Jin-Huei Yeh, Professor

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Faculty-Jin-Huei Yeh, Professor

Jin-Huei Yeh, Professor

Education
Ph.D. in Economics, National Taiwan University, Taiwan
Research Expertise
Econometric Theory and Applications, Empirical Asset Pricing, Investment and Risk Management, Decision Support System
Office
I1-810
EXT.
66255
Email
jhyeh@ncu.edu.tw
Papers
  1. Jin‑Huei Yeh, & Wang, J. N. (2019). Bias-corrected realized variance. Econometric Reviews, 38(2), 170-192.
  2. Jin‑Huei Yeh & Wang, J. N. (2016). A New Approach for Identification and Characterization of Price Jumps. Journal of Management and Business Research, 33(2), 355-381.
  3. Jin‑Huei Yeh, Chang, C. C., & Chao, C. H.(2016). The role of buy-side anchoring bias: Evidence from the real estate market. Pacific-Basin Finance Journal, 38, 34-58.
  4. Jin‑Huei Yeh,  Yun-Ching Chang, & Shan-Ying Chu (2016), How Can Econometrics and Finance be Used to Help Judges Identify Stock Manipulation, 45,no 2, 2017 / 06 / 01)， P225 - 298.
  5. Jin‑Huei Yeh, Chang, C. C., & Chao, C. H.(2016), Anchoring Bias in House Purchasing Decisions: A Quantile Regression Perspective, Academia Economic Papers.
  6. Jin‑Huei Yeh,  Yun-Ching Chang, & Shan-Ying Chu(2015), Pump and Dump Price Manipulation and Early Detection in Taiwan, Academia Economic Papers, 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. Jin‑Huei Yeh, &  Tai-Shiang Huang (2012), Long-run Risk and Macroeconomic Fundamentals, Academia Economic Papers, 40(2), 199‑235.
  11. Jin‑Huei Yeh, Nick Y. P. Cheng, & Jying-Nan Wang) (2012), Empirical Decomposition and Economic Growth Forecasting, Academia Economic Papers, 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. Jin‑Huei Yeh, Jying-Nan Wang, & 林宗漢合著 (2011), 台灣房市存在股價泡沫嗎?, Academia Economic Papers, 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.
Conference papers
  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.
Books and other
  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
Research grant
  1. 2014年度，“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。
  2. 2013年度，“定價誤差與個別風險波動的迷思” 102-2410-H-008-012，National Science Council。
  3. 2012年度，“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。
  4. 2011年度，“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，
  5. 2009年度， “波動共通性的認識、建模、預測與應用,” NSC98-2410-H-008-031-MY2，National Science Council。
  6. 2008年度，“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。
  7. 2007年度，“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。
  8. 2006年度，“A New Class of Downside Risk in Cross-sectional Equity Returns,” 95-2415-H-155-003，National Science Council。
  9. 2006年度，“Market Fear Gauge as the Source of Volatility Asymmetry” 403018，Yuan Ze University。
  10. 2006年度，“A New Event-Driven Stochastic Volatility Model for Financial Time Series,” , NSC 95-2415-H-155 -001，National Science Council。