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基本資料

陳婉淑 老師
陳婉淑 老師的基本資料
教師姓名
陳婉淑
職稱
特聘教授
e-mail
chenwsatmail.fcu.edu.tw
分機號碼
#4412
辦公室
商1052
個人網址
http://sites.google.com/view/cwschen/home

專長

專長
專長
1 時間數列分析Time Series Analysis
2 統計計算Statistical Computing
3 貝氏分析Bayesian MCMC Method
4 預測Forecasting

學歷

學歷
畢業學校
主修學門系所
學位
時間(起)
時間(迄)
1 國立中央大學 統計研究所 博士 1987-09 1992-12
2 美國加州大學河濱分校 統計研究所 碩士
3 逢甲大學 統計學系 學士 1978-09 1982-06

校內經歷

校內經歷
服務系所
職稱
時間(起)
時間(迄)
1 統計學系 教授 2015-02 迄今
2 統計學系 教授 2014-02 2015-01
3 統計學系 教授 2007-01 2014-01
4 統計學系 教授 2006-08 2007-01
5 統計學系 教授 2002-12 2006-07
6 統計學系 教授 2002-08 2002-12
7 統計學系 教授 1998-08 2002-08
8 統計學系 副教授 1998-02 1998-07
9 統計學系 副教授 1997-08 1998-01
10 統計學系 副教授 1993-02 1997-07
11 國際科技與管理學院 副院長 2018-08 2020-01
12 國際經營管理碩士學位學程 主任 2018-08 2020-01
13 美國聖荷西州立大學商學大數據分析雙學士學位學程 主任 2016-08 2018-07
14 美國聖荷西州立大學商學大數據分析雙學士學位學程 主任 2016-04 2016-07
15 統計學系 系主任 2005-08 2008-07
16 統計學系 系主任 2000-08 2002-07
17 逢甲大學 特聘教授 2015-08 迄今
18 逢甲大學 特聘教授 2004-08 2015-07

發表期刊論文

發表期刊論文
1 Lin, T.Y., Chen*, C.W.S., and Syu, F.Y., "Multi-asset pair-trading strategy: a statistical learning approach," Accepted by North American Journal of Economics and Finance, accepted, 2020-09. (SSCI)
2 Xu, X., Chen, Y., Chen*, C.W.S., Lin, X., "Adaptive log-linear zero-inflated generalized Poisson autoregressive model with applications to crime counts," Annals of Applied Statistics, 14, 1493-1515, 2020-09. (SCI)
3 Chen*, C.W.S., Dong, M.C. (Ph.D. st), Liu, N., and Sriboonchitta, S., "Inferences of default risk and borrower characteristics on P2P lending," Accepted by The North American Journal of Economics and Finance, https://doi.org/10.1016/j.najef.2019.101013., 2020-01. (SSCI)
4 Chen*, C.W.S., Than-Thi, H. (Ph.D. st), So, M.K.P., and Sriboonchitta, S., "Quantile forecasting based on a bivariate hysteretic autoregressive model with GARCH errors and time ‐varying correlations," Applied Stochastic Models in Business and Industry, 35, 1301-1321., 2019-12. (SCI)
5 Chen*, C.W.S., Khamthong, K.(Ph.D. st), and Lee, S., "Markov switching integer-valued generalized auto-regressive conditional heteroscedastic models for dengue counts," Journal of the Royal of Statistical Society Series C – Applied Statistics,, 68, 963–983., 2019-08. (SCI)
6 Chen*, C.W.S. and Khamthong, K. (Ph.D st), "Bayesian modelling of nonlinear negative binomial integer-valued GARCHX models," Accepted by Statistical Modelling, https://doi.org/10.1177/1471082X19845541., 2019-07. (SCI)
7 Chen*, C.W.S. and Watanabe, T., "Bayesian modeling and forecasting of Value-at-Risk via threshold realized volatility," Applied Stochastic Models in Business and Industry, 35, 747-765., 2019-05. (SCI)
8 Chen*, C.W.S., Lin, T.Y., Huang, T.Y., "Incorporating volatility on tolerance intervals for pair-trading strategy and backtesting," Journal of Risk Model Validation, 13, 63–94, 2019-03. (SSCI)
9 Dong, M.C. (Ph.D. st), Chen*, C.W.S., Lee, S., and Sriboonchitta, S., "How Strong is the Relationship among Gold and USD Exchange Rates? Analytics based on Structural Change Models,," Computational Economics, 53, 343-366, 2019-01. (SSCI,ECONLIT)
10 Chen*, C.W.S., Than-Thi, H. (Ph.D. st), and So, M.K.P., "On hysteretic vector autoregressive model with applications,," Journal of Statistical Computation and Simulation, 89, 191-210, 2019-01. (SCI)
11 Chen*, C.W.S., M.C. Cheng, and Sriboonchitta, S., "Predictive analytics of Taiwan inbound tourism from ASEAN 5," International Journal of Tourism Sciences, 18, 124–138., 2018-06. (Charles Goeldner's Select List of Tourism Journals an)
12 Dong, M.C. (Ph.D. st), Tian, S., and Chen*, C.W.S., "Predicting failure risk using financial ratios: Quantile hazard model approach," The North American Journal of Economics and Finance, 44, 204-220. https://doi.org/10.1016/j.najef.2018.01.005, 2018-03. (SSCI)
13 Chen, C.W.S., Hsieh, Y.H., Su, H.C., and Wu, J.J., "Causality test of ambient fine particles and human influenza in Taiwan: Age group-specific disparity and geographic heterogeneity," Environment International, 111, 354-361, 2018-02. (SCI)
14 Truong, B.C. (Ph.D. st), Chen*, C.W.S., and Sriboonchitta, S., "Hysteretic Poisson INGARCH model for integer-valued time series,," Statistical Modelling, 17, 1-22, 2017-08. (SCI)
15 Chen*, C.W.S., Hsu, Y.T., and Taniguchi, M., "Discriminant analysis by quantile regression with application on the climate change problem," Journal of Statistical Planning and Inference,, 187, 17-27., 2017-08. (SCI)
16 Chen*, C.W.S. and Lee, S., "Bayesian causality test for integer-valued time series models with applications to climate and crime data," Journal of the Royal of Statistical Society Series C – Applied Statistics, 66, 797-814., 2017-08. (SCI)
17 Lee, S., Park, S., and Chen*, C.W.S., "On Fisher's dispersion test for integer-valued autoregressive Poisson models with applications," Communications in Statistics - Theory and Methods, 46, 9985-9994., 2017-08. (SCI)
18 Chen*, C.W.S., Weng, M.M.C., and Watanabe, T., "Bayesian forecasting of Value-at-Risk based on variant smooth transition heteroskedastic models," Statistics and Its Interface, 10, 451-470., 2017-07. (SCI)
19 Chen*, C.W.S. and Lin, T.Y., "Nonparametric tolerance limits for pair trading," Finance Research Letters, 21, 1-9, 2017-05. (SSCI)
20 Gerlach, R. and Chen*, C.W.S., "Semi-parametric expected shortfall forecasting in financial markets," Journal of Statistical Computation and Simulation, 87, 1084-1106., 2017-02. (SCI)
21 Chen*, C.W.S., Wang, Z., Sriboonchitta, S., and Lee, S., "Pair trading based on quantile forecasting of smooth transition GARCH models," The North American Journal of Economics and Finance, 39, 38-55, 2017-01. (SSCI)
22 Chen*, C.W.S., Li, M., Nguyen, N.T.H., and Sriboonchitta, S., "On asymmetric market model with heteroskedasticity and quantile regression," Computational Economics, 49, 155-174., 2017-01. (SSCI)
23 Truong, B.C., Chen*, C.W.S., and So, M.K.P., "Model selection of a switching mechanism for financial time series," Applied Stochastic Models in Business and Industry, 32, 836-851., 2016-11. (SCI)
24 Gerlach, R., Chen*, C.W.S., and Lin, E.M.H., "Bayesian assessment of dynamic quantile forecasts," Journal of Forecasting, 35, 751-764., 2016-11. (SSCI)
25 Chen*, C.W.S. and Truong, B.C., "On double hysteretic heteroskedastic model," Journal of Statistical Computation and Simulation, 86, 2684-2705., 2016-10. (SCI)
26 Chen*, C.W.S. and Lee, S., "Generalized autoregressive conditional Poisson models for time series of counts," Computational Statistics & Data Analysis, 99, 51-67., 2016-07. (SCI)
27 Chen*, C.W.S., So, M.K.P., Li, J., and Sriboonchitta, S., "Autoregressive conditional negative binomial model applied to over-dispersed time series of counts," Statistical Methodology, 31, 73-90, 2016-07. (SCI)
28 Lee, S., Lee, Y., and Chen, C.W.S., "Parameter change test for zero-inflated generalized Poisson autoregressive models," Statistics, 50, 540-557., 2016-06. (SCI)
29 Chen*, C.W.S., Lee, S., and Chen, S.Y., "Local non-stationarity test in mean for Markov switching GARCH models: an approximate Bayesian approach," Computational Statistics, 31, 1-24., 2016-03. (SCI)
30 Chen*, C.W.S., So, M.K.P., and Chiang, T.C., "Evidence of stock returns and abnormal trading volume: a threshold quantile regression approach," Japanese Economic Review, 67, 96-124., 2016-03. (SSCI)
31 Chen*, C.W.S. and Lee, S., "A local unit root test in mean for financial time series," Journal of Statistical Computation and Simulation, 86, 788-806., 2016-03. (SCI)
32 Gerlach, R. and Chen*, C.W.S., "Bayesian expected shortfall forecasting incorporating the intra-day range," Journal of Financial Econometrics, 14, 128-158., 2016-01. (SSCI)
33 Chen*, C.W.S., Gerlach, R., and Lin, E.M.H., "Bayesian estimation of smoothly mixing time-varying parameter GARCH models," Computational Statistics & Data Analysis, 76, 194-209., 2014-08. (SCI)
34 Choy, S.T.B., Chen*, C.W.S., and Lin, E.M.H., "Bivariate asymmetric GARCH models with heavy tails and dynamic conditional correlations," Quantitative Finance, 14, 1297 - 1313., 2014-07. (SSCI)
35 Chen*, C.W.S., Liu, F.C., and So, M.K.P., "Threshold variable selection of asymmetric stochastic volatility models," Computational Statistics, 28, 2415-2447., 2013-12. (SCI)
36 Chen*, C.W.S., Chen, S. Y., and Lee, S., "Bayesian unit root test in double threshold heteroskedastic models," Computational Economics, 42, 471-490, 2013-11. (SSCI)
37 Chen* C.W.S. and Gerlach, R., "Semi-parametric quantile estimation for double threshold autoregressive models with exogenous variables and heteroskedasticity," Computational Statistics, 28, 1103-1131., 2013-07. (SCI)
38 Yu, K., Chen*, C.W.S., Reed, C. and Dunson, D.B., "Bayesian variable selection in quantile regression," Statistics and Its Interface, 6, 261-274., 2013-06. (SCI)
39 Chen*, C. W. S., Gerlach, R., Lin, E.M.H., and Lee, W.C.W., "A Bayesian forecasting for financial risk management, pre and post the global financial crisis," Journal of Forecasting, 31, 661-687., 2012-12. (SSCI)
40 Chan*, J.S.K., Lam, C.P.Y., Yu, P.L.H., Choy, S.T.B. and Chen, C.W.S., "A Bayesian conditional autoregressive geometric process model for range data," Computational Statistics & Data Analysis, 56, 3006-3019., 2012-11. (SCI)
41 Hsieh*, Y.-H., Ruan, Y., Chen, C.W.S., Shi, W., Li, D., Luo, F., and Shao, Y., "HIV prevalence and underreporting of men who have sex with men in Beijing," International Journal STD & AIDS, 23, 606-607., 2012-08. (SCI)
42 Chen*, C.W.S., Lin, S., and Yu, P.L.H., "Smooth transition quantile capital asset pricing models with heteroscedasticity," Computational Economics, 40, 19-48, 2012-06. (SSCI)
43 Chen* C.W.S., Gerlach, R., Hwang, RBK and McAleer, M, "Forecasting Value-at-Risk using nonlinear regression quantiles and the intra-day range," International Journal of Forecasting, 3, 557-574, 2012-05. (SSCI)
44 Lin, E.M.H., Chen*, C.W.S., Gerlach, R., "Forecasting volatility with asymmetric smooth transition dynamic range models," International Journal of Forecasting, 28, 384-399, 2012-02. (SSCI)
45 Chen*, C.W.S., Gerlach, R., and Liu, F.C., "Detection of structural breaks in a time-varying heteroskedastic regression model," Journal of Statistical Planning and Inference, 141, 3367~3381, 2011-11. (SCI)
46 Gerlach, R., Chen* C.W.S., and Chan, N.C.Y., "Bayesian time-varying quantile forecasting for value-at-risk in financial markets," Journal of Business & Economic Statistics, 29, PP. 481~492, 2011-10. (SCI)
47 Chen* C.W.S., Gerlach, R., and Lin, A.M.H., "Multi-regime nonlinear capital asset pricing models," Quantitative Finance, 11, 1421~1438, 2011-09. (SSCI)
48 Chen* C.W.S., Chan, J.S.K., Gerlach, R., and Hsieh, W., "A comparison of estimators for regression models with change points," Statistics and Computing, 21, 395~414, 2011-06. (SCI)
49 Chen*, C. W. S., So, M.K.P., and Liu, F.C., "A review of threshold time series models in finance," Statistics and Its Interface, 4, 167~182, 2011-06. (SCI)
50 Chen*, C. W. S., Chan, J.S.K., So, M.K.P., and Lee, K., "Classification in Segmented Regression Problems," Computational Statistics & Data Analysis, 55, 2276~2287, 2011-04. (SCI)
51 Chen*, C. W. S., Liu, F. C. Gerlach, R., "Bayesian subset selection for threshold autoregressive moving-average models," Computational Statistics, 26, 1~30, 2011-03. (SCI)
52 Chen* C.W.S., Gerlach, R., Choy,B. and Lin,C., "Estimation and inference for exponential smooth transition nonlinear volatility models," Journal of Statistical Planning and Inference, 140, PP. 719~733, 2010-03. (SCI)
53 Chen* C. W. S., Gerlach, R., and Lin, A. M. H., "Falling and explosive, dormant and rising markets via multiple-regime financial time series models," Applied Stochastic Models in Business and Industry, 26, PP. 28~49, 2010-01. (SCI)
54 Hsieh, Y.-H., Chen, C.W.S., Hsu Schmitz, S.F., King, C.C., Chen, W.J., Wu, Y.C., Ho, M.S., "Candidate genes associated with susceptibility for SARS-coronavirus," Bulletin of Mathematical Biology, 72, PP. 122~132, 2010-01. (SCI)
55 Chen*, C. W. S., So, M. K. P., and Lin, E. M. H., "Volatility forecasting with double Markov switching GARCH models," Journal of Forecasting, 28, PP. 681~697, 2009-12. (SSCI)
56 Hsieh, Y.-H., Chen, C. W. S., "Turning points, reproduction number, and impact of climatological events for multi-wave Dengue outbreaks," Tropical Medicine & International Health, 14, PP. 628~638, 2009-06. (SCI)
57 Lai, Y., Chen*, C. W. S., and Gerlach, R. H., "Optimal dynamic hedging via asymmetric copula-GARCH Models," Mathematics and Computers in Simulation, 79, PP. 2609~2624, 2009-04. (SCI)
58 Chen*, C. W. S., Gerlach, R. H., Cheng, N.Y.P., and Yang, Y.L., "The Impact of Structural Breaks on the Integration of the ASEAN-5 Stock Markets," Mathematics and Computers in Simulation, 79, PP. 2654~2664, 2009-04. (SCI)
59 Chen* C. W. S., Gerlach, R., and Wei, D. C. M., "Bayesian causal effects in quantiles: accounting for heteroscedasticity," Computational Statistics & Data Analysis, 53, PP. 1993~2007, 2009-04. (SCI)
60 Gerlach, R. and Chen*, C. W. S., "Bayesian inference and model comparison for asymmetric smooth transition heteroskedastic models," Statistics and Computing, 18, PP. 391~408, 2008-12. (SCI)
61 Chen* C. W. S., Gerlach, R., and Tai, A. P. J., "Testing for nonlinearity in mean and volatility for heteroskedastic models," Mathematics and Computers in Simulation, 79, PP. 489~499, 2008-12. (SCI)
62 Chen*, C. W. S., Gerlach, R., and So, M. K. P., "Bayesian model selection for heteroskedastic models," Advances in Econometrics, 23, PP. 567~594, 2008-08. (SSCI)
63 Chen* C. W. S., Lin, A. M. H., Liu, F. C., and Gerlach, R., "Bayesian estimation for parsimonious threshold autoregressive models in R," the Newsletter of the R project, 8, PP. 26~33, 2008-05.
64 Chen*, C. W. S., Liu, F. C., and So, M. K. P., "Heavy-tailed distributed threshold stochastic volatility models in financial time series," Australian & New Zealand Journal of Statistics, 50, PP. 1~23, 2008-03. (SCI)
65 Chen*, C. W. S., Gerlach, R., and Lin, E. M. H., "Volatility forecasting using threshold heteroskedastic models of the intra-day range," Computational Statistics & Data Analysis, 52, PP. 2990~3010, 2008-02. (SCI)
66 So, M. K. P., Chen*, C. W. S., Lee, J. Y., and Chang, Y. P., "An empirical evaluation of fat-tailed distributions in modeling financial time series," Mathematics and Computers in Simulation, 77, PP. 96~108, 2008-02. (SCI)
67 Chiang, T. C., Chen, C. W. S., and So, M. K. P., "Asymmetries in return & volatility and composite news from stock markets," Multinational Finance Journal, 11, PP. 179~210, 2007-12. (ECONLIT)
68 So, M. K. P, Chen, C. W. S., Chiang, T. C. and Lin, D. S. Y., "Modeling financial time Series with threshold nonlinearity in returns and trading volume," Applied Stochastic Models in Business and Industry, 23, PP. 319~338, 2007-07. (SCI)
69 Hsieh, Y.-H., King, C. C., Chen, C. W. S., Ho, M. S., Hsu, S.B. and Wu, YC, "Impact of quarantine on the 2003 SARS outbreak: a retrospective modelling study," Journal of Theoretical Biology, 244, PP. 729~736, 2007-01. (SCI)
70 Chen*, C. W. S., Gerlach, R. H., and So, M. K. P., "Comparison of nonnested asymmetric heteroscedastic models," Computational Statistics & Data Analysis, 51, PP. 2164~2178, 2006-08. (SCI)
71 Chen, C.W.S., Yang, M.J., Gerlach, R., and Lo, H.J., "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, Vol.366, PP. 401~418, 2006-07. (SCI)
72 Lee, S.-M., Chen, C. W. S., Gerlach, R. H. and Hwang, L.-H, "Estimation in Ricker's two-release method: a Bayesian approach," Australian & New Zealand Journal of Statistics, 48, PP. 157~169, 2006-06. (SCI)
73 So, M. K. P., Chen, C. W. S. and Liu, F. C., "Best subset selection of autoregressive models with exogenous variables and generalized autoregressive conditional heteroscedasticity errors," Journal of the Royal Statistical Society Series C, 55, PP. 201~224, 2006-04. (SCI)
74 Hsieh,Y.H., Chen, C.W.S., Lee, S.M., Chen, Y.M.A., Wu, S.I., Lai, S.F., and Chang, A. L., "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, PP. 495~503, 2006-04. (SCI)
75 Gerlach, R., Chen, C.W.S., Lin, D.S.Y., and Huang, M. H., "Asymmetric reaction to trading volume: Evidence from major stock markets based on a double-threshold model," Physica A - Statistical Mechanics and Its Applications, 360, PP. 422~444, 2006-02. (SCI)
76 Chen*, C.W.S. and Hsieh, Y.H., "Bias may be unintentional but it's still there," Nature, 439, PP. 18~18, 2006-01. (SCI)
77 Chen, C. W. S. and So, M. K. P., "On a threshold heteroscedastic model," International Journal of Forecasting, 22, PP. 73~89, 2006-01. (SSCI)
78 Chen, C. W. S. , So, M. K. P., and, Gerlach, R. H., "Assessing and testing for threshold nonlinearity in stock returns," Australian & New Zealand Journal of Statistics, 47, PP. 473~488, 2005-12. (SCI)
79 Chen, C. W. S. and Yu, T. H. K., "Long-term dependence with asymmetric conditional heteroscedasticity in stock returns," Physica A - Statistical Mechanics And Its Applications, 353, PP. 413~424, 2005-08. (SCI)
80 Chen, C. W. S., So, M. K. P., and, Gerlach, R. H., "Asymmetric response and interaction of US and local markets news in financial markets," Applied Stochastic Models in Business and Industry, 21, PP. 273~288, 2005-06. (SCI)
81 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., "Quarantine for SARS, Taiwan.," Emerging Infectious Diseases, 11, PP. 278~282, 2005-02. (SCI)
82 So, M. K. P., Chen, C. W. S., Chen, M. T., "A Bayesian threshold nonlinearity test in financial time series," Journal of Forecasting, 24, PP. 61~75, 2005-01. (SSCI)
83 Chen, C. W. S., Lee, J. C., Lee, S. Y., and Niu, W. F., "Bayesian estimation for time series regressions improved with exact likelihoods," Journal of Statistical Computation and Simulation, 74, PP. 727~740, 2004-10. (SCI)
84 Hsieh, Y.H., Chen, C. W. S., and Hsu, S. B., "SARS outbreak in Taiwan: what we can learn from modeling," Emerging Infectious Diseases, 10, PP. 1515~1516, 2004-08. (SCI)
85 Hsieh, Y.H., and Chen, C. W. S.,, "Mathematical modeling of SARS: errata and updates," Journal of Epidemiology and Community Health, on line, PP. 1~3, 2004-05. (SCI)
86 Hsieh, Y.H., Chen, C. W. S., and Hsu, S. B., "SARS outbreak, Taiwan, 2003," Emerging Infectious Diseases., 10, PP. 201~206, 2004-02. (SCI)
87 Hsieh, Y.H. and Chen, C. W. S., "Re: Mathematical modeling of SARS: Cautious in all our movements," Journal of Epidemiology and Community Health, Electronic, PP. 1~3, 2003-11. (SCI)
88 Hsieh, Y.H. and Chen, C.W.S., "Severe acute respiratory syndrome: Numbers do not tell whole story," British Medical Journal, 326, PP. 1395~1396, 2003-06. (SCI)
89 So,M.K.P. and Chen,C.W.S., "Subset threshold autogression," Journal of Forecasting, 22, PP. 49~66, 2003-01. (SSCI)
90 Chen, C. W. S., Chiang, T. C. and So, M. K. P., "Asymmetries Reacting to the US Stock-return News: Evidence from Major Stock Markets Based on Double-Threshold Model.," The Journal of Economics and Business, 55, PP. 487~502, 2003-01. (ECONLIT)
91 Hsieh, Y.H.,De Arazoza, H.,Lee, S.-M.,Chen, C. W. S., "Estimating the number of HIV-infected Cubans by sexual contact using contact tracing data," International Journal of Epidemiology, No. 31, PP. 679~683, 2002-06. (SCI)
92 Chen, C. W. S.,Cherng, T.-H.,Wu, B., "On the selection of subset bilinear time series models: a genetic algorithm approach.," Computational Statistics, No. 16, PP. 505~517, 2001-12. (SCI)
93 Chen*, C. W. S. and Wen, Y. W., "On goodness of fit for time series regression models," Journal of Statistical Computation and Simulation, 69, PP. 239~256, 2001-06. (SCI)
94 Hsieh, Y. H., Chen, C. W. S., Lee, S.-M., and de Arazoza, H., "On the Recent Sharp Increase of HIV Detections in Cuba," Aids, PP. 426~428, 2001-02. (SCI)
95 Hsieh, Y.-H., Chen, C. W. S., and Lee, S.-M., "Empirical Bayes approach to estimating the number of HIV-infected individuals in hidden and elusive populations," Statistics in Medicine, 19, PP. 3095~3108, 2000-11. (SCI)
96 Chen*, C. W. S., "Subset Selection of Autoregressive Time Series Models," Journal of Forecasting, 18, PP. 505~516, 1999-12. (SSCI)
97 Chen*, C. W. S., Lee, S. M., Hsieh, Y. H., and Ungchusak, K., "A Unified Approach To Estimating Population Size For A Birth Only Model," Computational Statistics & Data Analysis, 32, PP. 29~46, 1999-11. (SCI)
98 Lee, S. M. and Chen*, C. W. S., "Bayesian inference of population size for Behavioral response models," Statistica Sinica, 8, PP. 1233~1247, 1998-10. (SCI)
99 Chen*, C. W. S., "A Bayesian analysis of generalized threshold autoregressive models," Statistics and Probability Letters, 40, PP. 15~22, 1998-09. (SCI)
100 Chen*, C. W. S. and Lee, J. C., "On Selecting A Power Transformation in Time-Series Analysis," Journal of Forecasting, 16, PP. 343~354, 1997-09. (SSCI)
101 Chen*, C. W. S., "Detection of Additive Outliners in Bilinear Time Series," Computational Statistics & Data Analysis, 24, PP. 283~294, 1997-05. (SCI)
102 Chen, C. W. S., McCulloch, R. E., and Tsay, R. S., "A Unified Approach to Estimating and Modeling Linear and Nonlinear Time Series," Statistica Sinica, 7, PP. 451~472, 1996-08. (SCI)
103 Chen*, C. W. S. and Lee, J. C., "Bayesian inference of threshold autoregressive models," Journal of Time Series Analysis, 16, PP. 483~492, 1995-09. (SCI)
104 Chen*, C. W. S., "Bayesian analysis of bilinear time series models: a Gibbs sampling approach," Communications in Statistics - Theory and Methods, 21(12), PP. 3407~3425, 1992-12. (SCI)
105 Chen*, C. W. S., "Bayesian inferences and forecasting in bilinear time series models," Communications in statistics - Theory and Methods, 21(6), PP. 1725~1743, 1992-06. (SCI)

會議論文

會議論文
1 陳婉淑, "Bayesian Time Series," International Conference on Applied Statistics 2014 (ICAS 2014) , 2014-05. 泰國.

專書及技術報告

專書及技術報告
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1 專業書籍 Chen*, C.W.S., Khamthong, K. (Ph.D. st), and Lee, S. Robustness in Econometrics, Structural breaks of CAPM-type market model with heteroskedasticity and quantile regression Springer International Publishing Switzerland 瑞士 2017-02-01 111134 原著 [MOST 105-2118-M-035-003-MY2 and MOST 103-2118-M-035-002-MY2]
2 專業書籍 謝英恆,李燊銘,陳婉淑,涂醒哲,許須美,吳秀英 台灣地區愛滋病流行病學之數學及統計研究 行政院衛生署疾病管制局 中華民國 2004-02-01 55 原著 行政院衛生署疾病管制局九十一年度科技研究發展計畫
3 技術報告 謝英恆,李燊銘,陳婉淑,涂醒哲,許須美,陳宜民吳 台灣地區愛滋病流行病學之數學及統計研究 行政院衛生署疾病管制局 中華民國 2002-12-01 31 原著 行政院衛生署疾病管制局九十一年度科技研究發展計畫

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1 Than-Thi, H. (Ph.D. st), Dong, M.C. (Ph.D. st), Chen*, C.W.S. Bayesian modelling structural changes on housing price dynamics In Kreinovich V., Sriboonchitta S. (eds.) Structural Changes and their Econometric Modeling Studies in Computational Intelligence 2019-01-01 808, 83-104 MOST 107-2118-M-035-005-MY2
2 Chen*, C.W.S. and Sun, Y.W. Bayesian Forecasting for Tail Risk Predictive Econometrics and Big Data, V. Kreinovich et al. (eds.) Studies in Computational Intelligence 2018-01-01 753, 122-145. https://doi.org/10.1007/978-3-319-70942-0_6 MOST 105-2118-M-035-003-MY2
3 Chen*, C.W.S., Khamthong, K. (Ph.D. st), and Lee, S. (2/2017) Structural breaks of CAPM-type market model with heteroskedasticity and quantile regression, in V. Kreinovich, et al. (eds.), Robustness in Econometrics, Springer International Publishing Switzerland 2017-02-01 692, 111-134. MOST 105-2118-M-035-003-MY2
4 Chen*, C.W.S., Chen, M., and Chen, S.Y. Pairs trading via three-regime threshold autoregressive GARCH models Modeling Dependence in Econometrics, Advances in Intelligent Systems and Computing, Huynh et al. (eds.) Springer International Publishing Switzerland. 2014-01-01 127-140 DOI: 10.1007/978-3-319-03395-2_8, NSC 101-2118-M-035-006-MY2
5 Chen*, C. W. S., Lin, E. M. H., and Lin, Y.R. A Bayesian perspective on mixed GARCH models with jumps Uncertainty Analysis in Econometrics with Applications, Huynh et al. (eds.) Springer International Publishing 2013-01-01 141-154 NSC101-2118-M-035-006-MY2

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1 國際貝氏分析學會亞洲區會長暨統計計算等國際期刊副編輯之學術工作執行(1/2)(補助學者提昇國際影響力) 2020-11 2021-10 MOST109-2926-I-035-501 主持人
2 正值時間數列的建模與預測(1/3) 2020-08 2021-07 MOST109-2118-M-035-005-MY3 主持人
3 分量迴歸與介入分析在財務時間數列之應用 2020-07 2021-02 109-2813-C-035-103-H 主持人
4 時間數列的貝氏臨近預測和預測(2/2) 2019-08 2020-07 MOST107-2118-M-035-005-MY2 主持人
5 時間數列的貝氏臨近預測和預測(1/2) 2018-08 2019-07 MOST107-2118-M-035-005-MY2 主持人
6 多變量滯後自迴歸模型:貝氏方法(2/2) 2017-08 2018-07 MOST105-2118-M-035-003-MY2 主持人
7 多變量滯後自迴歸模型:貝氏方法(1/2) 2016-08 2017-07 MOST105-2118-M-035-003-MY2 主持人
8 平滑轉換真實波動之建模和預測 2015-08 2016-07 MOST104-2410-H-035-004 - 主持人
9 計數型時間序列及相關非線性模型之貝氏推論(2/2) 2015-08 2016-07 MOST103-2118-M-035-002-MY2 主持人
10 計數型時間序列及相關非線性模型之貝氏推論(1/2) 2014-08 2015-07 MOST103-2118-M-035-002-MY2 主持人
11 財務時間數列之貝氏估計,預測,及檢定(2/2) 2013-08 2014-07 NSC101-2118-M-035-006-MY2 主持人
12 財務時間數列之貝氏估計,預測,及檢定(1/2) 2012-08 2013-07 NSC101-2118-M-035-006-MY2 主持人
13 財務時間數列結構性改變之貝氏推論(2/2) 2011-08 2012-07 NSC99-2118-M-035-001-MY2 主持人
14 補助學者提昇國際影響力─提升台灣在統計計算研究之國際能見度(3/3) 2011-08 2012-07 NSC100-2911-I-035-001 主持人
15 財務時間數列結構性改變之貝氏推論(1/2) 2010-08 2011-07 NSC99-2118-M-035-001-MY2 主持人
16 補助學者提昇國際影響力─提升台灣在統計計算研究之國際能見度(2/3) 2010-08 2011-07 NSC99-2911-I-035-001 主持人
17 動態風險值之分量法推論(3/3) 2009-08 2010-07 NSC96-2118-M-035-002-MY3 主持人
18 補助學者提昇國際影響力─提升台灣在統計計算研究之國際能見度(1/3) 2009-08 2010-07 NSC98-2911-I-035-003 主持人
19 動態風險值之分量法推論(2/3) 2008-08 2009-07 NSC96-2118-M-035-002-MY3 主持人
20 動態風險值之分量法推論(1/3) 2007-08 2008-07 NSC96-2118-M-035-002-MY3 主持人
21 財務時間數列非線性及不對稱性之檢定(2/2) 2006-08 2007-07 NSC95-2118-M-035-001- 主持人
22 財務時間數列非線性及不對稱性之檢定(1/2) 2005-08 2006-07 NSC94-2118-M-035-001- 主持人
23 評估不對稱性波動模式及預測 2004-08 2005-07 NSC93-2118-M-035-003- 主持人
24 財務金融時間數列資料之建模研究(3/3) 2003-08 2004-07 NSC92-2118-M-035-006- 主持人
25 財務金融時間數列資料之建模研究(2/3) 2002-08 2003-07 NSC91-2118-M-035-003 主持人
26 財務金融時間數列資料之建模研究(1/3) 2001-08 2002-07 NSC90-2118-M-035-008 主持人
27 時間數列模式適合度之研究(2/2) 2000-08 2001-07 NSC89-2118-M-035-013 主持人
28 時間數列模式適合度之研究(1/2) 1999-08 2000-07 NSC89-2118-M-035-003 主持人
29 非線性時間數列穩健估計與選取模式之研究(2/2) 1998-08 1999-07 NSC88-2118-M-035-001 主持人
30 非線性時間數列穩健估計與選取模式之研究(1/2) 1997-08 1998-07 NSC87-2118-M-035-004 主持人
31 選取門檻自我相關迴歸模式階次之最佳子集 1996-08 1997-07 NSC86-2115-M-035-017 主持人
32 廣義臨界自相關迴歸模式之貝氏分析 1995-08 1996-07 NSC 85-2121-M-035-007 主持人
33 電腦工作站 1995-02 1995-07 NSC84-2745-M-035-001 共同主持人
34 探討非線性時間序列模式之轉換 1994-08 1995-07 NSC 84-2121-M-035-007 主持人
35 非線性時間序列異常點之偵測 1994-02 1994-07 NSC83-0208-M-035-011 主持人
36 非線性時間序列模式之貝氏分析 1993-04 1994-03 NSC82-0115-N-035-012-T 主持人

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1 統計計算在計量財務與生物統計國際研討會 2010-12 2011-12 主持人

獎勵及指導學生獲獎

獎勵及指導學生獲獎
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1 109 逢甲大學論文著作獎勵優良獎 逢甲大學 2020-11-15 On hysteretic vector autoregressive model with applications,
2 109 逢甲大學論文著作獎勵傑出獎 逢甲大學 2020-11-15 Bayesian modeling and forecasting of Value-at-Risk via threshold realized volatility
3 109 逢甲大學論文著作獎勵優良獎 逢甲大學 2020-11-15 Incorporating volatility on tolerance intervals for pair-trading strategy and backtesting
4 109 逢甲大學論文著作獎勵傑出獎 逢甲大學 2020-11-15 How Strong is the Relationship among Gold and USD Exchange Rates? Analytics based on Structural Change Models,
5 109 逢甲大學論文著作獎勵傑出獎 逢甲大學 2020-11-15 Markov switching integer-valued generalized auto-regressive conditional heteroscedastic models for dengue counts
6 109 逢甲大學論文著作獎勵傑出獎 逢甲大學 2020-11-15 Quantile forecasting based on a bivariate hysteretic autoregressive model with GARCH errors and time ‐varying correlations
7 109 逢甲大學優良教材獎勵優等獎 逢甲大學 2020-11-15 Bayesian modelling structural changes on housing price dynamics, In Kreinovich V., Sriboonchitta S. (eds.) Structural Changes and their Econometric Modeling, Studies in Computational Intelligence, 808, 83-104.
8 108 碩士生獲獎:中國統計學社論文獎 中國統計學社 2019-12-06 指導碩士生李依芳榮獲2019年中國統計學社論文獎(佳作獎)
9 108 逢甲大學論文著作獎勵傑出獎 逢甲大學 2019-11-15 Predicting failure risk using financial ratios: Quantile hazard model approach
10 108 逢甲大學論文著作獎勵傑出獎 逢甲大學 2019-11-15 Causality test of ambient fine particles and human influenza in Taiwan: Age group-specific disparity and geographic heterogeneity
11 108 逢甲大學優良教材獎勵優等獎 逢甲大學 2019-11-15 Bayesian Forecasting for Tail Risk, in V. Kreinovich et al. (eds.), Predictive Econometrics and Big Data, Studies in Computational Intelligence 753, 122-145.
12 108 108學年度科技部補助大專校院研究獎勵 逢甲大學 2019-09-01
13 107 博士生獲獎:東亞國際貝氏會議最佳論文獎 東亞國際貝氏學會 2019-07-14 指導經濟系博士生童孟強榮獲東亞國際貝氏會議最佳論文獎
14 107 逢甲大學論文著作獎勵傑出獎 逢甲大學 2018-11-15 Nonparametric tolerance limits for pair trading
15 107 逢甲大學論文著作獎勵傑出獎 逢甲大學 2018-11-15 Hysteretic Poisson INGARCH model for integer-valued time series,
16 107 逢甲大學論文著作獎勵優良獎 逢甲大學 2018-11-15 Semi-parametric expected shortfall forecasting in financial markets
17 107 逢甲大學論文著作獎勵傑出獎 逢甲大學 2018-11-15 On asymmetric market model with heteroskedasticity and quantile regression
18 107 逢甲大學論文著作獎勵傑出獎 逢甲大學 2018-11-15 Pair trading based on quantile forecasting of smooth transition GARCH models
19 107 逢甲大學論文著作獎勵優良獎 逢甲大學 2018-11-15 Discriminant analysis by quantile regression with application on the climate change problem
20 107 逢甲大學論文著作獎勵優良獎 逢甲大學 2018-11-15 On Fisher's dispersion test for integer-valued autoregressive Poisson models with applications
21 107 逢甲大學論文著作獎勵傑出獎 逢甲大學 2018-11-15 Bayesian forecasting of Value-at-Risk based on variant smooth transition heteroskedastic models
22 107 逢甲大學論文著作獎勵傑出獎 逢甲大學 2018-11-15 Bayesian causality test for integer-valued time series models with applications to climate and crime data
23 107 逢甲大學優良教材獎勵優等獎 逢甲大學 2018-11-15 Robustness in Econometrics, Structural breaks of CAPM-type market model with heteroskedasticity and quantile regression
24 107 碩士生獲獎:中國統計學社論文獎 中國統計學社 2018-11-09 指導碩士生黃才育榮獲2018年中國統計學社論文獎優等獎
25 107 107學年度科技部補助大專校院研究獎勵 逢甲大學 2018-08-01
26 106 碩士生獲獎:中國統計學社論文獎 中國統計學社 2017-12-01 指導碩士生吳佳靜榮獲2017年中國統計學社論文獎(佳作獎)
27 106 逢甲大學論文著作獎勵優良獎 逢甲大學 2017-11-15 On double hysteretic heteroskedastic model
28 106 逢甲大學論文著作獎勵傑出獎 逢甲大學 2017-11-15 Bayesian assessment of dynamic quantile forecasts
29 106 逢甲大學論文著作獎勵優良獎 逢甲大學 2017-11-15 A local unit root test in mean for financial time series
30 106 逢甲大學論文著作獎勵優良獎 逢甲大學 2017-11-15 Model selection of a switching mechanism for financial time series
31 106 逢甲大學論文著作獎勵傑出獎 逢甲大學 2017-11-15 Bayesian expected shortfall forecasting incorporating the intra-day range
32 106 逢甲大學論文著作獎勵傑出獎 逢甲大學 2017-11-15 Generalized autoregressive conditional Poisson models for time series of counts
33 106 逢甲大學論文著作獎勵傑出獎 逢甲大學 2017-11-15 Parameter change test for zero-inflated generalized Poisson autoregressive models
34 106 逢甲大學論文著作獎勵傑出獎 逢甲大學 2017-11-15 Evidence of stock returns and abnormal trading volume: a threshold quantile regression approach
35 106 逢甲大學論文著作獎勵優良獎 逢甲大學 2017-11-15 Autoregressive conditional negative binomial model applied to over-dispersed time series of counts
36 106 逢甲大學論文著作獎勵優良獎 逢甲大學 2017-11-15 Local non-stationarity test in mean for Markov switching GARCH models: an approximate Bayesian approach
37 106 106年度科技部獎勵特殊優秀人才 產學合作處 2017-08-01
38 105 105年度科技部獎勵特殊優秀人才 產學合作處 2016-08-01
39 104 逢甲大學論文著作獎勵傑出獎 逢甲大學 2015-11-15 Bayesian estimation of smoothly mixing time-varying parameter GARCH models
40 104 逢甲大學論文著作獎勵傑出獎 逢甲大學 2015-11-15 Bivariate asymmetric GARCH models with heavy tails and dynamic conditional correlations
41 104 104年度科技部獎勵特殊優秀人才 產學合作處 2015-08-01
42 103 碩士生獲獎:中國統計學社論文獎 中國統計學社 2014-12-06 指導碩士生翁美娟榮獲103年中國統計學社論文獎(佳作獎)
43 103 逢甲大學論文著作獎勵優良獎 逢甲大學 2014-11-15 Bayesian variable selection in quantile regression
44 103 逢甲大學論文著作獎勵優良獎 逢甲大學 2014-11-15 Bayesian unit root test in double threshold heteroskedastic models
45 103 逢甲大學論文著作獎勵優良獎 逢甲大學 2014-11-15 Threshold variable selection of asymmetric stochastic volatility models
46 103 逢甲大學論文著作獎勵優良獎 逢甲大學 2014-11-15 Semi-parametric quantile estimation for double threshold autoregressive models with exogenous variables and heteroskedasticity
47 103 103年度科技部獎勵特殊優秀人才 研究發展處 2014-08-01
48 102 碩士生獲獎: ISF Travel Award 國際預測學會 2014-06-29 指導碩士生翁美娟榮獲國際預測學會IIF Travel Award
49 102 逢甲大學論文著作獎勵優良獎 逢甲大學 2013-11-15 HIV prevalence and underreporting of men who have sex with men in Beijing
50 102 逢甲大學論文著作獎勵傑出獎 逢甲大學 2013-11-15 A Bayesian conditional autoregressive geometric process model for range data
51 102 逢甲大學論文著作獎勵傑出獎 逢甲大學 2013-11-15 Forecasting volatility with asymmetric smooth transition dynamic range models
52 102 逢甲大學論文著作獎勵優良獎 逢甲大學 2013-11-15 Smooth transition quantile capital asset pricing models with heteroscedasticity
53 102 逢甲大學論文著作獎勵傑出獎 逢甲大學 2013-11-15 Forecasting Value-at-Risk using nonlinear regression quantiles and the intra-day range
54 102 逢甲大學論文著作獎勵傑出獎 逢甲大學 2013-11-15 A Bayesian forecasting for financial risk management, pre and post the global financial crisis
55 102 博士生獲獎:Wakimoto Memorial award 日本統計學會 2013-08-23 指導博士生陳淑渝榮獲Wakimoto Memorial award
56 102 102年度科技部獎勵特殊優秀人才 研究發展處 2013-08-01
57 101 博士生獲獎:魏慶榮統計論文獎 第22屆南區統計研討會 2013-06-23 指導博士生陳淑渝榮獲魏慶榮統計論文獎(佳作獎)
58 101 逢甲大學論文著作獎勵傑出獎 逢甲大學 2012-11-15 Classification in Segmented Regression Problems
59 101 逢甲大學論文著作獎勵優良獎 逢甲大學 2012-11-15 A review of threshold time series models in finance
60 101 逢甲大學論文著作獎勵傑出獎 逢甲大學 2012-11-15 Multi-regime nonlinear capital asset pricing models
61 101 逢甲大學論文著作獎勵傑出獎 逢甲大學 2012-11-15 A comparison of estimators for regression models with change points
62 101 逢甲大學論文著作獎勵優良獎 逢甲大學 2012-11-15 Bayesian subset selection for threshold autoregressive moving-average models
63 101 逢甲大學論文著作獎勵傑出獎 逢甲大學 2012-11-15 Bayesian time-varying quantile forecasting for value-at-risk in financial markets
64 101 逢甲大學論文著作獎勵優良獎 逢甲大學 2012-11-15 Detection of structural breaks in a time-varying heteroskedastic regression model
65 101 101年度科技部獎勵特殊優秀人才 研究發展處 2012-08-01
66 100 逢甲大學論文著作獎勵傑出獎 逢甲大學 2011-11-15 Candidate genes associated with susceptibility for SARS-coronavirus
67 100 逢甲大學論文著作獎勵優良獎 逢甲大學 2011-11-15 Estimation and inference for exponential smooth transition nonlinear volatility models
68 100 逢甲大學論文著作獎勵優良獎 逢甲大學 2011-11-15 Falling and explosive, dormant and rising markets via multiple-regime financial time series models
69 100 100年度科技部獎勵特殊優秀人才 研究發展處 2011-08-01
70 99 逢甲大學論文著作獎勵傑出獎 逢甲大學 2010-11-15 Optimal dynamic hedging via asymmetric copula-GARCH Models
71 99 逢甲大學論文著作獎勵優良獎 逢甲大學 2010-11-15 Volatility forecasting with double Markov switching GARCH models
72 99 逢甲大學論文著作獎勵傑出獎 逢甲大學 2010-11-15 Bayesian causal effects in quantiles: accounting for heteroscedasticity
73 99 逢甲大學論文著作獎勵傑出獎 逢甲大學 2010-11-15 The Impact of Structural Breaks on the Integration of the ASEAN-5 Stock Markets
74 99 逢甲大學論文著作獎勵傑出獎 逢甲大學 2010-11-15 Turning points, reproduction number, and impact of climatological events for multi-wave Dengue outbreaks
75 99 99年度科技部獎勵特殊優秀人才 研究發展處 2010-10-01
76 98 Chartered Statistician, 英國皇家統計學會 The Royal Statistical Society, UK 2010-02-01 Chartered Statistician, 英國皇家統計學會
77 98 逢甲大學論文著作獎勵優良獎 逢甲大學 2009-11-15 Bayesian model selection for heteroskedastic models
78 98 逢甲大學論文著作獎勵優良獎 逢甲大學 2009-11-15 Bayesian estimation for parsimonious threshold autoregressive models in R
79 98 逢甲大學論文著作獎勵傑出獎 逢甲大學 2009-11-15 Testing for nonlinearity in mean and volatility for heteroskedastic models
80 98 逢甲大學論文著作獎勵傑出獎 逢甲大學 2009-11-15 Volatility forecasting using threshold heteroskedastic models of the intra-day range
81 98 逢甲大學論文著作獎勵傑出獎 逢甲大學 2009-11-15 An empirical evaluation of fat-tailed distributions in modeling financial time series
82 98 逢甲大學論文著作獎勵優良獎 逢甲大學 2009-11-15 Heavy-tailed distributed threshold stochastic volatility models in financial time series
83 98 逢甲大學論文著作獎勵傑出獎 逢甲大學 2009-11-15 Bayesian inference and model comparison for asymmetric smooth transition heteroskedastic models
84 98 Fellow, RSS (Royal Statistical Society), UK The Royal Statistical Society, UK 2009-11-01 Fellow, 英國皇家統計學會
85 97 博士生獲獎:魏慶榮統計論文獎 第十八屆南區統計研討會 2009-06-26 指導博士生劉峰旗榮獲魏慶榮統計論文獎(優等獎)
86 97 博士生獲獎: ISF Travel Award nternational Institute of Forecasters 2009-06-21 指導博士生林孟樺榮獲國際預測學會IIF Travel Award
87 97 博士生獲獎:國科會千里馬計畫 國科會 2009-02-01 指導博士生林孟樺國科會千里馬計畫赴雪梨大學
88 97 ISI elected member International Statistical Institute 2008-12-01 國際統計學院會員 (ISI elected member)
89 97 逢甲大學論文著作獎勵優良獎 逢甲大學 2008-11-15 Asymmetries in return & volatility and composite news from stock markets
90 97 逢甲大學論文著作獎勵傑出獎 逢甲大學 2008-11-15 Impact of quarantine on the 2003 SARS outbreak: a retrospective modelling study
91 97 逢甲大學論文著作獎勵優良獎 逢甲大學 2008-11-15 Modeling financial time Series with threshold nonlinearity in returns and trading volume
92 97 逢甲大學特聘教授 逢甲大學 2008-08-01 8.1.2008-7.31.2009
93 96 逢甲大學學術研究獎勵 逢甲大學 2007-11-15 傑出獎
94 96 逢甲大學學術研究獎勵 逢甲大學 2007-11-15 優等獎
95 96 逢甲大學論文著作獎勵傑出獎 逢甲大學 2007-11-15 On a threshold heteroscedastic model
96 96 逢甲大學論文著作獎勵傑出獎 逢甲大學 2007-11-15 Comparison of nonnested asymmetric heteroscedastic models
97 96 逢甲大學論文著作獎勵優良獎 逢甲大學 2007-11-15 Estimation in Ricker's two-release method: a Bayesian approach
98 96 逢甲大學論文著作獎勵傑出獎 逢甲大學 2007-11-15 Asymmetric reaction to trading volume: Evidence from major stock markets based on a double-threshold model
99 96 逢甲大學論文著作獎勵傑出獎 逢甲大學 2007-11-15 Estimating HIV-infected population size in hard-to-count men who have sex with men groups: the case of gay saunas patrons in Taipei
100 96 逢甲大學論文著作獎勵傑出獎 逢甲大學 2007-11-15 Best subset selection of autoregressive models with exogenous variables and generalized autoregressive conditional heteroscedasticity errors
101 96 逢甲大學論文著作獎勵傑出獎 逢甲大學 2007-11-15 The Asymmetric Reactions of Mean and Volatility of Stock Returns to Domestic and International Information Based on a Four-Regime Double-Threshold GARCH Model
102 96 逢甲大學特聘教授 逢甲大學 2007-08-01 8.1.2007-7.31.2008
103 95 逢甲大學學術研究獎勵 逢甲大學 2006-11-15 傑出獎
104 95 逢甲大學學術研究獎勵 逢甲大學 2006-11-15 優等獎
105 95 逢甲大學論文著作獎勵傑出獎 逢甲大學 2006-11-15 Quarantine for SARS, Taiwan.
106 95 逢甲大學論文著作獎勵優良獎 逢甲大學 2006-11-15 A Bayesian threshold nonlinearity test in financial time series
107 95 逢甲大學論文著作獎勵優良獎 逢甲大學 2006-11-15 Assessing and testing for threshold nonlinearity in stock returns
108 95 逢甲大學論文著作獎勵傑出獎 逢甲大學 2006-11-15 Long-term dependence with asymmetric conditional heteroscedasticity in stock returns
109 95 逢甲大學論文著作獎勵優良獎 逢甲大學 2006-11-15 Asymmetric response and interaction of US and local markets news in financial markets
110 95 逢甲大學特聘教授 逢甲大學 2006-08-01 8.1.2006-7.31.2007
111 95 國科會統計學門第一級主持費 國科會 2006-08-01 國科會統計學門第一級主持費
112 94 斐陶斐榮譽學會會員 斐陶斐榮譽學會 2006-06-01 斐陶斐榮譽學會會員
113 94 嶺東科技大學財經學院兼任講座教授 嶺東科技大學 2006-01-01 財經學院兼任講座教授
114 94 博士生獲獎:Best Student Paper Award the 5th IASC 2005-12-17 指導博士生林孟樺獲獎
115 94 逢甲大學學術研究獎勵 逢甲大學 2005-11-15 傑出獎
116 94 逢甲大學論文著作獎勵傑出獎 逢甲大學 2005-11-15 SARS outbreak, Taiwan, 2003
117 94 逢甲大學論文著作獎勵優良獎 逢甲大學 2005-11-15 Mathematical modeling of SARS: errata and updates
118 94 逢甲大學論文著作獎勵優良獎 逢甲大學 2005-11-15 SARS outbreak in Taiwan: what we can learn from modeling
119 94 逢甲大學論文著作獎勵優良獎 逢甲大學 2005-11-15 Bayesian estimation for time series regressions improved with exact likelihoods
120 94 逢甲大學特聘教授 逢甲大學 2005-08-01
121 93 逢甲大學學術研究獎勵 逢甲大學 2004-11-15 傑出獎
122 93 逢甲大學論文著作獎勵優良獎 逢甲大學 2004-11-15 Subset threshold autogression
123 93 逢甲大學論文著作獎勵傑出獎 逢甲大學 2004-11-15 Re: Mathematical modeling of SARS: Cautious in all our movements
124 93 逢甲大學論文著作獎勵傑出獎 逢甲大學 2004-11-15 Severe acute respiratory syndrome: Numbers do not tell whole story
125 93 逢甲大學論文著作獎勵優良獎 逢甲大學 2004-11-15 Asymmetries Reacting to the US Stock-return News: Evidence from Major Stock Markets Based on Double-Threshold Model.
126 93 逢甲大學特聘教授 逢甲大學 2004-08-01 8.1.2004-7.31.2005
127 92 International Scientist International Biographical Cambridge 2003-12-12 normination as International Scientist of the Year
128 92 逢甲大學學術研究獎勵 逢甲大學 2003-11-15 傑出獎
129 92 逢甲大學論文著作獎勵傑出獎 逢甲大學 2003-11-15 Estimating the number of HIV-infected Cubans by sexual contact using contact tracing data
130 91 2003年世界名人錄-科學與工程領域 美國馬奎斯公司 2003-01-01 2003年世界名人錄-科學與工程領域
131 91 逢甲大學學術研究獎勵 逢甲大學 2002-11-15 傑出獎
132 90 2001台北貿易中心互訪計畫 台北貿易中心及香港大學 2002-03-01 訪問香港大學統計及精算系
133 90 逢甲大學學術研究獎勵 逢甲大學 2001-11-15 傑出獎
134 89 國科會甲種獎勵 行政院國科會 2000-08-01 Subset Selection of Autoregressive Time Series Models
135 88 國科會甲種獎勵 行政院國科會 1999-08-01 A Bayesian analysis of generalized threshold autoregressive models
136 87 國科會甲種獎勵 行政院國科會 1998-08-01 On Selection A Power Transformation In Time-Series
137 86 國科會甲種獎勵 行政院國科會 1997-08-01 A UNIFIED APPROACH TO ESTIMATING AND MODELING LINEAR AND NOMLINEAR TIME SERIES
138 85 國科會甲種獎勵 行政院國科會 1996-08-01 Detection of Additive Outliers in Bilinear Time Series
139 84 國科會甲種獎勵 行政院國科會 1995-08-01 門檻自我相關迴歸模式之貝式推論

校內外演講

校內外演講
演講題目
邀請單位
演講日期
1 Bayesian Causal Effects in Quantiles: Accounting for Heteroscedasticity 雪梨大學 2009-08-14
2 Falling and Explosive, Dormant and Rising Markets via Multiple-regime Financial Time Series Models 高雄大學 2009-08-01
3 Classification groups in segmented regression problems 第十八屆南區統計研討會 2009-06-27
4 Bayesian Causal Effects in Quantiles: Accounting for Heteroscedasticity HKUST, Hong Kong 2009-06-19
5 Time Series Analysis and Bayesian Approach Chiang Mai University 2008-08-11
6 Bayesian estimation and approximate model comparison for multiple-regime financial time series models 第十七屆南區統計研討會 2008-06-27
7 Inference and Model Comparison for Asymmetric STGARCH models University of Queensland 2007-09-27
8 Testing for Nonlinearity in double threshold GARCH models 中興大學應用經濟系 2007-07-15
9 Testing for Nonlinearity in double threshold GARCH models 嶺東科技大學財經學院 2007-07-10
10 HEvaluating Three-regime TGARCH models the 2007 International Associa 2007-06-08
11 Inference and percentile forecasting with ST models 中山大學應數系 2007-05-17
12 Bayesian Testing for Nonlinearity In DTGARCH models HKUST, Hong Kong 2007-04-14
13 Model selection for heteroskedastic models Univ. of Hong Kong 2006-12-07
14 Bayesian Model Selection UNSW, Australia 2006-11-17
15 Threshold heteroskedastic range models Univ. of Sydney, Australia 2006-09-22
16 Forecast Volatility from Threshold Heteroskedastic Intraday Monash University, Australia 2006-09-08
17 Estimation and model comparison for asymmetric STGARCH model 澳大利亞統計學會 2006-07-04
18 The Impact of Structural Breaks on the Integration of the ASEAN-5 Stock Markets TSEFAR 2006 2006-07-01
19 Optimal Dynamic Hedging Using Copula-Threshold-GARCH Models TSEFAR 2006 2006-06-30
20 Forecast Volatility from TGARCH Intraday range models 第十五屆南區統計研討會 2006-06-25
21 Heavy-tailed distributed threshold stochastic volatility model 第十五屆南區統計研討會 2006-06-25
22 Model Comparison for Smooth Transition Heteroskedastic Model 中央研院經濟研究所 2006-05-09
23 Inference and Model Comparison for Asymmetric STGARCH models 香港大學 2005-12-16
24 Forecast Volatility from Threshold Heteroscedastic Range Models 香港大學 2005-12-16
25 Estimation and model comparison for asymmetric STGARCH models 94年中國統計學術研討會 2005-12-10
26 Forecast volatility from threshold heteroscedastic range models 94年中國統計學術研討會 2005-12-10
27 Asymmetric reaction to trading volume: Evidence from major stocks 中央研究院 2004-12-28
28 Assessing and testing for threshold nonlinearity in stock returns 中原大學應用數學系 2004-11-12
29 Modelling Volatility 國立台中技術學院統計系 2004-11-03
30 Asymmetric reaction to trading volume: Evidence from major stocks 逢甲大學商學博士班 2004-10-26
31 On a threshold heteroscedastic model and its applications 嶺東技術學院 2004-10-15
32 On a threshold heteroscedastic model University of Hong Kong 2004-07-13
33 Best Subset Selection of ARX Models with GARCH errors University of Newcastle 2004-07-09
34 論文評論 實証經濟學研討會 2004-06-12
35 leptokurtic distributions in financial time series 銘傳大學統計系 2004-05-30
36 Nonlinear Models & Their Applications 嶺東技術學院財金所 2004-05-19
37 On a Threshold Heteroscedastic Model 中興大學財金所 2004-05-07
38 Conditional Heteroscedastic Models 嶺東技術學院財金所 2004-05-05
39 Applications of fat-tailed distributions in financial time series 香港科技大學 2003-12-19
40 Applications of Fat-Tailed Distributions in Financial Time Series 國立中央大學統計所 2003-12-09
41 Best Subset Selection of ARX Models with GARCH errors 國立中正大學統計科學研究所 2003-12-03
42 Discussant, Space-Time Models for Count Processes with Application University of Chicago, USA 2003-09-19
43 A Bayesian threshold nonlinearity test in financial time series 東海大學 2003-03-25
44 On a threshold heteroscedastic model 清華大學 2003-03-14
45 On Estimation of Fractionally Integrated ARMA Models with Asymmetric GARCH University of Hong Kong 2001-08-18

教材與作品

教材與作品
學年
出版單位
作品名稱
作者群
作品類別
1 105 Springer International Publishing Structural Breaks of CAPM-type Market Model with Heteroskedasticity and Quantile Regression Cathy W.S. Chen, Khemmanant Khamthong and Sangyeol Lee 教科書
2 106 Studies in Computational Intelligence, Springer Bayesian Forecasting for Tail Risk, in V. Kreinovich et al. (eds.), Predictive Econometrics and Big Data, Studies in Computational Intelligence 753, 122-145. Chen*, C.W.S. and Sun, Y.W. 複合教材
3 107 Studies in Computational Intelligence, Springer Bayesian modelling structural changes on housing price dynamics, In Kreinovich V., Sriboonchitta S. (eds.) Structural Changes and their Econometric Modeling, Studies in Computational Intelligence, 808, 83-104. Than-Thi, H. (Ph.D. st), Dong, M.C. (Ph.D. st), Chen*, C.W.S. 複合教材