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畢業學校 主修學門系所 學位
國立中央大學 統計研究所 博士
美國加州大學河濱分校 統計研究所 碩士
逢甲大學 統計系 學士
．現職及與專長相關之經歷
現職
逢甲大學統計系暨統計與精算研究所教授兼系主任、所長
經歷
雪梨大學計量經濟與商業統計系教授(授課 Forecasting for Economics and Business )
嶺東科技大學財經學院兼任講座教授
美國加州大學聖地牙哥經濟系訪問學者 (國科會資助)
英國牛津大學統計系訪問學者 (國科會資助)
逢甲大學統計系暨統計與精算研究所副教授
專長
時間數列、計量財務、統計計算、統計方法在流行病學之應用
．研究成果目錄
A.期刊論文
Chen*, C. W. S., Gerlach, R., and So, M. K. P. (2008) Bayesian model selection for heteroskedastic models, accepted, Advances in Econometrics: Bayesian Econometric Methods, 23.
Chen*, C. W. S., Gerlach, R., and Lin, E. M. H. (2007) Volatility forecast using threshold heteroskedastic with inter-day range, accepted, Computational Statistics & Data Analysis, on Statistical & Computational Methods in Finance. [NSC95-2118-M-035-001] (2006 SCI Statistics & Probability, Rank 34/83, Computer Science Interdisciplinary Applications, Rank 29/87, Impact Factor 0.928).
So, M. K. P., Chen*, C. W. S., Lee, J. Y., and Chang, Y. P. (2007) An empirical evaluation of fat-tailed distributions in modeling financial time series, accepted, Mathematics and Computers in Simulation. [NSC94-2118-M-035-001] (2006 SCI Mathematics, Applied, Rank 105/150, Computer Science Interdisciplinary Applications, Rank 67/87, Impact Factor 0.534)
Chiang, T. C., Chen, C. W. S., and So, M. K. P. (2007) Asymmetries in return & volatility and composite news from stock markets, accepted, Multinational Finance Journal. (EconLit)
Lai, Y., Chen*, C. W. S., and Gerlach, R. H. (2007) Optimal dynamic hedging via asymmetric copula-GARCH Models, forthcoming, Mathematics and Computers in Simulation, a special issue on Modelling and Managing Financial Risk. [NSC95-2118-M-035-001] (2006 SCI Mathematics, Applied, Rank 105/150, Computer Science Interdisciplinary Applications, Rank 67/87, Impact Factor 0.534)
Chen*, C. W. S., Gerlach, R. H., Cheng, N.Y.P., and Yang, Y.L. (2007) The Impact of Structural Breaks on the Integration of the ASEAN-5 Stock Markets, forthcoming, Mathematics and Computers in Simulation, a special issue on Modeling and Managing Financial Risk. [NSC95-2118-M-035-001] (2006 SCI Mathematics, Applied, Rank 105/150, Computer Science Interdisciplinary Applications, Rank 67/87, Impact Factor 0.534)
o, M. K. P, Chen, C. W. S., Chiang, T. C. and Lin, D. S. Y. (7/2007) Modeling financial time Series with threshold nonlinearity in returns and trading volume, Applied Stochastic Models in Business and Industry, 23, 319-338. [NSC94-2118-M-035-001] (2006 SCI Statistics & Probability, Rank 66/83, Impact Factor 0.443)
Hsieh, Y.-H., King, C. C., Chen, C. W. S., Ho, M. S., Hsu, S.B. and Wu, YC (1/2007) On the impact of intervention measures and public response for SARS outbreak, Journal of Theoretical Biology, 244, 729-736. (2005 SCI Biology, Rank 18/65, Impact Factor 1.959)
Chen*, C. W. S., Gerlach, R. H., and So, M. K. P. (12/2006) Comparison of nonnested asymmetric heteroscedastic models, Computational Statistics & Data Analysis, a special issue on Nonlinear Modelling and Financial Econometrics, 51, 2164-2178. [NSC94-2118-M-035-001] (2005 SCI Statistics & Probability, Rank 44/81, Computer Science Interdisciplinary Applications, Rank 48/83, Impact Factor 0.733)
Chen, C. W. S., Yang, M. J., Gerlach, R. H., and Lo, H. J. (7/2006) The asymmetric reactions of mean and volatility of stock returns to domestic and international information based on a four-regime double-threshold GARCH Model, Physica A - Statistical Mechanics And Its Applications, 366, 401-418. [NSC93-2118-M-035-003] (2005 SCI Physics, Multidisciplinary, Rank 26/69, Impact Factor 1.332)
Lee, S.-M., Chen*, C. W. S., Gerlach, R. H., and Hwang, L.-H. (6/2006) Estimation in Ricker's two-release method: a Bayesian approach, Australian & New Zealand Journal of Statistics, 48, 157-169. [NSC92-2118-M-035-006] (2005 SCI Statistics & Probability, Rank 59/81, Impact Factor 0.573)
So, M. K. P., Chen*, C. W. S. and Liu, F. C. (4/2006) Best subset selection of autoregressive models with exogenous variables and generalized autoregressive conditional heteroscedasticity errors, Journal of the Royal of Statistical Society Series C, 55, 201-224. [NSC93-2118-M-035-003] (2005 SCI Statistics & Probability, Rank 52/81, Impact Factor 0.641)
Hsieh, Y. H., Chen, C. W. S., Lee, S. M., Chen, Y. M. A., Wu, S. I., Lai, S. F., and Chang, A. L. (4/2006) Estimating HIV-infected population size in hard-to-count men who have sex with men groups: the case of gay saunas patrons in Taipei, Physica A - Statistical Mechanics And Its Applications, 362, 495-503. [DOH92-DC-1026] (2005 SCI Physics, Multidisciplinary, Rank 26/69, Impact Factor 1.332)
Chen*, C. W. S. and Hsieh, Y. H. (1/2006) Bias may be unintentional but it's still there, Nature, 439, 18. (2005 SCI Multidisciplinary Science, Rank 2/48, Impact Factor 29.273)
Gerlach, R., Chen*, C. W. S, Lin, D. S.Y., and Huang, M. H. (2/2006) Asymmetric reaction to trading volume: Evidence from major stock markets based on a double-threshold model, Physica A - Statistical Mechanics And Its Applications, 360, 422-444. [NSC93-2118-M-035-003] (2005 SCI Physics, Multidisciplinary, Rank 26/69, Impact Factor 1.332)
Chen, C. W. S. and So, M. K. P. (1/2006) On a threshold heteroscedastic model. International Journal of Forecasting, 22, 73-89. [NSC93-2118-M-035-003] (2005 SSCI Economics, Rank 70/175, Management, Rank 41/71, Impact Factor 0.753)
Chen*, C. W. S., So, M. K. P., and, Gerlach, R. H. (12/2005) Assessing and testing for threshold nonlinearity in stock returns, Australian & New Zealand Journal of Statistics, 47, 473-488. [NSC92-2118-M-035-006] (2005 SCI Statistics & Probability, Rank 59/81, Impact Factor 0.573)
Chen*, C. W. S. and Yu, T. H. K. (8/2005) Long-term dependence with asymmetric conditional heteroscedasticity in stock returns, Physica A - Statistical Mechanics And Its Applications, 353, 413-424. [ FCU-RD-89-052, FCU-RD-90-051] (2005 SCI Physics, Multidisciplinary, Rank 26/69, Impact Factor 1.332)
Chen, C. W. S., So, M. K. P., and, Gerlach, R. H. (6/2005) Asymmetric response and interaction of US and local markets news in financial markets, Applied Stochastic Models in Business and Industry, 21, 273-288. [NSC92-2118-M-035-006] (2005 SCI Statistics & Probability, Rank 71/81, Impact Factor 0.292)
Hsieh, Y.H., King, C. C., Chen, C. W. S., Ho, M.S., Lee, J.Y., Liu, F.C., Wu, Y.C., and Wu, J. S. (2/2005) Quarantine for SARS, Taiwan, Emerging Infectious Diseases, 11, 278 - 282. (2005 SCI Immunology, Rank 14/115, Infectious Disease, Rank 4/43, Impact Factor 5.308)
So, M. K. P., Chen, C. W. S., Chen, M. T. (1/2005) A Bayesian threshold nonlinearity test in financial time series, Journal of Forecasting, 24, 61-75. [ NSC91-2118-M-035-002] (2005 SSCI Management, Rank 54/71, Planning & Development, Rank 20/38, Impact Factor 0.552)
Chen*, C. W. S., Lee, J. C., Lee, S. Y., and Niu, W. F. (10/2004) Bayesian estimation for time series regressions improved with exact likelihoods, Journal of Statistical Computation and Simulation. 74, 727 - 740. [ NSC91-2118-M-035-002] (2005 SCI Statistics & Probability, Rank 75/81, Impact Factor 0.284)
Hsieh, Y. H., Chen, C. W. S., and Hsu, S. B. (8/2004) SARS outbreak in Taiwan: what we can learn from modeling, Emerging Infectious Diseases, 10, 1515-16. (2005 SCI Immunology, Rank 14/115, Infectious Disease, Rank 4/43, Impact Factor 5.308)
Hsieh, Y. H. and Chen, C. W. S. (5/2004) Mathematical modeling of SARS: errata and updates, Online, Journal of Epidemiology and Community Health. (2005 SCI Public, Environmental & Occupational Health, Rank 15/99, Impact Factor 3.003)
Hsieh, Y. H., Chen, C. W. S., and Hsu, S. B. (2/2004) SARS outbreak, Taiwan, 2003, Emerging Infectious Diseases, 10, 201-206. (2005 SCI Immunology, Rank 14/115, Infectious Disease, Rank 4/43, Impact Factor 5.308)
So, M. K. P. and Chen, C. W. S. (1/2003) Subset threshold autoregression. Journal of Forecasting, 22, 49-66. (2005 SSCI Management, Rank 54/71, Planning & Development, Rank 20/38, Impact Factor 0.552) [NSC90-2118-M-035-008]
Hsieh, Y. H. and Chen, C. W. S. (6/2003) Severe Acute Respiratory Syndrome: Numbers do not tell whole story, British Medical Journal, 326, 1395-1396. (2005 SCI Medicine, General & Internal, Rank 6/105, Impact Factor 9.052)
Chen, C. W. S., Chiang, T. C. and So, M. K. P. (9/2003) Asymmetrical Reaction to US Stock-return News: Evidence from Major Stock Markets Based on a Double-Threshold Model. The Journal of Economics and Business. Special issue on Globalization in the New Millennium: Evidence on Financial and Economic Integration. 55, 487-502. (EconLit) [NSC90-2118-M-035-008]
Hsieh, Y. H. and Chen, C. W. S. (11/2003) Re: Mathematical modeling of SARS: Cautious in all our movements, Journal of Epidemiology and Community Health. Online (2005 SCI Public, Environmental & Occupational Health, Rank 15/99, Impact Factor 3.003)
Hsieh, Y. H., de Arazoza, H., Lee, S.-M., and Chen, C. W. S. (6/2002) Estimating the number of HIV-infected Cubans by sexual contact using contact tracing data, International Journal of Epidemiology, 31, 679-683. (2005 SCI Public, Environmental & Occupational Health, Rank 15/99, Impact Factor 3.003) [NSC88-2118-M-035-001]
Chen*, C. W. S., Cherng, T.-H., and Wu, B. (12/2001) On the selection of subset bilinear time series models: a genetic algorithm approach. Computational Statistics, 16, 505-517. (2005 SCI Statistics & Probability, Rank 74/81, Impact Factor 0.286) [NSC87-2118-M-035-004], [NSC88-2118-M-035-001]
Chen*, C. W. S. and Wen, Y. W. (6/2001) On goodness of fit for time series regression models. Journal of Statistical Computation and Simulation, 69, 239-256. (2005 SCI Statistics & Probability, Rank 75/81, Impact Factor 0.284) [NSC89-2118-M-035-003]
Hsieh, Y. H., Chen, C. W. S., Lee, S.-M., and de Arazoza, H. (2/2001) On the Recent Sharp Increase of HIV Detections in Cuba. Aids, 426-428. (2005 SCI Infectious diseases, Rank 3/43, Impact Factor 5.835) [NSC88-2118-M-035-001]
Hsieh, Y.-H., Chen, C. W. S., and Lee, S.-M. (11/2000) Empirical Bayes approach to estimating the number of HIV-infected individuals in hidden and elusive populations. Statistics in Medicine, 19, 3095-3108. (2005 SCI Statistics & Probability, Rank 12/81, Impact Factor 1.477) [NSC87-2118-M-035-004]
Chen*, C. W. S. (12/1999) Subset selection of autoregressive time series models. Journal of Forecasting, 18, 505-516. (2005 SSCI Management, Rank 54/71, Planning & Development, Rank 20/38, Impact Factor 0.552) [NSC86-2115-M-035-017]
Chen*, C. W. S., Lee, S.-M., Hsieh, Y.-H., and Ungchusak, K. (11/1999) A unified approach to estimating population size for births only models. Computational Statistics & Data Analysis, 32, 29-46. (2005 SCI Statistics & Probability, Rank 44/81, Impact Factor 0.733) [NSC86-2115-M-035-017]
Chen*, C. W. S. (9/1998) A Bayesian analysis of generalized threshold autoregressive models. Statistics and Probability Letters, 40, 15-22. (2005 SCI Statistics & Probability, Rank 72/81, Impact Factor 0.288) [NSC85-2115-M-035-007]
Lee, S.-M. and Chen*, C. W. S. (10/1998) Bayesian inference of population size for Behavioral response models. Statistica Sinica, 8, 1233-1247. (Chen, C. W. S. is the corresponding author). (2005 SCI Statistics & Probability, Rank 26/81, Impact Factor 0.926) [NSC86-2115-M-035-017]
Chen, C. W. S., McCulloch, R. E., and Tsay, R. S. (4/1997) A unified approach to estimating and modeling linear and nonlinear time series. Statistica Sinica, 7, 451-472. (2005 SCI Statistics & Probability, Rank 26/81, Impact Factor 0.926)
Chen*, C. W. S. (5/1997) Detection of additive outliers in bilinear time series. Computational Statistics & Data Analysis, 24, 283-294. (2005 SCI Statistics & Probability, Rank 44/81, Impact Factor 0.733) [NSC83-0208-M-035-011]
Chen*, C. W. S. and Lee, J. C. (9/1997) On selecting a power transformation in time-series analysis. Journal of Forecasting, 16, 343-354. (2005 SSCI Management, Rank 54/71, Planning & Development, Rank 20/38, Impact Factor 0.552) [NSC84-2121-M-035-007]
Chen*, C. W. S. and Lee, J. C. (9/1995) Bayesian inference of threshold autoregressive models. Journal of Time Series Analysis, 16, 483-492. (2005 SCI Statistics & Probability, Rank 55/81, Impact Factor 0.613). [NSC82-0115-M-035-012-T]
Chen*, C. W. S. (6/1992a) Bayesian inferences and forecasting in bilinear time series models. Communications in statistics - Theory and Methods, 21(6), 1725-1743. (2005 SCI Statistics & Probability, Rank 78/81, Impact Factor 0.209)
Chen*, C. W. S. (12/1992b) Bayesian analysis of bilinear time series models: a Gibbs sampling approach. Communications in Statistics - Theory and Methods, 21(12), 3407-3425. (2005 SCI Statistics & Probability, Rank 78/81, Impact Factor 0.209)
審核中論文
Chen*, C. W. S., Gerlach, R., and Lin, E. M. H. (2006) Volatility forecast using threshold heteroskedastic with inter-day range, submitted.
Gerlach, R. and Chen*, C. W. S. (2006) Estimation and model comparison for asymmetric smooth transition heteroscedastic models, revised.
Chen* C. W. S., Gerlach, R., and Tai, A. P. J. (2007) Bayesian testing for threshold nonlinearity in heteroskedastic models, submitted
Chen*, C. W. S., Gerlach, R., and So, M. K. P. (2007) Bayesian Model Selection for Heteroskedastic Models.
Hsieh, Y.-H., Chen, C. W. S., Hsu Schmitz, S. F., King, C. C., Chen, W. J., Wu, Y. C., Ho, M.S. Genes Associated with Susceptibility for SARS-Coronavirus: A Modeling Study.
Chen*, C. W. S., Liu, F. C., and So, M. K. P. (2007) Heavy-tailed distributed threshold stochastic volatility models in financial time series, submitted.
B.研討會/國外演講 論文
Bayesian Computation with Applications in Finance; invited tutorial speaker, the International Workshop on Scientific Computing Models Algorithms and Applications, December 7-9 2006, Hong Kong.
Bayesian Computation with Applications in Finance & Bayesian model selection for heteroskedastic models; Invitedspeaker, the International Workshop on Scientific Computing Models Algorithms and Applications, December 7-9 2006, Hong Kong.
University of New South Wales, Department of Economics, seminar speaker, Sydney, Australia, November 17, 2006.
University of Sydney, Discipline of Econometrics and Business Statistics, seminar speaker, Sydney, Australia, September 22, 2006
Monash University, Department of Econometrics and Business Statistics, seminar speaker, Melbourne, Australia, September 8, 2006.
Chen, C. W. S. and Gerlach, R. (2006)?Bayesian Inference and model comparison for asymmetric smooth transition heteroskedastic models, the Australian Statistical Conference/New Zealand Statistical Association Conference 2006, invited talk, 7.3.2006 – 7.6.2006, Auckland, New Zealand.
Academica Sinica, Department of Economics, seminar speaker, Taipei, Taiwan, May 9, 2006.
(a) On Asymmetric Smoothing Transition Heteroskedastic Models The 5th IASC (International Association for Statistical Computing) Asian Conference on Statistical Computing, 12.15.2005 -12.17.2005, Hong Kong.
(b) Forecast Volatility from Threshold Heteroscedastic Range Models.? The 5th IASC (International Association for Statistical Computing) Asian Conference on Statistical Computing, 12.15.2005 -12.17.2005, Hong Kong.
Chen, C. W. S., Gerlach, Richard, and So, M. K. P. (2005) Comparison of Non-nested Asymmetric Heteroscedastic Models, The 25th International Symposium on Forecasting 2005. 6.12.2005 - 6.15.2005, San Antonio, Texas, US.
Gerlach, R., Chen, C. W. S., Lin, S. Y., Huang, M. H. (2005) Asymmetric reaction to trading volume: Evidence from major stock markets based on a double-threshold model, WEAI Pacific Rim Conference, 1.14.2005 - 1.16.2005, Hong Kong.
Chen, C. W. S., So, M. K. P., and, Gerlach, R. H. (2004) Assessing and testing for threshold nonlinearity in stock returns, Workshop on Sequential Analysis, Time Series and Related Topics, 12.27.2004 - 12.28.2004, invited speaker, Academica Sinica, Taiwan.
Chen, C. W. S. and So, M. K. P. (2004) On a threshold heteroscedastic model and its applications to financial market.?Symposium in Financial Econometrics 2004, invited speaker, 10.15.2004, Ling Tung College, Taichung.?
Chen, C. W. S. and So, M. K. P. (2004) On a threshold heteroscedastic model.?Threshold Models and New Developments in Time Series, 7.12.2004 - 7.14.2004, invited speaker, University of Hong Kong, Hong Kong.?
Chen, C. W. S. , So, M. K. P., and Feng-Chi (2004) Best Subset Selection of ARX Models with Conditional Heteroscedasticity. 7.9.2004, University of Newcastle, Australia?
Chen, C. W. S., So, M. K. P., and, Gerlach, R. H. (2004) An assessment of asymmetry in financial markets: evidence of asymmetric response to both the US and local market news. The 24th International Symposium on Forecasting 2004. 7.4.2004-7.7.2004, invited speaker, Sydney, Australia.
Chen, C. W. S., So, M. K. P., J. Y. Lee, and Y. P. Chang (2003) Applications of fat-tailed distributions in financial time series. The Bernoulli Society EAPR Conference, 12.18.2003 - 12.20.2003, invited speaker, Hong Kong University of Science and Technology (HKUST), Hong Kong.
Chen, C. W. S. (2003) Discussant, Space-Time Models for Count Processes with Application to Hurricane Activity Analysis (Xu-Feng Niu), 2003 NBER/NSF Time Series Conference In Honor of George Tiao's Retirement, 9.19.2003 - 9.20.2003, Chicago, USA
Chen, C. W. S., So, M. K. P., and Liu, Feng-Chi (2002) Best subset selection of ARX-GARCH models. The 22nd, International Symposium on Forecasting 2002. 6.23.2002-6.26.2002, Dublin, Ireland.
Chen, C. W. S. and Chen, S.Y. (2001) Double TAR-GARCH Models for Financial Time Series, the 2nd International Symposium on Business and Industrial Statistics, 8.20.2001 –8.21.2001, Yokohama, Japan.
Chen, C. W. S. (2001) On Estimation of Fractionally Integrated ARMA Models with Asymmetric Conditional Hetroscedasticity, the Fifth ICSA International Conference, 8.17.2001- 8.19,2001, Hong Kong.
Fourth International Conference on Monte Carlo And Quasi-Monte Carlo Methods in Scientific Computing. Hong Kong Baptist University, Hong Kong, special session talk, 11.27.2000 - 12.1.2000
International Society for Bayesian Analysis Sixth World Meeting: ISBA2000. Heraklion, Crete Greece. 5.28.2000 - 6.1.2000.
Hong Kong International Workshop on Statistics in Finance, Hong Kong. 7.5.1999 – 7.8.1999
The 13th International Workshop on Statistical Modeling, New Orleans, USA 7.27.1998 - 7.31.1998
1996 ASA Joint Statistical Meetings, Chicago, USA, invited speaker, 8.4.1996 - 8.8.1996
1995 ASA Joint Statistical Meeting, Orlando, USA. 8.13.1995 - 8.17.1995
1994 ASA Joint Statistical Meeting, Toronto, Canada. 8.14.1994 - 8.18.1994
The Second North American Regional of the International Society for Bayesian Analysis (ISBA), Toronto, Canada. 8.12.1994 - 8.13.1994
Chen, C. W. S. (1994) Bayesian analysis of bilinear time series, ASA 1993 Proceedings of the Social Statistics Section, 807-810.
C.技術報告及其他
Chou, C. T., Lai, J. S., and Chen, C. W. S. (1996) The epidemiology of Hyperuricemia and gout in Taiwan aborigines, technique report.
Chen, C. W. S. (1993) Bayesian analysis of bilinear time series models, Ph.D. Dissertation, National Central University.
