journal of Banking and Finance, 34, 1628‑1636.
  19. Chen, Yulun and Yin‑Feng Gau (2009), Tick Sizes and Relative Rates of Price Discovery in Stock, Futures, and Options Markets: Evidence from the Taiwan Stock Exchange, Journal of Futures Markets, 29, 74‑93.
  20. Lin, Chih‑Ling, Ming‑Chieh Wang, and Yin‑Feng Gau (2007), Expected Risk and Excess Returns Predictability in Emerging Bond Markets, Applied Economics, 31, 1511‑1529. 
  21. Gau, Yin‑Feng and Mingshu Hua (2007),  Intraday Exchange Rate Volatility: ARCH, News and Seasonality Effects, Quarterly Review of Economics and Finance, 47, 135‑158. 
  22. Hua, Mingshu and Yin‑Feng Gau (2006), Determinants of Periodic Volatility of Intraday Exchange Rates in the Taipei FX Market, Pacific‑Basin Finance Journal, 14, 193‑208.
  23. Gau, Yin‑Feng (2005), Dynamic Interaction of Bid and Ask Quotes in the Japanese Yen‑Dollar Foreign Exchange Market, Sun Yat‑Sen Management Review, 13:3, 873‑896.
  24. Gau, Yin‑Feng (2005), Intraday Volatility in the Taipei FX Market, Pacific‑Basin Finance Journal, 13, 471‑487. 
  25. Gau, Yin‑Feng, Kin‑Fai Wong, and Wei‑Ting Tang (2004), Predicting Currency Crises: The Forecasting Performance of Binomial Choice Models and Markov Switching Models,  Taiwan Banking and Finance Quarterly, 5:4, 59‑76.
Conference papers
  1. Wu, Zhen-Xing, Yin-Feng Gau, 2020, Information Shocks and Order Aggressiveness in the Foreign Exchange Market, 2020 FMA Annual Meeting, New York, USA (October 14-17, 2020). (Accepted)
  2. Chang, Yating, Yin-Feng Gau, Chih-Chiang Hsu, 2019, Liquidity Spillover in the Foreign Exchange Market, American Economic Association 2020 Annual Meeting, San Diego, USA (January 3-5, 2020).
  3. Chang, Yating, Yin-Feng Gau (2019), FX Liquidity Spillover Under Market Uncertainty, 2019 Taiwan Economics Association Annual Conference, Fu Jen Catholic University (December 19, 2019).
  4. Gau, Yin-Feng, Ko-Chin Liang, 2019, Forecasting Bear Stock Market Using Macroeconomic Variables Aligned, 2019 Taiwan Economics Association Annual Conference, Fu Jen Catholic University (December 19, 2019).
  5. Wu, Zhen-Xing, Yin-Feng Gau, 2019, High Frequency Trading and Price Discovery in the Foreign Exchange Market, 2019 Asian Finance Association Annual Conference, Ho Chi Minh City, Vietnam (July 7-9, 2019); The 27th Conference on the Theories and Practices of the Security and Financial Markets, National Sun Yat-Sen University (December 6-7, 2019).
  6. Gau, Yin-Feng, Michelle M. Chu, Hao-Chang Sung, 2019, Price Discovery in Chinese Stock and Bond Markets around Macroeconomic Announcements, WEAI 15th International Conference, Tokyo, Japan (March 21-24, 2019); 2019 China Meeting of the Econometric Society, Guangzhou, China (June 18-20, 2019).
  7. Chen, Jia-Yun, Yin-Feng Gau, 2019, Corporate Governance and Price Efficiency: Evidence from Taiwan Stock Market, 2019 International Conference of Taiwan Finance Association, National Taiwan University (May 24-25, 2019).
  8. Liao, Wenju, Yin-Feng Gau, 2018, Intraday Trading Activities and Returns: Evidence from the Taiwan Futures Exchange, The 14th International Conference on Asian Financial Markets and Economic Development, Kyoto, Japan (December 15-16, 2018).
  9. Liao, Wenju, Zhen-Xing Wu, Yin-Feng Gau, 2018, Herding, Market Stress and Information Risk: Evidence from the Taiwan Futures Market, The 26th Conference on the Theories and Practices of the Security and Financial Markets, National Sun Yat-Sen University (December 7-8, 2018).
  10. Wu, Zhen-Xing, Zhen-Wei Hong, Yin-Feng Gau, 2018, The Effect of Algorithmic Trading on Intraday Price Efficiency: Evidence from the Foreign Exchange Market, 2018 International Conference of Taiwan Finance Association, National Chengchi University (May 25-26, 2018).
  11. Chiou, Jian-Jia, and Yin-Feng Gau, 2017, Does Limited Attention Drive Momentum Effect in FX Markets?, 2017 Taiwan Finance Association Conference on Asset Pricing, National Kaohsiung First University of Science and Technology, Department of Finance (September 29, 2017); The 25th Conference on the Theories and Practices of the Security and Financial Markets, National Sun Yat-Sen University (December 15 – December 16, 2017); 2018 Asian Finance Association Annual Conference, Tokyo, Japan (June 25–July 27, 2018) .
  12. Jian-Jia Chiou and Yin-Feng Gau (2017), Does Limited Attention Drive Momentum Effect in FX Markets?, 2017 Taiwan Finance Association Conference on Asset Pricing, National Kaohsiung First University of Science and Technology, Department of Finance (September 29, 2017).
  13. Gau, Yin-Feng, Zhen-Xing Wu, and Jin-Huei Yeh (2017), Smooth and Rough Price Discovery in the Foreign Exchange Market, 2017 International Conference on Challenge and Perspective on Data Analysis, National Tsing Hua University, Department of Quantitative Finance (June 17 – June 18, 2017).
  14. Chang, Yating, Yin-Feng Gau, and Chih-Chaing Hsu (2016), Liquidity Commonality During Financial Crisis: Effects of News Announcements, 2016 Asian Finance Association Annual Conference, Bangkok, Thailand (June 26– June 28, 2016).
  15. 全泓舟、高櫻芬、張雅婷 (2016), 外匯市場波動和交易量在52週高點與低點附近的變化, 海峽兩岸金融教育聯盟暨中部財金學術聯盟研討會, 靜宜大學, 台中 (May 22, 2016) ; 台灣計量經濟學會2017年年會.
  16. Gau, Yin-Feng and Zhen-Xing Wu (2016), Information Shocks and Order Aggressiveness in the Foreign Exchange Market, The 9th NCTU International Finance Conference (January 8, 2016); 2016 Asian Finance Association Annual Conference, Bangkok, Thailand (June 26– June 28, 2016); The 24th Conference on the Theories and Practices of the Security and Financial Markets, National Sun Yat-Sen University (December 9-10, 2016). (TSSCI ：NSC102-2410-H-008-019-MY2).
  17. Gau, Yin-Feng, Zhen-Xing Wu, and Jin-Huei Yeh (2015), Price Discovery, Jumps and News Announcements in Foreign Exchange Markets, Macroeconometric Modelling Workshop, MMW 2015 (2015總體經濟計量模型研討會), Institute of Economics, Academia Sinica, Taipei (December 3-4, 2015); The 23rd Conference on the Theories and Practices of the Security and Financial Markets, National Sun Yat-Sen University (December 11-12, 2015). (TSSCI ：NSC104-2410-H-008-014-MY3).
  18. Gau, Yin-Feng and Zhen-Xing Wu (2015), Informativeness of Trades Around Macroeconomic Announcements in the Foreign Exchange Market, 2015 Asian Finance Association Annual Conference, Changsha, Hunan, China (June 29 – July 2, 2015); The 23rd Annual Conference on Pacific Basin Finance, Economics, Accounting, and Management, Saigon Technology University, Hochiminh City, Vietnam (July 16-17, 2015); 2016 FMA Annual Conference (October 19-22, 2016), Las Vegas, USA. (TSSCI ：NSC102-2410-H-008-019-MY2).
  19. Chang, Yating, and Yin-Feng Gau (2014), Informational Effects of Trades Around Macroeconomic Announcements, 2014 International Conference of Taiwan Finance Association, National Tsinghua University (May 23-24, 2014); 2014 Asian Meeting of Econometric Society, Taipei (June 20-22, 2014); 2014 Annual Conference of Asian Finance Association, Bali, Indonesia (June 24-26, 2014). (TSSCI ：NSC101-2410-H-008-029).
  20. Chen, Yu-Lun and Yin-Feng Gau (2014), entral Bank Intervention and Price Discovery in Foreign Exchange Markets, 2014 International Conference of Taiwan Finance Association, National Tsinghua University (May 23-24, 2014); 2014 Annual Conference of Asian Finance Association, Bali, Indonesia (June 24-26, 2014).
  21. Gau, Yin-Feng and Zhen-Xing Wu (2014), Macroeconomic Announcements and Price Discovery in the Foreign Exchange Market, 2014 International Conference of Taiwan Finance Association, National Tsinghua University (May 23-24, 2014); 2014 Annual Conference of Asian Finance Association, Bali, Indonesia (June 24-26, 2014). (TSSCI ：NSC 102-2410-H-008 -019 -MY2).
  22. 高櫻芬、廖文如、王喬緯 (2014), 個別投資人日內交易行為及交易績效: 臺灣期貨市場實證分析, 2014 International Conference of Taiwan Finance Association, National Tsinghua University (May 23-24, 2014).
  23. Gau, Yin-Feng and Zhen-Xing Wu (2013), Order Choices under Information Asymmetry in the Foreign Exchange Markets, 2013行為財務學暨新興市場理論與實證研討會, 世新大學 (January 5, 2013). .
  24. Gau, Yin-Feng and Wen-Ju Liao (2012), Business Cycle and Order Imbalance by Investor Type in the Futures Markets, 2012 TFA Conference, Taipei (July 6-9, 2012) ; The 20th Conference on the Theories and Practices of the Security and Financial Markets, National Sun Yat-Sen University (December 14-15, 2012).
  25. Chen, Yu-Lun and Yin-Feng Gau (2012), The informational role of order flow in foreign currency futures and spot markets,  2012 Asian FA conference, Taipei (July 6-9, 2012).
  26. Gau, Yin-Feng and Wenlin Wu (2012), Domestic Bias in Portfolio Choices: Social Learning among Partially Informed Agents, 2012 NTU International Conference on Finance, National Taiwan University (December 6-7, 2012); The 20th Conference on the Theories and Practices of the Security and Financial Markets, National Sun Yat-Sen University (December 14-15, 2012); 2013 TFA Conference, National Yunlin University of Science and Technology (May 31 - June 1, 2013).
  27. Chen, Yu-Lun and Yin-Feng Gau (2011), Government Intervention and Price Discovery in the Foreign Exchange Market, The 4th NCTU International Finance Conference (January 7, 2011); The 19th Conference on the Theories and Practices of the Security and Financial Markets, National Sun Yat-Sen University (December 9-10, 2011); Annual Paris Conference on Business and Social Sciences, Paris, France (July 12-13, 2012).
  28. Gau, Yin-Feng and Wen-Ju Liao (2010), Market Returns and the Trading of Individual and Institutional Investors: Evidence from the Taiwan Futures Exchange , The 23rd Australasian Finance & Banking Conference (AFBC) (December 15-17, 2010); The 18th Conference on the Theories and Practices of the Security and Financial Markets, National Sun Yat-Sen University (December 17-18, 2010); 中部財金學術聯盟暨第八屆金融市場發展研討會 (March 14-15, 2011).
  29. Chen, Yu-Lun and Yin-Feng Gau (2010), Asymmetric Responses of Ask and Bid Quotes to Information in the Foreign Exchange Market, 2010 International Symposium on Financial Engineering and Risk Management, National Taiwan University (June 10-12, 2010); The 8th NTU International Conference on Economics, Finance and Accounting, National Taiwan University (June 21-23, 2010); The 18th Conference on the Theories and Practices of the Security and Financial Markets, National Sun Yat-Sen University. (December 17-18, 2010).
  30. Chen, Yu-Lun, Yin-Feng Gau, and Chin-Yu Wang (2010), Macroeconomic Announcements and Information Asymmetry in the Foreign Exchange Market, Taiwan Finance Association 2010 Annual Conference, National Chi Nan University (May 28-29, 2010); Asia Finance Association 2011 International Conference, University of Macou, Macou (July 10-13, 2011).
  31. Gau, Yin-Feng and Shiang-Chi Luo (2010), Intraday Volatility of Exchange Rates in the Electronic Broking   System, Chinese Probability and Statistics Association 2010 Annual Conference, National Dong Hua University (May 1-2, 2010).
  32. Chen, Ming-Hsien and Yin-Feng Gau (2010), The Role of Issuers Credit Ratings in Dynamic Warrants Pricing, European Financial Management 2010 Symposium on Asian Finance, Renmin University of China, Beijing, China (April 22-24, 2010); 2010 NTU International Conference on Finance (December 10-11, 2010).
  33. Gau, Yin-Feng, Mingshu Hua, and Wenlin Wu (2010), International Asset Allocation for Incompletely Informed Investors, 2010 行為財務學暨新興市場理論與實證研討會, 世新大學 (January 9, 2010).
  34. Chen, Yulun and Yin-Feng Gau (2009), Impacts of News Announcements to Order Flow and Price Discovery in the Foreign Exchange Market, 2009 Annual Conference of Taiwan Finance Association, National Central University (May 12-13, 2009); 2009 Far Eastern Meeting of Econometrics Society, Singapore Management University, Singapore (August 3-5, 2009); The 17th Conference on the Theories and Practices of the Security and Financial Markets, National Sun Yat-Sen University. (December 11-12, 2009).
  35. Gau, Yin-Feng and Wen-Ju Liao (2008), Determinants of Emerging Market Bond Returns, The 16th Conference on the Theories and Practices of the Security and Financial Markets, National Sun Yat-Sen University. (December 5-6, 2008); 2009行為財務學暨新興市場理論與實證研討會, 世新大學 (January 10, 2009).
  36. Chen, Yulun and Yin-Feng Gau (2008), News Announcements and Price Discovery of FX Spot and Futures Markets, 2008 Far Eastern Meeting of Econometrics Society, Singapore Management University, Singapore (July 16-18, 2008); The 16th Conference on the Theories and Practices of the Security and Financial Markets, National Sun Yat-Sen University. (December 5-6, 2008).
  37. Lin, Chih-Ling, Ming-Chieh Wang, and Yin-Feng Gau (2008), Emerging Bond Market Volatility: Dynamic Interdependence and Volatility Transmission between the US and Emerging Bond Markets, Conference on Behavioral Finance and Emerging Markets, Shi-Hsin University.
  38. Chen, Yulun and Yin-Feng Gau (2007), Price Discovery in the Foreign Exchange Futures and EBS Spot Markets, Conference on the Theories and Practices of the Security and Financial Markets, National Sun Yat-Sen University.
  39. Chen, Yulun and Yin-Feng Gau (2006), Tick Sizes and Relative Rates of Price Discovery in Stock, Futures, and Options Markets: Evidence from the Taiwan Stock Exchange, Conference on the Theories and Practices of the Security and Far Eastern Econometric Society Meeting, Taipei, Taiwan.
  40. Chen, Yulun and Yin-Feng Gau (2006), Tick Sizes and Relative Rates of Price Discovery in Stock, Futures, and Options Markets: Evidence from the Taiwan Stock Exchange, Conference on the Theories and Practices of the Security and Financial Markets, National Sun Yat-Sen University.
  41. Gau, Yin-Feng Gau and Kai-Ting Liao (2006), Price Discovery and Exchange Rate Effects: Evidence from the Singapore and Taiwan Futures Exchanges, Conference, San Diego.
  42. Gau, Yin-Feng and Hao-Chang Sung (2005), Implied Risk Aversion and Pricing Kernel, presented in Taiwan Economic Association 2005 Conference .
  43. Kuo, Wen-Hsiu, Hsinan Hsu, and Yin-Feng Gau (2004), The Impacts of QFIIS on the Information Transmissions Between the Taiwan Stock Index Futures and Stock Index Spot, International Conference on Knowledge-based Economy and Global Management, Southern Taiwan University of Technology.
  44. Chen, Susan and Yin-Feng Gau (2003), A Multivariate GARCH in Mean Approach to Investigating the Policy Implication of Central Bank Intervention: Evidence from Taiwan, Fourth Conference on Empirical Economics, National Dong Hua University.
  45. Hua, Mingshu and Yin-Feng Gau (2003), Saturday Trading and Volatility: Evidence from the Taipei Foreign Exchange Market, , Pacific Rim Conference, Western Economic Association International, Taipei.
  46. Yang, Sheng-Yung, Yin-Feng Gau, and Ming-Hsien Chen (2003), The Informational Content of the PHLX European Currency Options Market, Pacific Rim Conference, Western Economic Association International, Taipei.
  47. Gau, Yin-Feng and Ming-Hsien Chen (2002), Forecasting Performance of Stochastic Volatility Implied in the PHLX Currency Options Market, 11th Conference on the Theories and Practices of the the Security and Financial Markets, National Sun Yat-Sen University.
  48. Gau, Yin-Feng and Mingshu Hua (2002), The Periodicity in Intraday Volatility of Exchange Rates, 2002APFA/PACAP/FMA Finance Conference, Tokyo, Japan.
  49. Gau, Yin-Feng (2002), Time-Varying Correlations and Volatilities of Stock Index Futures Returns, International Conference on Finance, National Taiwan University.
  50. Gau, Yin-Feng, and Tung-An Wu (2001), Relation between Volume and Volatility: Evidence from Taiwan Stock Market, The 2001 Annual Conference of Taiwan Economics Association.
  51. Gau, Yin-Feng (2001), Time-Varying Correlations and Volatilities of Stock Index Futures Returns, 10th Conference on the Theories and Practices of the Security and Financial Markets National Sun Yat-Sen University.
  52. Gau, Yin-Feng (2001), The Predictability of Currency Devaluation, Conference on Economics, Soochow University.
  53. Engle, Robert F., and Yin-Feng Gau (2001 ), Heteroskedastic Conditional Volatility of Exchange Rates in an Implicit Target Zone , 8th Annual Asia Pacific Finance Association Annual Conference, Bangkok.
  54. Gau, Yin-Feng (2001), The Predictability of Currency Devaluation, The 2nd Conference on International Business Studies, National Chi Nan University.
  55. Hua, Mingshu, and Yin-Feng Gau (2000), The Periodic Volatility Model of Intraday NTD/USD Exchange Rates, 9th Conference on the Theories and Practices of the the Security and Financial Markets, National Sun Yat-Sen University.
  56. Gau, Yin-Feng (2000), Heteroskedastic Volatility of Exchange Rates in an Implicit Target Zone, 2000 Conference on Asia-Pacific Financial Markets and Economies, Yuan-Ze University.
  57. Engle, Robert F., and Yin-Feng Gau (1998), Evaluation of Stochastic Volatility Models – A Case on Foreign Currency Options, 7th Conference on the Theories and Practices of the Security and Financial Markets, National Sun Yat-Sen University.
  58. Leu, Jen-Kuang, Yin-Feng Gau, and Chien-Fu Lin (1998), Structural Change in Conditional Variance, The Chinese Finance Association Annual Conference, National Central University.
  59. Engle, Robert F., and Yin-Feng Gau (1997), Heteroskedastic Volatility of Exchange Rates Under a Target Zone , Conference on International Business Studies, National Chi Nan University.
  60. Gau, Yin-Feng ( 2003 ), An Alternative Method of Predicting Currency Crisis, Conference on Open Economy and Macroeconomic Econometrics, Institute of Economics, Academia Sinica.
  61. Yang, Sheng-Yung, Yin-Feng Gau, and Ming-Hsien Chen ( 2002), The Informational Content of the PHLX European Currency Options Market, Third Conference on Empirical Economics, National Chi Nan University.
  62. Gau, Yin-Feng, and Yii-Chen Chuang ( 2002), Effects of ADR Issuing on the Underlying Stock, The Third Annual Conference on Empirical Economics, National Chi Nan University.
  63. Gau, Yin-Feng, Jen-Kuang Leu, and Chien-Fu Lin ( 2000), Markov-switching Autoregressive Conditional Heteroskedasticity - Evidence from Taiwan's Stock Market, The 1st Annual Conference on Empirical Economics, National Chung-Cheng University.
  64. Chen, Ming-Hsien and Yin-Feng Gau, 2004, Pricing Currency Options under Stochastic Volatility, presented in 2004 NTU International Conference on Finance. (December 20-21, 2004) and The First SETA Meeting, Institute of Economics, Academia Sinica (May 18-20, 2005) (), , .
  65. Hua, Mingshu and Yin-Feng Gau (), Determinants of Periodic Volatility of Intraday Exchange Rates in the Taipei FX Market, 2004 Asia FA/CFA/FMA Conference, Taipei.
  66. Gau, Yin-Feng and Wei-Ting Tang (), Forecasting Value-at-Risk Using the Markov-Switching ARCH Model, 2004 Far Eastern Meeting of Econometric Society, Seoul.
  67. Gau, Yin-Feng and Peng, Ya-Ling (), The Impact of Quote Frequency on the Dynamics of Quote Revisions in the Foreign Exchange Market, Conference on Contemporary Finance Research, Prudent University.
Books and other
  1. Gau, Yin-Feng 1997 Heteroskedastic Volatility of Foreign Exchange Rates, Ph.D. dissertation, Department of Economics, University of California, San Diego  (論文指導教授: Robert F. Engle) 【蔣經國文教基金會博士論文獎學金】
  2. 高櫻芬 1990 《台灣地區貨幣與物價長期關係之研究》 碩士論文，國立臺灣大學經濟學研究所. (論文指導教授: 吳聰敏) 【台灣經濟學會1990年度碩士論文獎】
Research grant
  1. 107年度，經濟政策不確定性對於外匯市場的影響 (107-2410-H-008-016-MY3)，計劃經費：2,700,000。
  2. 104年度，市場壓力與資訊風險對於從眾行為之影響：台灣期貨市場之實證分析 (104-2410-H-008-009-)，計劃經費：652,000。
  3. 104年度，即期外匯電子交易平台的價格效率 (104-2410-H-008-014-MY3)，計劃經費：2,872,000。
  4. 102年度，總體經濟訊息與外匯市場的交易活動 (102-2410-H-008-019-MY2)，計劃經費：1,209,000。
  5. 101年度，EBS外匯市場委託單之資訊內涵 (101-2410-H-008-029-)，計劃經費：913,000。
  6. 99年度，外匯市場之波動度與訊息不對稱程度 (99-2410-H-008-009-MY2) ，計劃經費：1,570,400。
  7. 97年度，總體經濟宣告對於EBS 即期外匯市場之價格發現的影響 (NSC 97-2410-H-008-061，計劃經費：327,000。
  8. 96年度，新興股票市場的波動性與連動性 (NSC 96-2415-H-260-002-MY2)，計劃經費：1,577,000。
  9. 95年度，中央銀行干預對新台幣兌美元匯率與市場交易量的影響 (NSC 95-2415-H-260-003)，計劃經費：676,000。
  10. 94年度，選擇權交易量之資訊含量 (NSC 94-2415-H-260-001)，計劃經費：565,000。
  11. 93年度，隱含波動性與實現波動性 (NSC 93-2415-H-260-001)，計劃經費：661,200。
  12. 92年度，股票報酬波動與交易量之動態關係 (NSC 92-2416-H-260-007)，計劃經費：798,200。
  13. 91年度，外匯市場之報價頻率與買價賣價之動態 (NSC 91-2416-H-260-007)，計劃經費：407,200。
  14. 89年度，股票指數期貨市場之連動與波動 (NSC 89-2415-H-260-010)，計劃經費：684,100。
  15. 89年度，貨幣金融危機的可預測性 (NSC 89-2415-H-260-003)，計劃經費：600,200。
  16. 88年度，股價波動與漲跌幅限制 (NSC 88-2415-H-260-003)，計劃經費：441,800。