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學經歷 |  |
| 學歷： 美國Boston University數學系統計學博士 國立台灣大學理學院數學系學士 經歷： 世新大學財務金融學系教授 國立台灣大學數學系兼任教授（2003.8-2011.1） 國立成功大學國際經營管理所兼任教授（2007.7-2009.8） 國立中央大學統計研究所教授兼所長（1988.8-1991.7） 國立中央大學統計研究所教授（1987.8-2002.7） University of Chicago, Business School訪問學者 （1991.9-1992.6） 國立中央大學統計研究所副教授（1979.8-1987.7） Princeton University, Department of Statistics訪問學者 （1982.9-1983.6） 淡江大學數學系數理統計組副教授（1978.8-1979.7） 美國Boston University數學系研究助理（1975.1-1978.7） 國立台灣大學數學系助教（1971.8-1974.7） |
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研究領域 | |
| 財務工程、財務計量、時間序列、數理統計 | ||
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論文著作 | |
| A. 期刊論文（均有審查制度） Hsieh, Y. T. and Liu, S. I. (2012) Case Study on Reduced Form Credit Risk Models, to appear in The IUP Journal of Financial Risk Management. Liu, S. I. (2012). Two-Stage Dynamic Multi-Period Portfolio Optimizations, International Journal of Research and Reviews in Applied Sciences, 11(1), 53-66. (EBSCO) Liu, S. I. and Liu, Ho-Tai. (2012). Cost-Benefit Analysis for the MIL-STD-1916: A Case Study, Management Science and Engineering, 6(1), 1-10. Liu, S. I. and Jiun-Min Li. (2011). Pricing Taiwan Chinatrust Real Estate Mortgage Backed Securities─A Case Study, The IUP Journal of Financial Risk Management, 8(2), 25-40. Liu, S. I. and Li-Chuan Huang. (2011). Price Behavior of the Taiwan Depositary Receipt, International Business and Management, 3(1), 6-16. Liu, S. I. (2011). Trinomial Tree Option pricing via Threshold-GARCH Model, International Journal of Research and Reviews in Applied Sciences,7(2), 129-142. (EBSCO) Liu, S. I. and Y. C. Liu. (2011). Pricing Vulnerable Options under Stochastic Asset and Liability, Progress in Applied Mathematics, 1(2), 12-29. (S. H. University, #P9502). Liu, S. I. and Ching-Yi Lee. (2011). Call Warrants Impact on Underlying Stocks: The Taiwan Experience, to appear in Chinese Business Review, 10(2),77-83. Liu, S. I. (2011). Trinomial Tree Option pricing via Threshold-GARCH Model, to appear in International Journal of Research and Reviews in Applied Sciences. (EBSCO) Liu, S. I. (2011). Testing for Multivariate Threshold Autoregression, Studies in Mathematical Sciences, 2, 1-21. (#NSC-90-2118-M-008-007) Liu, S. I. (2010). Multiperiod Portfolio Selection with Transaction Costs, International Journal of Business Economics & Management Research, 1, 1-22. Liu, S. I. and Y. C. Liu. (2010). An Alternative Lattice Algorithm for Option Pricing, China-USA Business Review, 9, 1-7. (EBSCO) Liu, S. I. (2010). An Alternative Threshold-GARCH Option Pricing Model, The IUP Journal of Financial Risk Management, VII, 44-57. (#NSC-93-2415-H-128-004) Liu, S. I. (2010). Pricing American Call Options with Dividend and Stochastic Interest Rate, The Journal of Global Business Management, VI, 82-91. Liu, S. I. and Janling Tseng (2009). A Bayesian Analysis of Lunar Effects on Stock Returns To appear in The Icfai Journal of Behavioral Finance, V1, 67-83. 劉淑鶯 及蔡尚格 (2009). 擔保債權憑證之評價－多因子模型和 KMV 模型之探討 ,, 中國經濟評論 , 第九卷第六期 , 1-11 頁 . Liu, S. I. and Y. C. Liu. (2008).Threshold-GARCH Option Pricing: A Trinomial Tree Approach. Proceeding of the “Second International Conference on Innovative Computing, Information and Control”, Kumamoto City International Center, Kumamoto, Japan, (2007/09/07), IEEE Press (IE) 陳韻文、劉淑鶯及王仁宏 (2005). 選擇權評價模型－台灣上限型認購權證評價之實證研究, 台灣金融財務季刊, 第六輯第三期, 123-140頁. Liu, S. I. (2002). Bayesian Forecasts for Cointegrated Models. Journal of Forecasting, 21, 167-180. (#NSC-86-2115-M-008-014) (SCI) Liu, S. I. (2001). Bayesian Model Determination for Binary Time series Data with Applications. Computational Statistics & Data Analysis, 36, 461-473. (#NSC-85-2121-M-008-012) (SCIE) 劉淑鶯及紀穎鴻 (1999). 多重轉折點貝氏分析之應用, 中國統計學報, 第37卷第 2 期, 161-183頁. Liu, S. I. (1996). Model Selection for Multiperiod Forecasts. Biometrika, 83, 861-873. (#NSC-83-0208-M-008-031) (SCI) Liu, S. I. (1995). Bayesian Multiperiod Forecasts for ARX Models. Annal of the Institute of Statistical Mathematics, 47(2), 211-244. (#NSC-82-0208-M-008-086) (SSCI) Liu, S. I. (1995). Comparison of Forecasts for ARMA Models between a Random Coefficient Approach and a Bayesian Approach. Communications in Statistics, Theory and Method, 24, 319-333. (SCI) Liu, S. I. (1994). Multiperiod Bayesian Forecasts for AR Models. Annal of the Institute of Statistical Mathematics, 46, 429-452. (#NSC-82-0208-M-008-086) (S SCI) 劉淑鶯及單窈娉 (1994). 花蓮地區地震統計模型分析, 中國統計學報, 第32卷第1期, 1-19頁. (#NSC-81-0208-M-008-510) Liu, S. I. and Su, J. J. (1992). A Modification of the Edgeworth Approximation in the AR(1) model. Biometrical Journal, 34, 989-999. (#NSC-19-0208-M-008-015) Liu, S. I. Tsay, Z. D. and Kuo, F. S. (1992). A Study of the VHF radar data via a random variance model. Journal of Atmospheric and Terrestrial Physics, 54, 401-414. (#NSC-79-0208-M-008-027) (SCI) Liu, S. I. (1991). A Robust and Easy Confidence Procedures with Long-Tailed Symmetric Distributions. Computational Statistics & Data Analysis, 12, 281-294. (#NSC-75-0201-M-008-02) (SCIE) Kuo, F., S., Liu. H. Y. and Liu, S. I. (1990). Reduction of Nonstationarity and Parameter Analysis of VHF Radar Returns from the Atmosphere. Radio Science, 25, 517-526. (#NSC-77-0202-M-008-016) (SCI) Ho, L. T., Wei, D., Cheng, K. F. and Liu, S. I. (1987). Statistical Analysis for the Prevalence and Incidence Rate of Diabetes Mellitus with Application to the Data in Taiwan Area. J. of the Chinese Statistical Association, 25, Special Issue, 107-118. Kuo, F. S., Chen, C. C., Liu, S. I., Rottger, J. and Liu, C. H. (1987). Systematic Behavior of Signal Statistics of MST Radar Echoes from Clear Air and its Interpretation. Radio Science, 22, 1043-1052. (SCI) Liu, S. I. (1986). Computational Efficiency in All Possible Regressions. Journal of Computation and Simulation, Vol. 26, 283-299. Liu, S. I. (1985). Asymptotic Properties on Some Easy Estimators of Location. Journal of Indian Statistical Association, 23, 35-44. Liu, S. I. (1985). Theory on Bilinear Time Series Models. Communications in statistics, Theory and Method, 14, 2549-2561. (SCI) Liu, S. I. (1979). A Study of Mass Screening. Ph. D. Dissertation, Boston University. Albert, A., Gertman, P., Louis, T. and Liu, S. I. (1978). Screening for the Early Detection of Cancer-II. The Impact of Screening on the Natural History of the Disease. Mathematical Biosciences, 40(1-1), 61-109. (SCI) B. 研討會論文 黃麗娟及劉淑鶯 (2011).台灣存託憑證之實證探討。發表於2011行為財務學暨新興市場理論與實務研討會，世新大學 (2011/01/08)。 蔡尚格及劉淑鶯 (2009). 擔保債權憑證之評價－多因子模型和KMV模型之探討。發表於2009行為財務學暨新興市場理論與實務研討會，世新大學 (2009/01/10)。 Liu, S. I. and Y. C. Liu. (2008).Threshold-GARCH Option Pricing: A Trinomial Tree Approach. Will be presented at “Second International Conference on Innovative Computing, Information and Control”, Kumamoto City International Center, Kumamoto, Japan, (2007/09/07). 劉淑鶯及曾昭玲 (2007) 臺灣衍生性金融商品之回溯與展望。發表於2007兩岸科技、 經濟與金融發展學術研討會，世新大學。(2007/05/28) 劉淑鶯及李俊民 (2007) 不動產抵押貸款證券化之評價─以中信銀RMBS為例。發表於2007行為財務學暨新興市場理論與實務研討會，世新大學 (2007/01/06)。 Liu, S. I. and Y. C. Liu. (2006). Pricing Vulnerable Options by Binomial Trees. Presented at “The Joint 14th Annual Pacific Basin Financial Economics and Accounting and 2006 Annual Financial Engineering Association of Taiwan Conference”, Taipei, (July 15, 2006). 劉淑鶯及何宗武 (2003). Analyzing the Real Exchange Rate Using Treshold ARFIMA-GARCH Model: A Bayesian Analysis. 發表於”第四屆全國實證經濟學研討會”，國立東華大學 劉淑鶯及曾昭玲 (2002) 新月與滿月效應對股價報酬率之影響。發表於”九十一年統計研討會”， 發表於東海大學及”第一屆全國行為財務理論與實證研討會”，世新大學。 Liu, S. I. (2002). Model Building for Cointegrated Data (#NSC91-2118-M-128-001) Presented at “2002 Taipei International Statistical Symposium”, Taipei, Taiwan. Liu, S. I. (1999). Bayesian Model Determination for Cointegrated Data. (#NSC89-2118- M-008-005) Presented at “1999 Joint Statistical Meeting”, Maryland, USA. Liu, S. I. (1999). Bayesian Analysis for Threshold ARFIMA-GARCH Model. Presented at “International Workshop on Finalcial Statistics”, Hong Kong. C. 研究報告 劉淑鶯及李靜怡 (2009). 權證上市對標的股票之影響─以台灣認購權證為例 姜龍臣及劉淑鶯 (2008).員工分紅配股課稅對股價影響之研究─以電子產業為例 Liu, S. I. and Y. C. Liu. (2007). Threshold-GARCH Option Pricing: A Trinomial Tree Approach Liu, S. I., P. C. Fan and Y. C. Liu. (2006). A Note on Pricing American Call Options with Known Dividend and Stochastic Interest Rates 劉淑鶯、陳俊廷及王仁宏 (2005). 脆弱美式選擇權評價─三元樹模型。 Liu, S. I. and Y. C. Liu (2005). Pricing Vulnerable Options by Binomial Trees. Liu, S. I. (2004). An alternative threshold GARCH Option Pricing Model: A Bayesian Approach. (#NSC-93-2415-H-128-004) Liu, S. I. and Tsung-wu Ho (2003). Forecasting the Real Exchange Rtae using Threshold ARFIMA-GARCH Model: A Bayesian Approach. (#NSC-92-2415-H-128-004) Liu, S. I. (2003). Model Building for Cointegrated Data. (#NSC-91-2118-M-008-001) Liu, S. I. (2001). Testing for Multivariate Threshold Autoregression. (#NSC-90-2118-M-008-007) Liu, S. I. (2000). Bayesian Analysis for Multiple Changes for the Long Memory Parameter. (#NSC-89-2118-M-008-020) Liu, S. I. (2000). Bayesian Model Determination for Cointegrated Data. (#NSC-89-2118-M-008-005) |
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研究計畫 | |
| 國科會計畫： The Threshold-GARCH Option Pricing Model (II-II) (#NSC-94-2415-H-128-003) The Threshold-GARCH Option Pricing Model (II-I) (#NSC-93-2415-H-128-004) An Econometric Investigation of the Real Exchange Rate Dynamics: Volatility, Persistence and Nonlinearity (#NSC-92-2415-H-128-004) Model Building for Cointegrated Data (#NSC-91-2118-M-128-001) Testing for Multivariate Threshold Autoregressive Models (#NSC-90-2118-M-008-007) Bayesian Analysis for Multiple Changes for the Long Memory Parameter (#NSC-89-2118-M-008-020) Bayesian Model Determination for Cointegrated Data (#NSC-89-2118-M-008-005) Some Inferences for Repeated Measurement Model (#NSC-88-2118-M-008-004) Model Selection for Cointegrated Data via SSVS Method (#NSC-87-2118-M-008-009) Bayesian Forecasts for Cointegration System (#NSC-86-2115-M—0-014) 世新大學研究計畫 脆弱選擇權評價之研究 (2006/08/01-2007/07/31) (世新大學學術研究專案P9502) |
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