國立中央大學教師履歷平台

教師個人簡歷

中文姓名

徐之強

英文姓名

Hsu, Chih-Chiang

電子郵件

cchsu@mgt.ncu.edu.tw

Change point Foreign direct investment Fractional Brownian motion Spurious change Time series analysis 計量理論與應用時間數列分析國際金融 International finance Econometric Theory 經濟學

現職	國立中央大學管理學院經濟學系教授
專長	計量理論與應用時間數列分析國際金融 Time series analysis International finance
專長簡述	Econometric Theory
最高學歷	國立臺灣大學經濟學系博士
相關連結	個人網頁 GRB資訊系統

科技部學門領域	H - 人文及社會科學 H15 - 經濟學 H15A3 - 數理與數量方法
政府GRB研究專長領域	8 - 社會、心理、法律或政治 85 - 經濟學
教育部學門領域	3 - 社會科學、商業及法律 31 - 社會及行為科學學門 3101 - 經濟學類

國科會計畫統計

MIDAS迴歸:參數估計與預測能力檢定
1040801~1050731
[MIDASMIDASMIDASMIDASMIDAS迴歸,混和頻率資料,現測,預測能力 , MIDAS Regressions,Mixed-Frequency Data,Nowcasting,Predictive Ability]

產學合作計畫統計

由媒體報導文字資訊預測GDP
1080601~1081130
我國出口變動之量化影響評估
1040824~1050630

期刊著作

以文字探勘技術編製臺灣貨幣政策意料外指數與其應用
中央銀行季刊, 46, 1, 頁5-38, 2024-01-01
[ 文字探勘,貨幣政策衝擊,貨幣政策意料外指標,Text mining,Monetary policy shocks,Monetary policy surprised index ]
Liquidity spillover in foreign exchange markets
Finance Research Letters, 44, 2022-01-01
臺灣基本通膨估值(UIG)之建構與分析
中央銀行季刊, 41, 3, 29-58, 2019-09-01
[ 基本通膨估值,通貨膨脹率,進階計量模型,UIG ]
Liquidity Commonality in Foreign Exchange Markets During the Global Financial Crisis and the Sovereign Debt Crisis: Effects of Macroeconomic and Quantitative Easing Announcements
North American Journal of Economics and Finance, 42, 172-192, 2017-11-01
[ Foreign exchange market , Liquidity commonality , Macroeconomic announcements , Quantitative easing policies ]
Foreign direct investment and income inequality: Does the relationship vary with absorptive capacity?
Economic Modelling, 29, 6, 2183-2189, 2012-11-01
[ Absorptive capacity , Foreign direct investment , Income inequality , Threshold regression ]
Foreign direct investment and business cycle co-movements: The panel data evidence
Journal of Macroeconomics, 33, 4, 770-783, 2011-12-01
[ Business cycle co-movements , Foreign direct investment , Industrial dissimilarity , Trade ]
Asymmetric exchange rate exposure and industry characteristics: Evidence from Japanese data
Hitotsubashi Journal of Economics, 50, 1, 57-69, 2009-06-01
[ Asymmetric correlation , Exchange rate exposure , Threshold model ]
Dynamic hedging with futures: A copula-based GARCH model
Journal of Futures Markets, 28, 11, 1095-1116, 2008-11-01
Does foreign direct investment promote economic growth? Evidence from a threshold regression analysis
Economics Bulletin, 15, 12, 2008-07-23
A note on tests of partial parameter stability in the cointegrated system
Economics Letters, 99, 3, 500-503, 2008-06-01
[ Cointegration , Local power analysis , Partial parameter stability ]
The MOSUM of squares test for monitoring variance changes
Finance Research Letters, 4, 4, 254-260, 2007-12-01
[ Currency crisis , Monitoring structural change , MOSUM of squares test ]
Long memory or structural changes: An empirical examination on inflation rates
Economics Letters, 88, 2, 289-294, 2005-08-01
[ Change point , Local Whittle estimation , Long memory ]
Change point estimation in regressions with I(d) variables
Economics Letters, 70, 2, 147-155, 2001-02-01
[ C22 , Change point estimation , Fractional Brownian motion , Spurious change ]
Change-point estimation of fractionally integrated processes
Journal of Time Series Analysis, 19, 6, 693-708, 1998-01-01
[ Change point , Fractional Brownian motion , Fractionally integrated process , Functional central limit theorem , Law of iterated logarithm , Spurious change ]

研討會著作

American Economic Association 2020 Annual Meeting, San Diego, USA
30, 2020-01-03
[ Market risk,European debt crisis,Global financial crisis,Liquidity spillovers ]
Liquidity Spillover in the Foreign Exchange Market
2020-01-03
[ Liquidity spillover,Financial crisis ]

國科會計畫統計

MIDAS迴歸:參數估計與預測能力檢定 1040801~1050731 [MIDASMIDASMIDASMIDASMIDAS迴歸,混和頻率 資料,現測,預測能 力 , MIDAS Regressions,Mixed-Frequency Data,Nowcasting,Predictive Ability]

產學合作計畫統計

由媒體報導文字資訊預測GDP 1080601~1081130

我國出口變動之量化影響評估 1040824~1050630

期刊著作

以文字探勘技術編製臺灣貨幣政策意料外指數與其應用 中央銀行季刊, 46, 1, 頁5-38, 2024-01-01 [ 文字探勘,貨幣政策衝擊,貨幣政策意料外指標,Text mining,Monetary policy shocks,Monetary policy surprised index ]

Liquidity spillover in foreign exchange markets Finance Research Letters, 44, 2022-01-01

臺灣基本通膨估值(UIG)之建構與分析 中央銀行季刊, 41, 3, 29-58, 2019-09-01 [ 基本通膨估值,通貨膨脹率,進階計量模型,UIG ]

Foreign direct investment and income inequality: Does the relationship vary with absorptive capacity? Economic Modelling, 29, 6, 2183-2189, 2012-11-01 [ Absorptive capacity , Foreign direct investment , Income inequality , Threshold regression ]

Foreign direct investment and business cycle co-movements: The panel data evidence Journal of Macroeconomics, 33, 4, 770-783, 2011-12-01 [ Business cycle co-movements , Foreign direct investment , Industrial dissimilarity , Trade ]

Asymmetric exchange rate exposure and industry characteristics: Evidence from Japanese data Hitotsubashi Journal of Economics, 50, 1, 57-69, 2009-06-01 [ Asymmetric correlation , Exchange rate exposure , Threshold model ]

Dynamic hedging with futures: A copula-based GARCH model Journal of Futures Markets, 28, 11, 1095-1116, 2008-11-01

Does foreign direct investment promote economic growth? Evidence from a threshold regression analysis Economics Bulletin, 15, 12, 2008-07-23

A note on tests of partial parameter stability in the cointegrated system Economics Letters, 99, 3, 500-503, 2008-06-01 [ Cointegration , Local power analysis , Partial parameter stability ]

The MOSUM of squares test for monitoring variance changes Finance Research Letters, 4, 4, 254-260, 2007-12-01 [ Currency crisis , Monitoring structural change , MOSUM of squares test ]

Long memory or structural changes: An empirical examination on inflation rates Economics Letters, 88, 2, 289-294, 2005-08-01 [ Change point , Local Whittle estimation , Long memory ]

Change point estimation in regressions with I(d) variables Economics Letters, 70, 2, 147-155, 2001-02-01 [ C22 , Change point estimation , Fractional Brownian motion , Spurious change ]

Change-point estimation of fractionally integrated processes Journal of Time Series Analysis, 19, 6, 693-708, 1998-01-01 [ Change point , Fractional Brownian motion , Fractionally integrated process , Functional central limit theorem , Law of iterated logarithm , Spurious change ]

研討會著作

American Economic Association 2020 Annual Meeting, San Diego, USA 30, 2020-01-03 [ Market risk,European debt crisis,Global financial crisis,Liquidity spillovers ]

Liquidity Spillover in the Foreign Exchange Market 2020-01-03 [ Liquidity spillover,Financial crisis ]

MIDAS迴歸:參數估計與預測能力檢定
1040801~1050731
[MIDASMIDASMIDASMIDASMIDAS迴歸,混和頻率資料,現測,預測能力 , MIDAS Regressions,Mixed-Frequency Data,Nowcasting,Predictive Ability]

由媒體報導文字資訊預測GDP
1080601~1081130

我國出口變動之量化影響評估
1040824~1050630

以文字探勘技術編製臺灣貨幣政策意料外指數與其應用
中央銀行季刊, 46, 1, 頁5-38, 2024-01-01
[ 文字探勘,貨幣政策衝擊,貨幣政策意料外指標,Text mining,Monetary policy shocks,Monetary policy surprised index ]

Liquidity spillover in foreign exchange markets
Finance Research Letters, 44, 2022-01-01

臺灣基本通膨估值(UIG)之建構與分析
中央銀行季刊, 41, 3, 29-58, 2019-09-01
[ 基本通膨估值,通貨膨脹率,進階計量模型,UIG ]

Foreign direct investment and income inequality: Does the relationship vary with absorptive capacity?
Economic Modelling, 29, 6, 2183-2189, 2012-11-01
[ Absorptive capacity , Foreign direct investment , Income inequality , Threshold regression ]

Foreign direct investment and business cycle co-movements: The panel data evidence
Journal of Macroeconomics, 33, 4, 770-783, 2011-12-01
[ Business cycle co-movements , Foreign direct investment , Industrial dissimilarity , Trade ]

Asymmetric exchange rate exposure and industry characteristics: Evidence from Japanese data
Hitotsubashi Journal of Economics, 50, 1, 57-69, 2009-06-01
[ Asymmetric correlation , Exchange rate exposure , Threshold model ]

Dynamic hedging with futures: A copula-based GARCH model
Journal of Futures Markets, 28, 11, 1095-1116, 2008-11-01

Does foreign direct investment promote economic growth? Evidence from a threshold regression analysis
Economics Bulletin, 15, 12, 2008-07-23

A note on tests of partial parameter stability in the cointegrated system
Economics Letters, 99, 3, 500-503, 2008-06-01
[ Cointegration , Local power analysis , Partial parameter stability ]

The MOSUM of squares test for monitoring variance changes
Finance Research Letters, 4, 4, 254-260, 2007-12-01
[ Currency crisis , Monitoring structural change , MOSUM of squares test ]

Long memory or structural changes: An empirical examination on inflation rates
Economics Letters, 88, 2, 289-294, 2005-08-01
[ Change point , Local Whittle estimation , Long memory ]

Change point estimation in regressions with I(d) variables
Economics Letters, 70, 2, 147-155, 2001-02-01
[ C22 , Change point estimation , Fractional Brownian motion , Spurious change ]

Change-point estimation of fractionally integrated processes
Journal of Time Series Analysis, 19, 6, 693-708, 1998-01-01
[ Change point , Fractional Brownian motion , Fractionally integrated process , Functional central limit theorem , Law of iterated logarithm , Spurious change ]

American Economic Association 2020 Annual Meeting, San Diego, USA
30, 2020-01-03
[ Market risk,European debt crisis,Global financial crisis,Liquidity spillovers ]

Liquidity Spillover in the Foreign Exchange Market
2020-01-03
[ Liquidity spillover,Financial crisis ]