國立中央大學教師履歷平台

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葉錦徽

Yeh, Jin-Huei

jhyeh@ncu.edu.tw

其他補助

桃園市政府青年職涯發展及創業活動計畫-2023新創千里馬創業競賽
1120612~1120705
[創業競賽 , 無]

國科會計畫統計

再探預測匯率及其波動之決定因子:一個整合理論與資料科學的新觀點
1140801~1160731
再探預測匯率及其波動之決定因子:一個整合理論與資料科學的新觀點
1130801~1140731
一個新動態CARE模型及在財務與經濟尾端風險管理的應用
1120801~1131031
[尾端風險,風險值,預期損失,預測力,投資組合配置,系統風險,偏分量迴歸,序列蒙地卡羅 , Expectile,Carlo,value at risk,expected shortfall,predictability,portfolio allocation,systemic risk,CoVaR,partial quantile regression,sequential Monte,tail risk]
一個新動態CARE模型及在財務與經濟尾端風險管理的應用
1110801~1120731
[尾端風險,風險值,預期損失,預測力,投資組合配置,系統風險,偏分量迴歸,序列蒙地卡羅 , Expectile,Carlo,value at risk,expected shortfall,predictability,portfolio allocation,systemic risk,CoVaR,partial quantile regression,sequential Monte,tail risk]
AI科技對個人、群體、社經制度的衝擊、調適與因應(2/4)
1090101~1090731
AI 科技對個人、群體、社經制度的衝擊、調適與因應(1/4)
1080101~1081231
[人工智慧,社會安全,人力資源,組指行為,技術的採用與擴散,經濟成長,產業結構,不均等 , Artificial intelligence, social security, human resource, organization behavior, technology adoption and diffusion, economic development, industrial structure, inequality.]
解構台灣與各國房價的長期驅動力
1060801~1071231
高頻交易資訊內涵對低頻交易的投資意涵與橫斷面報酬率的訂價意涵
1050801~1061231

產學合作計畫統計

線上遊戲驗證
1130517~1130527
[遊戲驗證 , Game verification]

期刊著作

Market Efficiency and Stability Under Short Sales Constraints: Evidence from a Natural Experiment with High-Frequency Resolution
Mathematics, 13, 5, 2025-03-01
[ counterfactual policy analysis,price efficiency,put–call parity,short-sales constraints,threshold error correction ]
臺灣通膨率預測：運用大數據資料分析
中央銀行季刊, 47, 1, 5~33, 2025-03-01
[ 通膨率,機器學習,隨機森林,因子模型,Inflation rate,Machine learning, Random forest;,Factor model ]
探索預測臺灣通膨隱而未現的重要因子--監督式降維模型的實證
管理評論, 43, 3, 頁19-40, 2024-01-01
[ 通膨預測,Policy intervention,監督式降維,Inflation forecasting,預警監控,潛在因子模型,政策干預,Latent factor model,Supervised dimension reduction,Early warning and monitoring ]
Assessing jump and cojumps in financial asset returns with applications in futures markets
Pacific Basin Finance Journal, 82, 2023-12-01
[ Cojump,Extreme tail,Jumps,Realized power variation,Tail dependence ]
臺灣金融穩定性風險指數之編製與應用
中央銀行季刊, 45, 2, 5-43, 2023-08-31
[ 風險指數,系統風險,金融穩定,金融脆弱性,鄰近衰退,因子模型,Partial quantile regression,偏分量迴歸,Systemic risk,Financial stability,Financial fragility,Factor model,Risk index,Near-term recession ]
情緒與總經宣告對風險與期望報酬抵換關係之影響 Impact of Investor Sentiment and Macroeconomic Announcements on Risk-Return
證券市場發展季刊, 34, 1, 135-176, 2022-03-01
[ 投資者情緒,風險與期望報酬抵換關係,總經宣告,變異數,Macroeconomic announcements,Variance,Investor sentiment,Risk-return trade-off ]
An Economic Policy Uncertainty Index for Taiwan 台灣經濟政策不確定性指標之建構與分析
Taiwan Economic Review 經濟論文叢刊, 49, 2, 307-334, 2021-06-01
[ E30,economic policy uncertainty,EPU index,O11,text mining JEL classification: C10 ]
The stabilizing effects of price limits: New evidence from jump contributed price variations
North American Journal of Economics and Finance, 48, 529-539, 2019-04-01
[ Jump activity , Market stabilization , Policy effectiveness , Price limits , Price variations , Stock market volatility ]
Bias-corrected realized variance
Econometric Reviews, 38, 2, 170-192, 2019-02-07
[ Bias correction,finite sample MSE,market microstructure noise,optimal sampling frequency,realized variance ]
Anchoring bias in house purchasing decisions: A quantile regression perspective
Taiwan Economic Review 經濟論文叢刊, 46, 3, 451-500, 2018-09-01
[ Anchoring bias , G18 , G38 , Homebuyer , Quantile regression JEL classication: G14 , Real estate ]
不動產交易之損失趨避
財務金融學刊 (原中國財務學刊), 26, 1, 25-58, 2018-03-31
[ 損失趨避,投資者經驗,分量迴歸,不動產市場 ]
How can econometrics and finance be used to help judges identify stock manipulation
Taiwan Economic Review 經濟論文叢刊, 45, 2, 225-298, 2017-01-01
[ Anti-manipulation clause , Difference of opinions , Efficient market hypothesis , Stock price manipulation ]
A New Approach for Identification and Characterization of Price Jumps
人文及管理學報, -, 33:2, 355-381, 2016-11-01
[ 高頻資料,實現波動率,有限度活耀性的跳躍,跳躍-擴散過程,順序統計量 ]
The role of buy-side anchoring bias: Evidence from the real estate market
Pacific Basin Finance Journal, 38, 34-58, 2016-06-01
[ Anchoring bias , Real estate markets , Willingness to pay ]
A noise-robust estimator of volatility based on interquantile ranges
Review of Quantitative Finance and Accounting, 43, 4, 751-779, 2014-11-01
[ Bi-power variation , Inter quantile range , Market microstructure noise , Price jump , Range-based volatility , Realized volatility ]
Stabilizing the market with short sale constraint? New evidence from price jump activities
Finance Research Letters, 11, 3, 238-246, 2014-01-01
[ Jump intensity , Jump size , Liquidity , Market stabilization , Put-call-parity , Short sale constraint ]
How accurate is the square-root-of-time rule in scaling tail risk: A global study
Journal of Banking and Finance, 35, 5, 1158-1169, 2011-05-01
[ Heavy-tail , Jumpiffusion , Serial dependence , Square-root-of-time rule , Subsampling-based test , Value at risk , Volatility clustering ]
Random aggregation with applications in high-frequency finance
Journal of Forecasting, 30, 1, 72-103, 2011-01-01
[ Gibbs sampling , intraday return , market microstructure , Markov chain Monte Carlo , missing value ]
Correcting microstructure comovement biases for integrated covariance
Finance Research Letters, 7, 3, 184-191, 2010-09-01
[ Bias correction , C01 , C10 , C14 , C22 , Commonality , Market microstructure , Realized covariance ]
Assessing value at risk with CARE, the Conditional Autoregressive Expectile models
Journal of Econometrics, 150, 2, 261-270, 2009-06-01
[ Asymmetric least squares , CARE model , Expectile , Prudentiality , Quantile , Value at Risk ]

校內獲獎

107 研究傑出獎

國際學術合作

1150515 ~ 1150515 與 [伊利諾大學芝加哥分校] 合作
1150515 ~ 1150515 與 [伊利諾大學芝加哥分校] 合作
1140405 ~ 1140411 與 [Prague University of Economics and Business] 合作
1140405 ~ 1140411 與 [Prague University of Economics and Business] 合作
1131106 ~ 1131106 與 [AACSB] 合作
1131009 ~ 1131013 與 [AAPBS] 合作
1131009 ~ 1131013 與 [AAPBS] 合作
1131009 ~ 1131009 與 [北京清華大學] 合作
1131009 ~ 1131009 與 [復旦大學] 合作
1131009 ~ 1131009 與 [復旦大學] 合作
1131009 ~ 1131009 與 [日內瓦商學院] 合作
1130530 ~ 1130602 與 [亞太商管學院聯盟] 合作
1130530 ~ 1130602 與 [首爾大學] 合作
1130216 ~ 1130220 與 [伊利諾大學芝加哥分校] 合作
1130216 ~ 1130225 與 [AACSB] 合作
1130204 ~ 1130210 與 [University of Antewerp] 合作
1130204 ~ 1130210 與 [Antwerp University] 合作
1121126 ~ 1121202 與 [同誌社大學] 合作

研習活動

UAAT-UI 系統合作研究計畫 [Univ. of Illinois at Chicago] 1140614 ~ 1140626
Gen AI 對商學教育的衝擊與新局 [北京清華大學] 1131009 ~ 1131009
以 2023 年的新準則深化 AOL [AACSB] 1121126 ~ 1121202

舉辦研討會

1120811 ~ 1120812 舉辦 2023 AI 引領永續社會國際學術研討會暨政策實務論壇
1120811 ~ 1120812 舉辦 2023 AI 引領永續社會國際學術研討會暨政策實務論壇
1111130 ~ 1121130 舉辦環境綠能與碳補存科技論壇

邀請校外學者來訪

1120811 ~ 1120812 邀請新加坡國立大學 / 京都大學 / 早稻田大學 / 康考迪亞大學學者參加學術研討會發表論文/演講/來校講學

1141219 ~ 1141219 2025人資長論壇
1141210 ~ 1141210 2026「生跡」月曆發表會

葉錦徽

Yeh, Jin-Huei

現職

專長

專長簡述

最高學歷

相關連結

科技部學門領域

政府GRB研究專長領域

教育部學門領域

其他補助

桃園市政府青年職涯發展及創業活動計畫-2023新創千里馬創業競賽 1120612~1120705 [創業競賽 , 無]

國科會計畫統計

再探預測匯率及其波動之決定因子:一個整合理論與資料科學的新觀點 1140801~1160731

再探預測匯率及其波動之決定因子:一個整合理論與資料科學的新觀點 1130801~1140731

AI科技對個人、群體、社經制度的衝擊、調適與因應(2/4) 1090101~1090731

解構台灣與各國房價的長期驅動力 1060801~1071231

高頻交易資訊內涵對低頻交易的投資意涵與橫斷面報酬率的訂價意涵 1050801~1061231

產學合作計畫統計

線上遊戲驗證 1130517~1130527 [遊戲驗證 , Game verification]

期刊著作

Market Efficiency and Stability Under Short Sales Constraints: Evidence from a Natural Experiment with High-Frequency Resolution Mathematics, 13, 5, 2025-03-01 [ counterfactual policy analysis,price efficiency,put–call parity,short-sales constraints,threshold error correction ]

臺灣通膨率預測：運用大數據資料分析 中央銀行季刊, 47, 1, 5~33, 2025-03-01 [ 通膨率,機器學習,隨機森林,因子模型,Inflation rate,Machine learning, Random forest;,Factor model ]

Assessing jump and cojumps in financial asset returns with applications in futures markets Pacific Basin Finance Journal, 82, 2023-12-01 [ Cojump,Extreme tail,Jumps,Realized power variation,Tail dependence ]

An Economic Policy Uncertainty Index for Taiwan 台灣經濟政策不確定性指標之建構與分析 Taiwan Economic Review 經濟論文叢刊, 49, 2, 307-334, 2021-06-01 [ E30,economic policy uncertainty,EPU index,O11,text mining JEL classification: C10 ]

The stabilizing effects of price limits: New evidence from jump contributed price variations North American Journal of Economics and Finance, 48, 529-539, 2019-04-01 [ Jump activity , Market stabilization , Policy effectiveness , Price limits , Price variations , Stock market volatility ]

Bias-corrected realized variance Econometric Reviews, 38, 2, 170-192, 2019-02-07 [ Bias correction,finite sample MSE,market microstructure noise,optimal sampling frequency,realized variance ]

Anchoring bias in house purchasing decisions: A quantile regression perspective Taiwan Economic Review 經濟論文叢刊, 46, 3, 451-500, 2018-09-01 [ Anchoring bias , G18 , G38 , Homebuyer , Quantile regression JEL classication: G14 , Real estate ]

不動產交易之損失趨避 財務金融學刊 (原中國財務學刊), 26, 1, 25-58, 2018-03-31 [ 損失趨避,投資者經驗,分量迴歸,不動產市場 ]

How can econometrics and finance be used to help judges identify stock manipulation Taiwan Economic Review 經濟論文叢刊, 45, 2, 225-298, 2017-01-01 [ Anti-manipulation clause , Difference of opinions , Efficient market hypothesis , Stock price manipulation ]

A New Approach for Identification and Characterization of Price Jumps 人文及管理學報, -, 33:2, 355-381, 2016-11-01 [ 高頻資料,實現波動率,有限度活耀性的跳躍,跳躍-擴散過程,順序統計量 ]

The role of buy-side anchoring bias: Evidence from the real estate market Pacific Basin Finance Journal, 38, 34-58, 2016-06-01 [ Anchoring bias , Real estate markets , Willingness to pay ]

A noise-robust estimator of volatility based on interquantile ranges Review of Quantitative Finance and Accounting, 43, 4, 751-779, 2014-11-01 [ Bi-power variation , Inter quantile range , Market microstructure noise , Price jump , Range-based volatility , Realized volatility ]

Stabilizing the market with short sale constraint? New evidence from price jump activities Finance Research Letters, 11, 3, 238-246, 2014-01-01 [ Jump intensity , Jump size , Liquidity , Market stabilization , Put-call-parity , Short sale constraint ]

How accurate is the square-root-of-time rule in scaling tail risk: A global study Journal of Banking and Finance, 35, 5, 1158-1169, 2011-05-01 [ Heavy-tail , Jumpiffusion , Serial dependence , Square-root-of-time rule , Subsampling-based test , Value at risk , Volatility clustering ]

Random aggregation with applications in high-frequency finance Journal of Forecasting, 30, 1, 72-103, 2011-01-01 [ Gibbs sampling , intraday return , market microstructure , Markov chain Monte Carlo , missing value ]

Correcting microstructure comovement biases for integrated covariance Finance Research Letters, 7, 3, 184-191, 2010-09-01 [ Bias correction , C01 , C10 , C14 , C22 , Commonality , Market microstructure , Realized covariance ]

Assessing value at risk with CARE, the Conditional Autoregressive Expectile models Journal of Econometrics, 150, 2, 261-270, 2009-06-01 [ Asymmetric least squares , CARE model , Expectile , Prudentiality , Quantile , Value at Risk ]

校內獲獎

國際學術合作

研習活動

舉辦研討會

邀請校外學者來訪

桃園市政府青年職涯發展及創業活動計畫-2023新創千里馬創業競賽
1120612~1120705
[創業競賽 , 無]

再探預測匯率及其波動之決定因子:一個整合理論與資料科學的新觀點
1140801~1160731

再探預測匯率及其波動之決定因子:一個整合理論與資料科學的新觀點
1130801~1140731

AI科技對個人、群體、社經制度的衝擊、調適與因應(2/4)
1090101~1090731

解構台灣與各國房價的長期驅動力
1060801~1071231

高頻交易資訊內涵對低頻交易的投資意涵與橫斷面報酬率的訂價意涵
1050801~1061231

線上遊戲驗證
1130517~1130527
[遊戲驗證 , Game verification]

Market Efficiency and Stability Under Short Sales Constraints: Evidence from a Natural Experiment with High-Frequency Resolution
Mathematics, 13, 5, 2025-03-01
[ counterfactual policy analysis,price efficiency,put–call parity,short-sales constraints,threshold error correction ]

臺灣通膨率預測：運用大數據資料分析
中央銀行季刊, 47, 1, 5~33, 2025-03-01
[ 通膨率,機器學習,隨機森林,因子模型,Inflation rate,Machine learning, Random forest;,Factor model ]

Assessing jump and cojumps in financial asset returns with applications in futures markets
Pacific Basin Finance Journal, 82, 2023-12-01
[ Cojump,Extreme tail,Jumps,Realized power variation,Tail dependence ]

An Economic Policy Uncertainty Index for Taiwan 台灣經濟政策不確定性指標之建構與分析
Taiwan Economic Review 經濟論文叢刊, 49, 2, 307-334, 2021-06-01
[ E30,economic policy uncertainty,EPU index,O11,text mining JEL classification: C10 ]

The stabilizing effects of price limits: New evidence from jump contributed price variations
North American Journal of Economics and Finance, 48, 529-539, 2019-04-01
[ Jump activity , Market stabilization , Policy effectiveness , Price limits , Price variations , Stock market volatility ]

Bias-corrected realized variance
Econometric Reviews, 38, 2, 170-192, 2019-02-07
[ Bias correction,finite sample MSE,market microstructure noise,optimal sampling frequency,realized variance ]

Anchoring bias in house purchasing decisions: A quantile regression perspective
Taiwan Economic Review 經濟論文叢刊, 46, 3, 451-500, 2018-09-01
[ Anchoring bias , G18 , G38 , Homebuyer , Quantile regression JEL classication: G14 , Real estate ]

不動產交易之損失趨避
財務金融學刊 (原中國財務學刊), 26, 1, 25-58, 2018-03-31
[ 損失趨避,投資者經驗,分量迴歸,不動產市場 ]

How can econometrics and finance be used to help judges identify stock manipulation
Taiwan Economic Review 經濟論文叢刊, 45, 2, 225-298, 2017-01-01
[ Anti-manipulation clause , Difference of opinions , Efficient market hypothesis , Stock price manipulation ]

A New Approach for Identification and Characterization of Price Jumps
人文及管理學報, -, 33:2, 355-381, 2016-11-01
[ 高頻資料,實現波動率,有限度活耀性的跳躍,跳躍-擴散過程,順序統計量 ]

The role of buy-side anchoring bias: Evidence from the real estate market
Pacific Basin Finance Journal, 38, 34-58, 2016-06-01
[ Anchoring bias , Real estate markets , Willingness to pay ]

A noise-robust estimator of volatility based on interquantile ranges
Review of Quantitative Finance and Accounting, 43, 4, 751-779, 2014-11-01
[ Bi-power variation , Inter quantile range , Market microstructure noise , Price jump , Range-based volatility , Realized volatility ]

Stabilizing the market with short sale constraint? New evidence from price jump activities
Finance Research Letters, 11, 3, 238-246, 2014-01-01
[ Jump intensity , Jump size , Liquidity , Market stabilization , Put-call-parity , Short sale constraint ]

How accurate is the square-root-of-time rule in scaling tail risk: A global study
Journal of Banking and Finance, 35, 5, 1158-1169, 2011-05-01
[ Heavy-tail , Jumpiffusion , Serial dependence , Square-root-of-time rule , Subsampling-based test , Value at risk , Volatility clustering ]

Random aggregation with applications in high-frequency finance
Journal of Forecasting, 30, 1, 72-103, 2011-01-01
[ Gibbs sampling , intraday return , market microstructure , Markov chain Monte Carlo , missing value ]

Correcting microstructure comovement biases for integrated covariance
Finance Research Letters, 7, 3, 184-191, 2010-09-01
[ Bias correction , C01 , C10 , C14 , C22 , Commonality , Market microstructure , Realized covariance ]

Assessing value at risk with CARE, the Conditional Autoregressive Expectile models
Journal of Econometrics, 150, 2, 261-270, 2009-06-01
[ Asymmetric least squares , CARE model , Expectile , Prudentiality , Quantile , Value at Risk ]