賴雨聖

職稱:副教授

專長:高頻財務、時間序列分析、期貨避險

學歷:交通大學管理科學系管理博士(主修財務)

E-mailyushenglai@ncnu.edu.tw
聯絡電話:049-2910960 ext 4696
Office Hours:星期二12:00~13:00(請事先以e-mail與老師預約)

                      星期三12:00~13:00(請事先以e-mail與老師預約)
研究室:管414-1

 


 

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助理教授(2011/08-present)
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)
私立正修科技大學財務金融系兼任講師(2009/02-2009/07)
私立朝陽科技大學休閒事業管理系兼任講師(2009/02-2010/01)
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)
陸軍義務士官役車輛修護士(1996/08-1998/07)

 

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

104學年度國立暨南國際大學學術研究獎勵

102學年度優良教學助理指導教師獎 (國立暨南國際大學, 通識教育中心「個人投資理財」)

102學年度國立暨南國際大學管理學院「新進學者獎勵」

 

 

期刊論文/ Referred Journal Article

  1.           Yu-Sheng Lai* (2016). Hedge Ratio Prediction with Noisy and Asynchronous High-Frequency Data. Journal of Futures Markets, 36(3), 295-314. 
  2.           Yu-Sheng Lai* (2015). Nonlinear Dynamics of Realized Minimum-Variance Hedge Ratios: A Two-Regime Self-Exciting Threshold Autoregressive Approach. Empirical Economics Letters, 14(9), 899-905. 
  3.           Her-Jiun Sheu, Yu-Sheng Lai* (2014). Incremental Value of a Futures Hedge Using Realized Ranges. Journal of Futures Markets, 34(7), 676-689.
  4.           Yu-Sheng Lai*, Her-Jiun Sheu (2011). On the Importance of Asymmetries for Dynamic Hedging during the Subprime Crisis. Applied Financial Economics, 21(11), 801-813.
  5.         Yu-Sheng Lai*, Her-Jiun Sheu. 2010. The incremental value of a futures hedge using realized volatility,” Journal of Futures Markets, Vol. 30, Issue. 9, 874-896.    

 

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. 「動態期貨避險及高頻資料:避險比率和避險期間之關係」,科技部(MOST 105-2410-H-260-008-)。 (主持人)

2. 「高頻基礎的動態Copula模式在期貨避險的應用」。科技部(MOST 103-2410-H-260-011-),201510月。 (主持人)

3. 「動量效果、波幅預測及資產配置」。國科會(NSC 102-2410-H-260-008-)。 (主持人)

4. 「已實現GARCH選擇權訂價模式」。國科會(NSC 101-2410-H-260-013-)。 (主持人)

5. 「微結構噪音、已實現波動度及最適期貨避險決策」。國科會(NSC 100-2410-H-260-069-)。 (主持人)