國立暨南國際大學財務金融學系 > Teacher presentation > Yu-Sheng Lai

Department Introduction

Founded History

Aims and Objectives

Teacher Presentation

DISTINGUISHED PROFESSOR and Chair

Yu-Sheng Lai

Education (highest degree)

Ph.D. in Department of Management Science, National Chiao Tung University

Specialty

Futures Hedging, Asset Allocation, Risk Management

  • +886-49-2910960 ext. 4696
  • yushenglai@ncnu.edu.tw
  • 414-1, College of Management
  • 12:00-13:00, Tue. & 12:00-13:00, Wed. (By Appointment)
  • Google Scholar Profile

Working Experience

Distinguished Professor and Chair, Department of Banking and Finance, National Chi Nan University, 08/2023-

Professor, Department of Banking and Finance, National Chi Nan University, 08/2019-07/2023

Associate Professor, Department of Banking and Finance, National Chi Nan University, 08/2016-07/2019

Assistant Professor, Department of Banking and Finance, National Chi Nan University, 08/2011-07/2016

Adjunct Assistant Professor, Department of Banking and Finance, National Chi Nan University, 02/2011-07/2011

Post-Doctoral Fellow, Department of Banking and Finance, National Chi Nan University, 08/2010-07/2011

Post-Doctoral Fellow, Department of Finance, National Taiwan University, 02/2010-07/2010

Junior Manager, Grand Cathay Futures Co., 04/2003-08/2003

Analyst, Capital Futures Corp., 12/2001-03/2003

Officer, Walsin Lihwa Corp., 06/2000-11/2001

Education (including Ph.D., M.S., and B.S.)

Ph.D. in Department of Management Science, National Chiao Tung University, 09/2004-11/2009

M.B.A. in Graduate Institute of Finance, Ming Chuan University, 09/1998-06/2000

B.S. in Department of Applied Mathematics, National Chiao Tung University, 09/1992-06/1996

Research Interests

Derivatives, Quantitative Finance, Risk Management

Refereed Journal Publications

  1. Yu-Sheng Lai (2023). Economic evaluation of dynamic hedging strategies using high-frequency data. Finance Research Letters, 57, 104230. (NSC Finance A–, SSCI)
  2. Yu-Sheng Lai (2023). Optimal futures hedging by using realized semicovariances: The information contained in signed high-frequency returns. Journal of Futures Markets, 43, 677-701. (NSC Finance ATier-2, SSCI)
  3. Yu-Sheng Lai (2022). High-frequency data and stock–bond investing. Journal of Forecasting, 41, 1623-1638. (NSC Economics C, SSCI)
  4. Yu-Sheng Lai (2022). Improving hedging performance by using high–low range. Finance Research Letters, 48, 102975. (NSC Finance A–, SSCI)
  5. Yu-Sheng Lai (2022). Use of high-frequency data to evaluate the performance of dynamic hedging strategies. Journal of Futures Markets, 42, 104-124. (NSC Finance ATier-2, SSCI)
  6. Yu-Sheng Lai (2021). Generalized autoregressive score model with high-frequency data for optimal futures hedging. Journal of Futures Markets, 41, 2023-2045. (NSC Finance ATier-2, SSCI)
  7. Yu-Sheng Lai (2019). Flexible covariance dynamics, high‐frequency data, and optimal futures hedging. Journal of Futures Markets, 39, 1529-1548. (NSC Finance ATier-2, SSCI)
  8. Yu-Sheng Lai (2019). Cross hedging index exchange traded funds in Taiwan: an asymmetric rotated ARCH approach. Journal of Futures and Options (期貨與選擇權學刊), 12, 43-80. (TSSCI)
  9. Yu-Sheng Lai (2019). Evaluating the hedging performance of multivariate GARCH models. Asia Pacific Management Review, 24, 86-95. (TSSCI)
  10. Yu-Sheng Lai (2018). Estimation of the optimal futures hedge ratio for equity index portfolios using a realized beta generalized autoregressive conditional heteroskedasticity model. Journal of Futures Markets, 38, 1370-1390. (NSC Finance ATier-2, SSCI)
  11. Yu-Sheng Lai (2018). Dynamic hedging with futures: a copula-based GARCH model with high-frequency data. Review of Derivatives Research, 21, 307-329. (NSC Finance A–, SSCI)
  12. Yu-Sheng Lai (2018). Measuring conditional hedging effectiveness: a GARCH approach. Empirical Economics Letters, 17, 1159-1171. (EconLit)
  13. Yu-Sheng Lai, Her-Jiun Sheu, Hsiang-Tai Lee (2017). A multivariate Markov regime-switching high-frequency-based volatility model for optimal futures hedging. Journal of Futures Markets, 37, 1124-1140. (NSC Finance ATier-2, SSCI)
  14. Yu-Sheng Lai, Donald Lien (2017). A bivariate high-frequency-based volatility model for optimal futures hedging. Journal of Futures Markets, 37, 913-929. (NSC Finance ATier-2, SSCI)
  15. Nathan Liu, Yu-Sheng Lai (2016). The futures hedging performance of Taiwan Top 50 ETF. Journal of Futures and Options (期貨與選擇權學刊), 9, 1-31. (TSSCI)
  16. Yu-Sheng Lai (2016). Hedge ratio prediction with noisy and asynchronous high-frequency data. Journal of Futures Markets, 36, 295-314. (NSC Finance ATier-2, SSCI)
  17. Yu-Sheng Lai (2015). Nonlinear dynamics of realized minimum-variance hedge ratios: A two-regime self-exciting threshold autoregressive approach. Empirical Economics Letters, 14, 899-905. (EconLit)
  18. Her-Jiun Sheu, Yu-Sheng Lai (2014). Incremental value of a futures hedge using realized ranges. Journal of Futures Markets, 34, 676-689. (NSC Finance ATier-2, SSCI)
  19. Yu-Sheng Lai, Her-Jiun Sheu (2011). On the importance of asymmetries for dynamic hedging during the subprime crisis. Applied Financial Economics, 21, 801-813. (NSC Finance B+, FLI, EconLit)
  20. Yu-Sheng Lai, Her-Jiun Sheu (2010). The incremental value of a futures hedge using realized volatility. Journal of Futures Markets, 30, 874-896. (NSC Finance ATier-2, SSCI)
  21. Yu-Sheng Lai, Her-Jiun Sheu (2008). An application of realized regression to the futures hedging problem. Asia Pacific Management Review, 13, 655-666. (TSSCI)

Awards and Honors

  1. Academic Research Award, National Chi Nan University (2015, 2017-2020, 2022)
  2. New Faculty Award by the College of Management, National Chi Nan University (2014)
  3. Distinguished Scholar funded by MOST, National Chi Nan University (2018, 2020-2022)
  4. Best Article Award for the Journal of Futures and Options, with Nathan Liu (2017; Paper title: The futures hedging performance of Taiwan Top 50 ETF)
  5. The member of the Phi Tau Phi Scholastic Honor Society of the Republic of China (2010; National Chiao Tung University)

National Science and Technology Council Grants

  1. Trading and non-trading period volatility in crude oil and US dollar markets, NSTC 112-2410-H-260-028
  2. Economic evaluation of dynamic hedging strategies using high-frequency data, MOST 111-2410-H-260-030
  3. Optimal futures hedging with high-low range and high-frequency data, MOST 110-2410-H-260-005
  4. Multivariate leverage effects, high frequency data, and optimal futures hedging, MOST 109-2410-H-260-007
  5. A generalized autoregressive score model with high frequency data for optimal futures hedging, MOST 108-2410-H-260-007
  6. Evaluating hedging performance using high-frequency data, MOST 107-2410-H-260-009
  7. Volatility transformation, high-frequency data, and futures hedging, MOST 106-2410-H-260-013
  8. Dynamic futures hedging and high-frequency data: the relationship between hedge ratio and hedging horizon, MOST 105-2410-H-260-008
  9. A copula-based GARCH model with high-frequency data for futures hedging, MOST 103-2410-H-260-011
  10. Momentum effect, volatility forecast, and asset allocation, NSC 102-2410-H-260-008
  11. Realized GARCH option pricing model, NSC 101-2410-H-260-013
  12. Microstructure noise, realized volatility and optimal futures hedging, NSC 100-2410-H-260-069

Referee (and Other Academic) Services

  1. Journals: Journal of Futures Markets; Finance Research Letters; International Review of Economic & Finance; Review of Quantitative Finance and Accounting; Quarterly Review of Economics and Finance; North American Journal of Economics and Finance; International Journal of Finance & Economics; Pacific Basin Financial Markets and Policies; Review of Securities and Futures Markets; Journal of Futures and Options; Sun Yat-Sen Management Review; Taiwan Journal of Applied Economics.
  2. MOST (NSC) Research Projects; MOST College Student Research Projects; MOST College Student Research Creativity Award. 

Certificate

  1. Financial Risk Manager (FRM®)
  2. Futures Specialist
  3. Senior Securities Specialist
  4. Personal Insurance Representative