國立暨南國際大學財務金融學系 > 系所介紹-師資介紹 > 系所介紹-師資介紹-賴雨聖

系所介紹

成立沿革

系所宗旨與目標

師資介紹

空間設備

地理位置

特聘教授兼系主任

賴雨聖

學歷

交通大學 管理科學系管理博士(主修財務)

研究領域

期貨避險、資產配置、風險管理

  • (049)2910960 轉4696
  • yushenglai@ncnu.edu.tw
  • 管理學院414-1
  • 星期三 13:00-15:00【請事先以 e-mail 與老師預約】
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主要學歷/ Education

  • 國立交通大學管理科學系博士(2004/09-2009/11)
  • 私立銘傳大學財務金融所碩士(1998/09-2000/06)
  • 國立交通大學應用數學系學士(1992/09-1996/06)

主要經歷/ Resume of Working Experience

  • 國立暨南國際大學財務金融學系特聘教授 (2023/08-迄今)
  • 國立暨南國際大學財務金融學系教授 (2019/08–2023/07)
  • 國立暨南國際大學財務金融學系副教授 (2016/08 – 2019/07)
  • 國立暨南國際大學財務金融學系助理教授 (2011/08 – 2016/07)
  • 國立暨南國際大學財務金融學系兼任助理教授 (2011/02 – 2011/07)
  • 國立暨南國際大學財務金融學系博士後研究員 (2010/08 – 2011/07)
  • 國立台灣大學財務金融學系博士後研究員 (2010/02 – 2010/07)
  • 大華期貨經紀部專業襄理(2003/04-2003/08)
  • 群益期貨研究部研究員(2001/12-2003/03)
  • 華新麗華財務部高級課員(2000/06-2001/11)

教授課程/ Teaching

  • 財金計量方法
  • 線性代數
  • 保險學
  • 總體經濟學

證照/ Certification

  • 美國財務風險管理師（Financial Risk Manager (FRM®), A Member of Global Association of Risk Professionals (GARP), ID 14490, 2003/11 – present）

  • 人身保險業務員資格測驗合格（(91)人身保業測(4)字第10268號）

  • 期貨商業務員資格測驗合格（(90)期商業測證字第1041630號）

  • 證券商高級業務員資格測驗合格（(88)證商業測證字第3000760號）

  • 證券商業務人員測驗合格((86)證商業測證字第213377號)

得獎與榮譽/ Honor

  • 國立暨南國際大學學術研究獎勵 (104, 106–109, 111學年度)

  • 國立暨南國際大學管理學院新進學者獎勵 (102學年度)

  • 科技部補助大專校院研究獎勵 (107, 109–111學年度)

  • 臺灣期貨交易所「期貨與選擇權學刊」最佳論文獎 (106學年度)

  • 中華民國斐陶斐榮譽學會榮譽會員 (國立交通大學)

期刊論文/ Referred Journal Article

  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)

研討會論文/ Conference Presentation

  1. Yu-Sheng Lai* (2016, Mar). Evaluating the Hedging Performance of Multivariate GARCH Models. International Conference 2016 Global Economics and Management Conference: Business Finance and Enterprise Management in the Era of Big Data, National Chi Nan University (Puli), Taiwan. (Presenter)
  2. Yu-Sheng Lai* (2015, Jun). Modeling and Forecasting the Conditional Covariance Matrix between Stock and Bond Returns Using a Multivariate High-Frequency-Based Volatility (HEAVY) Model. European Financial Management Association 2015 Annual Meetings, Nyenrode Business University (Amsterdam), NETHERLANDS. (Presenter).
  3. Yu-Sheng Lai* (2014, Apr). GARCH Specification, Market Scenario, and Hedging Performance. The British Accounting and Finance Association (BAFA) 2014 Annual Conference, LSE, London, UK. (Presenter)
  4. Yu-Sheng Lai* (2013, Jul). Market Microstructure Noise, Sparsely Sampled Realized Variance, and Optimal Futures Hedging. 88th WEAI Annual Conference, Seattle, Washington. (Presenter)
  5. Wang-Ting Chen (陳琬婷)*, Yu-Sheng Lai (2013, Jun). An Empirical Comparison of Hedging Performance for the Index Exchange Traded Funds in Taiwan (台灣指數股票型基金避險績效之研究). 商學與管理學術研討, 中興大學, 台中.
  6. Her-Jiun Sheu, Hsiang-Tai Lee, Yu-Sheng Lai* (2013, May). A Markov Regime Switching GARCH Model with Realized Measures of Volatility for Optimal Futures Hedging. 30th International French Finance Association Conference, Lyon, France.
  7. Yu-Sheng Lai* (2013, Apr). Market Microstructure Noise, Sparsely Sampled Realized Variance, and Optimal Futures Hedging. 2013中部財金學術聯盟暨第十屆兩岸金融市場發展研討會, 金典酒店, 台中. (Presenter)
  8. Yu-Sheng Lai* (2012, Dec). Market Microstructure Noise, Sparsely Sampled Realized Variance, and Optimal Futures Hedging. The 20th Conference on the Theories and Practices of Securities and Financial Markets (SFM), National Sun Yat-Sen University, Kaohsiung. (Presenter)
  9. Her-Jiun Sheu, Hsiang-Tai Lee, Yu-Sheng Lai* (2012, Jul). The Information Content of Realized Measures of Volatility on Futures Hedging Subject to Market Conditions. International Banking, Economics and Finance Association (IBEFA) Conference, Hilton San Francisco Union Square, California. (Presenter)

科技部(國科會)計畫/ National Science Council Grant

  1. 「能源市場與外匯市場之共變異研究：日內報酬與隔夜報酬的資訊內涵」，NSTC 112-2410-H-260-028
  2. 「動態避險策略的經濟價值：高頻資料的使用」，MOST 111-2410-H-260-030
  3. 「採用價格全距及高頻資料下的最適期貨避險策略」，MOST 110-2410-H-260-005
  4. 「槓桿效果、高頻資料及期貨避險」，MOST 109-2410-H-260-007
  5. 「利用計分函數及高頻資料下的最適期貨避險策略」， MOST 108-2410-H-260-007
  6. 「避險績效的評估：高頻資料的使用」，MOST 107-2410-H-260-009
  7. 「波幅轉換、高頻資料及期貨避險」，MOST 106-2410-H-260-013
  8. 「動態期貨避險及高頻資料：避險比率和避險期間之關係」，MOST 105-2410-H-260-008
  9. 「高頻基礎的動態Copula模式在期貨避險的應用」，MOST 103-2410-H-260-011
  10. 「動量效果、波幅預測及資產配置」，NSC 102-2410-H-260-008
  11. 「已實現GARCH選擇權訂價模式」，NSC 101-2410-H-260-013
  12. 「微結構噪音、已實現波動度及最適期貨避險決策」，NSC 100-2410-H-260-069