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胡毓彬

個人照姓名 :胡毓彬
職稱: 教授
學歷: 國立清華大學博士
專長: 多變量時間序列的理論與應用、財經資料分析
分機: (049)2910960 ext.4669 研究室: 管院5005 
E-mail: Email住址會使用灌水程式保護機制。你需要啟動Javascript才能觀看它 晤談時間: 1GH


附加資訊

  • ~導師個人資料~:

     

    【學 歷】

    1998 博士, 國立清華大學統計學研究所
    1990 學士, 國立台灣師範大學數學系

     

    【經 歷】

    2011/02 - 迄今 教授, 國立暨南大學國際企業系
    2006/09 - 2006/12 訪問學者, 美國雪城大學經濟系
    2007/08 - 2010/07 專任副教授兼系主任, 國立暨南大學國際企業系
    2005/02 - 2011/01 副教授, 國立暨南大學國際企業系
    2002/08 - 2005/01 助理教授,國立暨南國際大學國際企業系
    1998/08 - 2002/07 助理教授,朝陽科技大學財務金融系
    1997/04 - 1997/12 訪問學生, 美國芝加哥大學商學院
    1994/08 - 1995/07 數學科專任教師, 國立中壢高中

     

    【研 究 領 域】

    多變量時間序列的理論與應用, 衍生性金融商品定價, 財經資料分析

     

    【期刊論文】

    1. Hu, Yu-Pin and Tsay, R. S. 2014, “Principal volatility component analysis.”(with discussions)Journal of Business and Economic Statistics, 32, 153-177. (SSCI)
    2. Ke, Tsung-Han and Hu, Yu-Pin, 2013, “Forecasting Volatility with Many Predictors.” Journal of Forecasting, 32, 743-754. (SSCI)
    3. Hu, Yu-Pin, 2011,“On the reduced-rank model with leading index.” Statistical Modelling. 11: 523-534 (SCI)
    4. Hu, Yu-Pin, 2011, “Likelihood function and canonical correlation analysis of the Pena-Box model.” Communication in Statistics—Theory and Methods, 40:1453—1467 (SCI)
    5. Li, CY and Hu, Yu-Pin, 2011, “Robustness comparisons of the Pena-Box model and the factor model to extract useful predictors.” Communication in Statistics—Theory and Methods, 40: 1633—1650
      (SCI)
    6. Hu, Yu-Pin and Chou, R.J., 2008,“A generalized time-effect factor model and its application: Recovering trend of temperature by pollen data,” Environmetrics, 19: 439-451. (Leading article) (SCI)
    7. Luo, L.M., Sheu, H. J. and Hu, Yu-Pin, 2008, “The good-deal pricing model for the equity-linked life insurance,” Journal of Financial Studies, (財務金融學刊), 16: 159-181. (TSSCI)
    8. Luo, L.M., Sheu, H.J. and Hu, Yu-Pin, 2008, “Evaluating R&D Projects with Hedging Behavior,” Research-Technology Management, 51: 51-57.(SSCI)
    9. Hu, Yu-Pin, Lin, L. and Gao, R. W, 2008, “Time-varying inter-market Linkage of International Stock Markets,” Applied Economics, 40:1501-2507. (SSCI)
    10. Hu, Yu-Pin, Lin, L, and Piesse, J, 2005,“The Structural Changes of Exchange Rates Around 1997 Asian Crisis: Evidence from Eight Major Asian Countries,” Empirical Economics Letters, 4: 51-60. (Econlit)
    11. Hu, Yu-Pin, 2005, “Identifying the time-effect factors of multiple time series,” Journal of Forecasting, 24: 379-387. (SSCI)
    12. Hu, Yu-Pin and Chou, R. J., 2004, “On the Pena-Box model,” Journal of Time Series Analysis, 25: 811-830. (SCI)
    13. Hu, Yu-Pin and Chou, R. J., 2003, “A Dynamic Factor Model,” Journal of Time Series Analysis, 24: 529-538. (SCI)
    14. Hu, Yu-Pin, Tsay, R. S. and Chu, Y. J., 1999, “Forecasting and Modeling Taiwan Private Consumption Data,” Academia Economic Papers(經濟論文), 27: 1-22. (Leading article) (TSSCI)

     

    【研討會論文】

    1. Hu, Yu-Pin and Hwang, Gene, J T. (2012)“A new approach for analyzing panel AR(1) series with application to improve unit root test.” 第二十一屆南區統計研討會暨2012 年中華機率統計學年會及學術研討會(輔仁大學)(invited talk).
    2. Hu, Yu-Pin and Tsay, R. S. (2012)“Principal volatility components and their applications.” The 8th Symposium on Econometric Theory and Applications(SETA 2012, Shanghai).
    3. Hu, Yu-Pin and Tsay, R. S. (2011)“Principal volatility components and their applications.” Joint meeting of the 2011 Taipei international statistical Symposium and 7th conference of the Asian
      Regional Section of the IASC. (invited talk)
    4. 葉錦徽, 王景南,胡毓彬 (2009)“Resolving volatility from noise cointantaneously”總體計量模型研討會,中央研究院經濟所
    5. Hu, Yu-Pin (2009) “Identifying a simplified VAR model with reduced-rank model and leading index” The 29TH Annual International Symposium on Forecasting (ISF), Hong Kong.
    6. Hu, Yu-Pin (2008) “Forecasting the volatility using Heteroskedastic linear process” The 28TH Annual International Symposium on Forecasting (ISF), France.
    7. Li, Chen-Yu and Hu, Yu-Pin (2008) “Comparison of the robustness of the Pena-Box model and factor model: How to extract useful predicator for forecasting inflation of the fur Asian Tigers?” The 28TH Annual International Symposium on Forecasting (ISF), France.

     

    【已執行與執行中的國科會計畫】

    1. 胡毓彬(2011,執行中)“一般性的條件異質性因子模型”,國科會, (主持人,NSC-100-2118-M-260-001).
    2. 胡毓彬(2010)“一個適合於估計時間不變降維空間的方法”, 國科會, (主持人,NSC-99-2118-M-260-001).
    3. 胡毓彬(2009)“認定時間不變性下的有效降維空間”, 國科會, (主持人,NSC-98-2118-M-260-001).
    4. 胡毓彬(2007)“高維度動態因子模型的理論分析與在預測上的應用”, 國科會, (主持人,NSC-96-2415-H-260-001-MY2).
    5. 胡毓彬(2005)“具有領先指標之降維模型的預測能力分析”, 國科會, (主持人,NSC-95-2415-H-260-002).
    6. 胡毓彬(2005)“論Hankel 矩陣之自由度”, 國科會, (主持人,NSC-94-2118-M-260-001).
    7. 胡毓彬(2003)“Pena-Box 模型的最大概似函數分析與在財務上的應用”, 國科會, (主持人, NSC-92-2118-M-260-001).
    8. 胡毓彬(2002)“多變量變異因子模型的分析”, 國科會, (主持人,NSC-91-2118-M-260-002).
    9. 洪秀芬與胡毓彬(2001)“公司法關係企業規範對公司運作影響之研究:理論與實證”, 國科會, (共同主持人, NSC-89-2414-H-324-003).
    10. 胡毓彬(2001)“多變量時間序列共積性之BOOTSTRAP 檢定法與應用”, 國科會, (主持人,NSC-89-2118-M-324-007).
    11. 胡毓彬(2000)“BOOTSTRAP 方法在多變量時間序列的理論性質與應用”, 國科會(主持人,NSC-89-2118-M-324-005).
    12. 胡毓彬(1999)“多變量時間序列的降維模型之異質性的探討與應用”, 國科會, (主持人,NSC-88-2118-M-324-006).
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