李享泰

職稱:教授
學歷:Washington State University, USA, Ph.D. in Economics
George Washington University, USA, MBA, Major in Finance
專長:財金時間序列分析、多變量馬可夫轉換模型、動態避險
E-mail:sagerlee@ncnu.edu.tw
辦公室:5037
連絡電話:049-2910960 ext 4648

 


 

主要學歷 / Education

美國華盛頓州立大學(Washington State University, USA)經濟學博士
美國喬治華盛頓大學(George Washington University, USA)企業管理碩士

 

主要經歷 / Resume of Working Experience

2014- 2017 特聘教授 暨南大學 財務金融學系
2011-2014 教授 暨南大學 財務金融學系
2008-2011 系主任 暨南大學 財務金融學系
2008-2011 副教授 暨南大學 財務金融學系
2005-2008 助理教授 暨南大學 財務金融學系

 

研究領域 / Research Areas

財金時間序列分析
動態避險
馬可夫狀態轉換GARCH模型

 

專業證照 / 證書:

微軟軟體研發工程師認證 (Microsoft Certified Solutions Developer , MCSD)
(Visual Basic, ASP, SQL, System analysis and design)
臺灣大學法律學分班 結業證書
(民法、刑法、民事訴訟法、刑事訴訟法、商事法、強制執行法)

 

學術著作
 
 

1. Lien, D., Lee, H. T., Sheu, H. J., Hedging the Commodity Market Systematic Risk with a Regime Switching Multivariate Rotated GARCH Model (Accepted, The Journal of Futures Markets) (Corresponding author)【SSCI】(科技部財務類A tier2 期刊)

2. Lai, Y. S., Sheu, H. J. Lee, H. T., 2017. A Multivariate Markov Regime-Switching High-Frequency-Based Volatility Model for Optimal Futures Hedging. The Journal of Futures Markets 37, 1124–1140. 【SSCI】(Corresponding author) (科技部財務類A tier2 期刊)

3. Demirer, R., Lee, H. T., Lien, D., 2015. Does the stock market drive herd behavior in commodity futures markets? International Review of Financial Analysis 39, 32–44. 【SSCI】(科技部財務類B+ 期刊)

4. Sheu, H. J. Lee, W. C., Lee, H. T., 2015. The Cross Hedging Effectiveness of Oil Futures for Non-energy Commodities under Regime Switching. Journal of futures and options 8, 41–84. 【TSSCI】(Corresponding author)

5. Sheu, Her-Jiun, Lee, Hsiang-Tai (2014). Optimal futures hedging under multi-chain Markov regime switching. The Journal of Futures Markets 34, 173–202. 【SSCI】 (Corresponding author). (科技部財務類A tier2 期刊)

6. Lee, Hsiang-Tai, Wu, Jui-Yi, Lin, Shinn-Juh, Ko, Kuan-Cheng, A regime-switching approach for bank interest rate and foreign exchange risk management. Journal of Futures and Options, (2012) Vol 5(1), 1–36 【TSSCI】(Lead article)

7. Sheu, Her-Jiun, Lee, Hsiang-Tai, A Full Jump Switching Level GARCH Model for Short-Term Interest Rate. Applied Financial Economics, Vol 22, Issue 6, March (2012), pages 479-489.【FLI】(科技部財務類B+ 期刊)

8. Lee, Hsiang-Tai, Tsang, Wei-Lun, Cross hedging single stock with American Depositary Receipt and stock index futures. Finance Research Letters, September ((2011), Vol. 8, 146–157.【SSCI】(科技部財務類B+ 期刊)

9. Lee, Hsiang-Tai, Kang, Yi –Shin, Ko, Kuan-Cheng, An ICA-GARCH model for dynamic futures hedging (In Chinese). Journal of Management, April, (2011), Vol. 28,No. 2, 171–189.【TSSCI】

10. Lee, Hsiang-Tai, Regime switching fractional cointegration and futures hedging. Applied Financial Economics, Aug (2011), Vol. 21 Issue 15, p1145-1157, 13p.【FLI】(科技部財務類B+ 期刊)

11. Hsiang-Tai Lee, Peng Yang, A Multivariate Regime Switching Term Structure Model for Singapore Long and Short Rates. The Empirical Economics Letters, January, (2011), Vol. 10.【EconLit】

12. Lee, Hsiang-Tai, Regime switching correlation hedging 2010. Journal of Banking & Finance. November 34, 2728–2741.【SSCI】(科技部財務類A tier1 期刊)

13. Lee, Hsiang-Tai, Peng, Chih-Wei, A Markov regime switching time varying correlation GARCH model with asymmetric basis effect for energy futures hedging. Journal of Management, October, (2010), Vol. 27, No. 5, 479–501.【TSSCI】

14. Lee, Hsiang-Tai, Ko, Kuan-Cheng, Cross hedging effectiveness of Taiwan stock index futures. Journal of Futures and Options. May (2010), Vol. 3, p33-55. 【TSSCI】

15. Lee, Hsiang-Tai, Optimal futures hedging under jump switching dynamics. Journal of Empirical Finance, (2009), Vol. 16, p446–456.【SSCI】(科技部財務類A tier1 期刊)

16. Lee, Hsiang-Tai, A Copula-based regime-switching GARCH model for optimal futures hedging, Journal of Futures Markets, (2009), Vol. 29, No. 10, p946–972.【SSCI】(科技部財務類A tier2 期刊)

17. Lee, Hsiang-Tai, Liu, Chia-Cheng, Hedging effectiveness of commodity portfolios: Evidence from the London Metal Exchange. The Empirical Economics Letters, July(2009), Vol. 8 No. 7.【EconLit】

18. Lee, Hsiang-Tai, Hedging Currency Futures under Time-Varying Correlation. The Empirical Economics Letters, February (2008), Vol.7, No. 2, p161-169. 【EconLit】

19. Lee, Hsiang-Tai, The Effects of Asymmetries and Regime Switching on Optimal Futures Hedging. Applied Financial Economics Letters, (2008), Vol. 4, No. 1-3, p133-136.

20. Lee, Hsiang-Tai, Yoder, Jonathan, A bivariate Markov regime switching GARCH approach to estimate time varying minimum variance hedge ratios. Applied Economics, Jun (2007), Vol. 39, Issue 10, p1253–1265, 13p.【SSCI】

21. Lee, Hsiang-Tai, Yoder, Jonathan, Optimal hedging with a regime-switching time-varying correlation GARCH model. Journal of Futures Markets, May (2007), Vol. 27 Issue 5, p495–516, 22p. 【SSCI】(科技部財務類A tier2 期刊)

22. Lee, Hsiang-Tai, McCluskey, Jill J., Yoder, Jonathan, Mexican Household Food Shopping Behavior across Shopping Formats. Journal of International Agricultural Trade and Development, (2007), Vol. 3, Issue 2, pp. 247-58.

23. Lee, Hsiang-Tai, Yoder, Jonathan K., Mittelhammer, Ron C., McCluskey, Jill J., A random coefficient autoregressive Markov regime switching model for dynamic futures hedging. Journal of Futures Markets, Feb (2006), Vol. 26 Issue 2, p103–129, 27p【SSCI】(科技部財務類A tier2 期刊)

 
 

Award and Honors:

1.2010-2014年, 科技部特殊優秀人才獎勵

2.2014 年, 暨南大學 教學貢獻獎

3.107年, 暨南大學教學評量優良教師 (債券市場)

4.106年, 暨南大學教學評量優良教師 (個體經濟學)

5.105年, 暨南大學教學評量優良教師 (個體經濟學、總體經濟學)

6.104年, 暨南大學教學評量優良教師 (個體經濟學)

7.103年, 暨南大學教學評量優良教師 (債券市場、時間序列分析、財金計量方法)

8.2018 Best Paper Award at WCBM (World Conference on Business and Management)

9.2011、2012年度管理學報論文獎

 
 

期刊匿名審稿人 (Referee):

1.Journal of Banking & Finance (科技部財務類A tier1 期刊)

2.Journal of Futures Markets (科技部財務類A tier2 期刊)

3.Review of Quantitative Finance and Accounting (科技部財務類A- 期刊)

4.Quantitative Finance (科技部財務類A- 期刊)

5.Journal of Financial Markets (科技部財務類A tier1 期刊)

 
 

科技部計畫 (MOST Grant):

1.2017: 內生狀態轉換動態下指數期貨對產業股價風險的交叉避險績效The Effectiveness of Cross Hedging Stock Sector Price Risk with Index Futures under Endogenous Regime Switching Dynamic

2.2016: 狀態轉換時變相關跳躍動態下的最佳期貨交叉避險 Optimal Cross Futures Hedging under Regime Switching Time-varying Correlated Jump Dynamic

3.2015: 多重馬可夫轉換煉Copula 模型在產業指數與市場指數期貨交叉避險上的應用 A Multi-chain Markov Switching Copula Model for Cross Hedging Sector Indices with Market Index Futures

4.2014: 利用非同步狀態轉換一般化正交GARCH模型檢視股價報酬、報酬波動度及交易量的實證關聯性 Investigating the empirical linkage of stock returns, return volatility and trading volume with an asynchronous regime switching GO GARCH

5.2013:多重狀態轉換鏈下商品指數期貨及股票市場間的相關性結構及波動傳遞 Correlation Structure and Volatility Spillover between Commodity Index Futures and Equity Markets under Multi-chain Regime Switching

6.2012:使用狀態相依成分GARCH模型檢視原油跟類股間的動態相關性A State-Dependent Component GARCH Model for Dynamic Correlation of Crude Oil and Stock Sector Returns

7.2011:多變數雙平滑轉移條件相關 GARCH 模型在最佳期貨避險上的應用A Multivariate Double Smooth Transition Conditional Correlation GARCH Approach for Futures Hedging

8.2010: 多重馬可夫狀態轉換鏈下的最佳期貨避險Optimal Futures Hedging under Multi-chain Markov Regime

9.2009: Range-based 馬可夫狀態轉換動態條件相關 GARCH 模型在最佳避險上的應用Optimal Hedging with a Range-based Markov Regime Switching Dynamic Conditional Correlation GARCH Model

10.2008: 條件跳躍馬可夫狀態轉換GARCH 模型對短期利率預測績效之研究 Forecasting Performance of the Short Term Interest Rate - A Conditional Jump Markov Regime Switching GARCH Approach

11.2007: 新馬可夫轉換多變數一般化正交GARCH 模型在期貨避險上之應用 A Novel Markov Regime Switching Multivariate Generalized Orthogonal GARCH Model for Dynamic Futures Hedging

12.2006: 新馬可夫轉換時變相關係數GARCH模型在最佳避險比例估測上之應用 Estimating Optimal Hedge Ratio with a New Markov Regime Switching Time-Varying Correlation GARCH Model