姓名：葉錦徽 (Jin-Huei Yeh)

職稱：助理教授

到校年月：96年8月

辦公室：管二館 810

傳真：（03）4252961

聯絡電話：（03）4227151轉66255

Email：jhyeh@ncu.edu.tw

【學 歷】

Ph.D. in Economics, 2005, National Taiwan University

Visiting Ph.D. Student, 2003, Graduate School of Business, University of Chicago

M.A. in International Economics, 1998, National Chung-Cheng University

B.A. in International Trade, 1996, Chung-Yuan Christian University

【研究領域與專長】
Primary: Financial Econometrics, Econometric Theory, Time Series Analysis.

Secondary: Monetary Economics, Financial Economics.

【論文著作】　

　

(A) CURRENT RESEARCH AND ACADEMIC PAPERS

“Non-synchronous Trading and High Frequency Beta” (with Ruey S. Tsay), submitted to Journal of Econometrics, under revision.

“Assessing Value at Risk with CARE: Conditional AutoRegressive Expectile Models,” (with Chung-Ming Kuan), working paper.

“Realized Volatility and Correlation for Non-Synchronously Traded Financial Assets,” (with Chung-Ming Kuan), working paper.

“Market Fear Gauge as the Source of Volatility Asymmetry – A New Perspective,”

(with Chi-Feng, J., Tzeng), working paper.

“A New Jump-Free Quantile-Based Estimator for Volatility via High Frequency,”

(with Jying-Nang Wang, Chung-Ming Kuan, and Sy-Ming Guu), working paper.

　

　

(B) CONFERENCE PRESENTATIONS

“A New Jump-Free Quantile-Based Estimator for Volatility via High Frequency,” (with Jying-Nang Wang, Chung-Ming Kuan, and Sy-Ming Guu), July 2007, The 2007 Far-Eastern Summer Meeting of the Econometric Society, Academia Sinica, Taipei, Taiwan

“Realized Volatility and Correlation for Non-Synchronously Traded Financial Assets,” (with Chung-Ming Kuan), June 2007, The 2007 North American Summer Meeting of the Econometric Society, Duke University, Durham, North Carolina, USA.

“Market Fear Gauge as the Source of Volatility Asymmetry – A New Perspective,” (with Chi-Feng, J., Tzeng), April 2007, The Third Symposium on Econometric Theory and Applications, Hong Kong University of Science and Technology, Hong Kong.

“Assessing Value at Risk with CARE: Conditional AutoRegressive Expectile Models,” (with Chung-Ming Kuan), July 2006, The 2006 Far-Eastern Summer Meeting of the Econometric Society, Tsing-Hua University, Beijing, China.

“Assessing Value at Risk with CARE: Conditional AutoRegressive ExpectileModels,” (with Chung-Ming Kuan), Dec. 2005, The Macroeconomic and Econometric Modelling Conference, Academia Sinica, Taipei, Taiwan.

“Assessing Value at Risk with CARE: Conditional AutoRegressive Expectile Model,” (with Chung-Ming Kuan), Dec. 2005, The 2005 Annual Conference of Taiwan Economic Association and North American Chinese Economic Association, NCCU, Taipei, Taiwan.

“Non-synchronous Trading and High Frequency Beta,” (with Ruey S. Tsay), Dec. 2004, The 12th Conference on the Theories and Practices of Securities and Financial Markets, National Sun Yat-Sen University, Kaohsiung, Taiwan.

“Non-synchronous Trading and High Frequency Beta,” (with Ruey S. Tsay), Dec. 2004, The 2004 International Conference on Finance, National Taiwan University, Taipei, Taiwan.

　

(C) RESEARCH GRANTS

“A New Class of Downside Risk in Cross-sectional Equity Returns,” 2006, National Science Council, 95-2415-H-155-003

“Market Fear Gauge as the Source of Volatility Asymmetry,” 2006, Yuan Ze University 403018

“A New Event-Driven Stochastic Volatility Model for Financial Time Series,” 2006, National Science Council, NSC 95-2415-H-155 -001