Ph.D. Students

Theses

1

劉峰旗

Liu, F. C.

非線性時間序列之波動預測及模式選取

Volatility Forecasting and Model Selection for Nonlinear Time Series. (12/2009)

2

林孟樺

Lin, E. M. H.

貝氏預測與非線性動態模式

Bayesian Forecasting and Nonlinear Dynamic Models (8/2010)

3

陳淑瑜

Chen, S. Y.

非線性時間序列模型之貝氏單根檢定

Bayesian Unit Root Tests of Nonlinear Time Series Models with Heteroskedasticity (6/2013)

4

張寶珠

Truong, B. C.

Bayesian Inference and Model Selection for Double Hysteretic Heteroskedastic Models (7/2016)

5

童孟強

Dong, M. C.

金融數據的結構性改變和分量迴歸之探討

Essays of Structural Changes And Quantile Regression on Financial Data (7/2019)

6

申氏鴻

Than-Thi, H.

多變量滯延自我迴歸模型的貝氏推論和分位數預測

Bayesian Inference and Quantile Forecasting on the Multivariate Hysteretic Autoregressive Model (8/2019)

7

康凱蘭

Khamthong, K.

貝氏分析非線性整數型時間數列模型

Bayesian Modeling for Nonlinear Time Series of Counts (8/2019)

 

 

Master students

Theses

1

程彩虹

Cherng, T. H.

選取雙線性時間序列模式之最適階次:利用遺傳演算法

On the Selection of Subset Bilinear Time Series Models: A Genetic Algorithm Approach. (1998)

2

王南喻

Wang, N. Y.

時間數列迴歸之參數估計及其應用

Bayesian Estimation of Time Series Regressions with Applications (1998)

3

溫有汶

Wen, Y. W.

時間數列迴歸適合度之研究

On Goodness of Fit for Time Series Regression Models.  (1999)

4

陳淑瑜

Chen, S. Y.

DTGARCH時間數列模型之估計與適合度檢定

 

Estimation And Diagnostics for Double-Threshold GARCH Time Series Models (2001)

5

劉銘村

Liu, M. T.

探討分數整合ARMA-GARCH模式之估計

 

On Estimation of Fractionally Integrated ARMA-GARCH Models (2001)

6

劉峰旗

Liu, F. C.

具條件變異數異質性之自我迴歸模式其最佳子集之選取

Best Subset Selection of ARX-GARCH Models (2002)

7

陳明田

Chen, M. T.

貝氏方法選取最佳模式---GARCH或門檻GARCH模式

A Bayesian Threshold Nonlinearity Test in Financial Time Series (2002)

8

李仁佑

Lee, J. Y.

厚尾分配在財務時間序列的應用

Applications of Fat-tailed Distributions in Financial Time Series (2003)

9

許雅真

Shu, Y. J.

財務金融時間數列是否純在非對稱性效應

Does Financial Time Series Exhibit Asymmetrical Effects? (2003)

10

羅懷均

Lo, H. J.

國際股票市場對本國與美國股市交互訊息組合之不對稱回應 (指導教授:楊明晶.陳婉淑共同指導)

Interactive Asymmetry: International Market Reactions to a Combination of Domestic and US Stock-Return News (2004)

11

林書瑩

Lin, D. S. Y.

股票市場價量關係之研究-應用雙門檻模式分析

Stock returns and trading volume based on double-threshold models (2004)

12

陳瀅萱

Chen, Y. H.

非對稱條件變異數異質性模式之貝式選擇

Bayesian Comparison of Asymmetric Heteroscedastic Models (2005)

13

林孟樺

Lin, E. M. H.

門檻異質性變幅模式之波動預測

Forecasting Volatility on a Threshold Heteroscedastic Range Model (2005)

14

高偉舜

Kau, E. W. S.

探討平滑轉換變異數異質性模式

On Asymmetric Smoothing Transition Heteroscedastic Models (2005)

15

程英賓

Cheng, N. Y. P.

結構改變對東南亞國協五國股票市場共整合之影響

The Impact of Structural Breaks on the Integration of the ASEAN-5 Stock Markets (2006)

16

廖麗娜

Liao, L. N.

雙馬可夫轉換變異數異質性模式

Double Markov Switching GARCH Models (2006)

17

林美惠

Lin, A. M. H.

評估三區段門檻變異數異質性模式

Evaluating Three-regime Threshold Generalized Autoregressive Conditionally Heteroskedastic Models (2007)

18

詹雅竹

Chan, N. Y. C.

金融市場之風險值模型推論

Conditional Autoregressive Value-at-Risk Models Estimates in Financial Markets (2007)

19

戴珮如

Tai, A. P. J.

條件變異數異質性模型之非線性檢定

Testing Nonlinearity for Double Threshold Autoregressive Conditional Heteroskedastic Models (2007)

20

林詩芸

Lin, C. S. Y.

指數平滑轉換模式之貝氏推論

Bayesian Inference to Exponential Smooth Transition Heteroskedastic Models (2008)

21

李振瑋

Lee, W. C. W.

貝氏方法評估風險值的表現

Bayesian Forecasting Value-at-Risk Thresholds (2008)

22

韋建名

Wei, C. M.

國際間股市之分量的因果檢定

Causality in Quantiles of the International Equity Markets (2008)

23

謝岳霖

Hsieh, W. Y. L.

改變點迴歸之推論

Inference of Change Points in Regression (2009)

24

李凱民

Lee, K. K. M.

迴歸及報酬預測模式下結構改變的問題

The Structural Change Problems in Regression and Return Prediction Models (2009)

25

翁嘉聰

Wong, J. C.

貝氏不對稱之分量因果關係

Bayesian Asymmetric Causality in Quantile Regression (2009)

26

林昶字

Lin, S.

伴時間變化的不對稱平滑轉換分量資本定價模型

Asymmetric Smooth Transition Quantile Capital Asset Pricing Model with Time-Varying Effect (2010)

27

黃博寬

Lee, B. B. K.

應用非線性迴歸分量法預測在2008-09年金融危機之風險值

Value-at-Risk Forecasting using Nonlinear Regression Quantile during the 2008-09 Financial Crisis (2010)

28

吳貞霖

Wu, J. L.

以貝氏分析具有不對稱平滑時間變異結構的財務時間序列

Bayesian Inference of Asymmetric Smooth Time-varying Structure in Financial Time Series (2011)

29

林留燕

Lin, L. Y.

風險值與期望損失評估應用貝氏估計方法

The Assessment of Value-at-Risk and Expected Shortfall via a Bayesian Approach (2011)

30

李淑如

Lee, S. R.

厚尾分配混合模型之貝氏推論

Bayesian Inference of Finite Mixture Models with Heavy-tailed Distributions (2012)

31

林億茹

Lin, Y. R.

貝氏推論 Jump GARCH 模型及其分量預測模型

Bayesian Inference and Quantile Forecasting for Jump GARCH Models (2012)

32

賴怡君

Lai, I. C.

全球金融危機期間台灣標的股與美國存託憑證連動關係之結構性改變

Structural Breaks in Dynamic Relationships Between Taiwan’s Stock and ADRs During Global Financial Crisis (2012)

33

沈謙昱

Shen, C.Y.

應用CARE模型預測風險值與期望損失

Forecasting Value-at-Risk and Expected Shortfall Using Range CARE Models (2012)

34

金俊龍

Thawarot, P.

形成性評量對教與學之研究

A Study on the Effectiveness of Formative Evaluation to Improve Teaching and Learning (2013)

35

郭士嶧

Kuo, J. S. Y.

計數型資料之貝氏推論

Bayesian Inference for Time Series Count Data (2013)

36

翁美娟

Weng, M.

變異數異質性平滑轉移函數族群及其風險值預測

Forecasting Value-at-Risk Based on Variant Smooth Transition Heteroskedastic Models (2014)

37

王耀霆

Wang, Y. T.

單改變點自我相關條件卜松分配之貝式推論

Bayesian Estimation of ACP(1,1) with a Change point (2014)

38

謝易修

Hsieh, E. Y. H.

異常交易量對資本資產定價模型之影響

Abnormal Volume Effect on the CAPM with Heteroskedasticity (2014)

39

阮氏橫兒

Nguyen, Nga T. H.

變異數異質性之不對稱資本資產定價模式研究

A Study on an Asymmetric Capital Asset Pricing Model with Heteroskedasticity (2014)

40

李潔

Li, J.

我相關模型在過度分散的整數型資料應

Autoregressive Conditional Negative Binomial Model Applied to Over-dispersed Count Data (2015)

41

王于玫

Wang, Z.

應用二階平滑轉移函數變異數異質性模型於配對交易

Pair Trading via the second order Smooth Transition Heteroskedastic Models (2015)

42

吳佳靜

Wu, J. J.

整數型時間序列之因果關係檢定:應用於環境健康議題

Causality Test for Integer-valued Time Series Models with Applications to Environmental Health (2017)

43

程明潔

Cheng, M. C.

預測分析東協五國來台旅遊人數

Forecasting Tourist Arrivals ASEAN 5 to Taiwan (2017)

44

孫渝雯

Sun, Y. W.

貝氏方法預測風險值與期望損失

Bayesian Forecasting on Value-at-Risk and Expected Shortfall (2017)

45

黃才育

Huang, T. Y.

半母數容許區間應用於配對交易策略

Semi-Parametric Version of Tolerance Interval Strategy for Pair Trading (2018)

46

游舜傑

Yu, S. J.

推論違約機率及借貸人特徵:P2P借貸之應用

Inference of the probability of default and the borrower characteristics approach: An application on P2P lending (2018)

47

李依芳

Lee, Y. F.

貝氏推論分段結構改變之變異數異質性模型

Bayesian Inference of the Multiple Structural Change GARCH-type Model with Skew Student-t Errors (2019)

48

蔡堉淵

Tsai, Y. Y.

應用不對稱分配預測尾部風險貝氏方法

Forecasting Tail Risk Based on Skewed GED – A Bayesian Approach (2019)