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教授個人資料
吳志強
職稱
教授
專長/研究領域
  • 投資交易策略
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  • 財務計量
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學歷
  • 交通大學財務金融博士
經歷
  • Professor of Finance, College of Management, Yuan Ze University, Taiwan (August 2017-Current)
  • Associate Professor of Finance, College of Management, Yuan Ze University, Taiwan (February 2012-July 2017)
  • University of Southampton 訪問學者 (February 2012-July 2012)
  • Assistant Professor of Finance, College of Management, Yuan Ze University, Taiwan (August 2008-Jaunary 2012)
  • 期刊論文
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  • Chih-Chiang Wu, Wei-Peng Chen (2022). What's an AI name worth? The impact of AI ETFs on their underlying stocks. Finance Research Letters, 46, 102474. (SSCI)(NSC A-).
  • Chang-Che Wu, Shu-Ling Ho, Chih-Chiang Wu (2022). The determinants of Bitcoin returns and volatility: Perspectives on global and national economic policy uncertainty. Finance Research Letters, 45, 102175. (SSCI)(NSC A-).
  • Chih-Chiang Wu, Wei-Peng Chen, Nattawadee Korsakul (2021). Extreme Linkages between Foreign Exchange and General Financial Markets. Pacific-Basin Finance Journal, 65, 101462. (SSCI)(NSC A2).
  • Chang‐Che Wu, MeiChi Huang, Chih‐Chiang Wu (2021). The Role of Asymmetry and Dynamics in Carry Trade and General Financial Markets. Financial Review, 56, 331-353.(NSC A2)
  • Junmao Chiu, Huimin Chung, Keng-Yu Ho, Chih-Chiang Wu* (2018). Investor Sentiment and Evaporating Liquidity during the Financial Crisis. International Review of Economics & Finance, 55, 21-36. (SSCI) (SSCI)(NSC A-).
  • Wei-Peng Chen, Shu Ling Lin, Jun Lu, Chih-Chiang Wu* (2018). The Impact of Funding Liquidity on Market Quality. North American Journal of Economics and Finance, 44, 153-166. (SSCI)
  • Chung-Chu Chuang, Jeff T.C. Lee, Chih-Chiang Wu (2017). Impacts of Economic Integration on Stock Market Dependence without Jump Effects. Emerging Markets Finance and Trade, 54, 132-143. (SSCI).
  • Ray Yeutien Chou, Chih-Chiang Wu*, Sin-Yun Yang (2017). Volatility Spillover in the US and European Equity Markets: Evidence from Ex‐ante and Ex‐post. Review of Securities and Futures Markets, 29, 111-148. (TSSCI).
  • Chih-Chiang Wu*, Chang-Che Wu (2017). The Asymmetry in Carry Trade and the U.S. Dollar. Quarterly Review of Economics and Finance, 65, 304-313. (NSC A-).
  • Chih-Chiang Wu, Junmao Chiu (2017). Economic Evaluation of Asymmetric and Price Range Information in Gold and General Financial Markets. Journal of International Money and Finance, 74, 53-68. (SSCI) (NSC A1).
  • MeiChi Huang; Chih-Chiang Wu*; Shih-Min Liu, Chang-Che Wu (2016). Facts or Fates of Investors' Losses During Crises? Evidence from REIT-stock Volatility and Tail Dependence Structures. International Review of Economics & Finance, 42, 54–71. (SSCI).
  • MeiChi Huang; Chih-Chiang Wu* (2015). Economic Benefits and Determinants of Extreme Dependences between REIT and Stock Returns. Review of Quantitative Finance and Accounting, 44, 299-327. (NSC A2).
  • Chih-Chiang Wu*; Zih-Ying Lin (2014). An Economic Evaluation of Stock–bond Return Comovements with Copula-based GARCH Models. Quantitative Finance, 14, 1283-1296. (SSCI) (NSC A-).
  • Wei-Peng Chen, Taufiq Choudhry, and Chih-Chiang Wu* (2013), The Extreme Value in Crude Oil and US Dollar Markets. Journal of International Money and Finance 36, 191-210. (SSCI) (NSC A1).
  • Chih-Chiang Wu*, Huimin Chung, and Yu-Hsien Chang (2012), The Economic Value of Co-movement between Oil Price and Exchange Rate Using Copula-based GARCH Models. Energy Economics 34, 270-282. (SSCI)
  • Chih-Chiang Wu* and Shin-Shun Liang (2011), The Economic Value of Range-based Covariance between Stock and Bond Returns with Dynamic Copulas. Journal of Empirical Finance 18, 711-727. (SSCI) (NSC A1).
  • Chih-Chiang Wu* (2011), Measuring Mutual Fund Asymmetric Performance in Changing Market Conditions: Evidence from a Bayesian Threshold Model. Applied Financial Economics 21, 1185-1204. (FLI)
  • Chih-Chiang Wu and Jack C. Lee* (2011), Forecasting Time-Varying Covariance with a Robust Bayesian Threshold Model. Journal of Forecasting 30, 451-468. (Leading article) (SSCI)
  • Hwang, R.C. *, Siao, J.S., and Chih-Chiang Wu (2008), Variable Selection for Credit Risk Models Using Kernel Density Estimation. Journal of the Chinese Statistical Association 46, 269-287. (Econlit, CIS)
  • Chih-Chiang Wu and Jack C. Lee*, (2007), Estimation of A Utility-Based Asset Pricing Models Using Normal Mixtures. Economic Modelling 24, 329-349. (SSCI)
  • Cheng-Few Lee, Jack C. Lee, H. F. Ni, and Chih-Chiang Wu*, (2004), On A Simple Econometric Approach for Utility-Based Asset Pricing Model. Review of Quantitative Finance and Accounting 22, 331-344. (NSC A-)
  • C.C. Wu and N. Korsakul, Extreme Linkages between Foreign Exchange and General Financial Markets, WEAI 15th International Conference, April 2019, Tokyo, Japan.
  • W.P. Chen and C.C. Wu, R&D Expenditures and Asymmetric Idiosyncratic Risk. 93rd Western Economic Association International (WEAI) Annual Conference, July 2018, Vancouver, Canada.
  • W.P. Chen, S.L. Lin, J. Lu, C.C. Wu, Funding Liquidity and Market Quality: Evidence from the S&P 500 ETF and Index Futures. European Financial Management Association (EFMA) Annual Conference, June 2016, Basel, Switzerland.
  • J. Chiu and C.C. Wu, Asymmetry and Extreme Value in Gold and General Financial Markets, The 35th International Symposium on Forecasting, June 2015, Riverside, USA.
  • C.C. Wu and C.C. Wu, The Asymmetry in Carry Trade and US Dollar, The 34th International Symposium on Forecasting, June 2014, Rotterdam, Netherlands; Macroeconometric Modelling Workshop 2015, Taipei, Taiwan.
  • W.P. Chen, T. Choudhry and C.C. Wu, The Extreme Value in Crude Oil and US Dollar Markets, Econometrics Society Australasian Meeting, July 2013, Sydney, Australia.
  • C.C Wu and W.P. Chen, Conditional Heteroskedasticity and Dependence Structure in Crude Oil and US Dollar Markets, The 5th International conference on Computational and Financial Econometrics, December 2011, London, U.K.; The 5th NCTU International Finance Conference, January 2012, Hsinchu, Taiwan.
  • C.C. Wu and W.P. Chen, Conditional Heteroskedasticity and Dependence Structure in Crude Oil and US Dollar Markets, The 5th International conference on Computational and Financial Econometrics (CFE'11) 2011, London, UK; The 5th NCTU International Finance Conference 2012, Hsinchu, Taiwan.
  • C.C. Wu, H. Chung and Y.H. Chang, The Economic Value of Co-movement between Oil Price and Exchange Rate Using Copula-based GARCH Models, Econometric Society Australasian Meeting 2011, Adelaide, Australia.
  • R.Y. Chou, C.C. Wu and S.Y. Yang, Volatility Spillover in US and European Equity Markets-Evidence from Ex-ante and Ex-post Volatility Indicators, Taiwan Econometric Society Annual Meeting 2010, Taipei, Taiwan; Macroeconometric Modelling Workshop 2010, Taipei, Taiwan
  • C.C. Wu and Z.Y. Lin, An Economic Evaluation of Stock-Bond Return Comovements with Copula-based GARCH Models, International Symposium on Financial Engineering and Risk Management 2010, Taipei, Taiwan; Workshop on Econometric and Financial Studies after Crisis 2010, Taipei, Taiwan; Annual International Symposium on Forecasting 2010, San Diego, USA.
  • C.C. Wu, On a Robust Bayesian Threshold VAR-DCC-GARCH Model in Financial Markets, 2009 6th Annual Applied Financial Economics Conference, Samos, Greece.
  • C. C. Wu and Jack C. Lee, On a Robust Bayesian Threshold VAR-DCC-GARCH Model and the Forecasting Performance Comparison in Conditional Covariance Matrix, 2007 Taiwan Finance Association Annual Meeting, Market Valuation, Taichung, Taiwan.
  • Realized Semicovariance in the Foreign Exchange Market, Grant no: MOST 109-2410-H-155 -015 -MY2.
  • Volatility and Comovement in the Foreign Exchange Market, Grant no: MOST 107-2410-H-155-006-MY2.
  • Dynamic Linkages between Foreign Exchange and Domestic Financial Markets, Grant no: MOST 105-2410-H-155-019-MY2.
  • Asymmetric Dependence Structure across Carry Trade, Stock, and Bond Markets, Grant no: MOST 103-2410-H-155-010-MY2.
  • Permanent and Transitory Volatilities in Futures Hedging, Grant no: NSC101-2410-H-155-013-MY2.
  • The Development, Constructions and Applications of Realized Range-based Volatility Models, Grant no: NSC100-2410-H-155-029.
  • Asymmetric Stock and Bond Return Comovement: A Range-based Copula Model, Grant no: NSC99-2410-H-155-013.
  • An Asymmetric Basis Copula-based Model for Hedging Energy Commodities, National Science Council, Taiwan. Grant no: NSC98-2410-H-155-026.
  • Dynamic Hedging in Energy Commodity Markets: Does Asymmetric Effect of Basis Benefit?, National Science Council, Taiwan. Grant no: NSC97-2410-H-155-049.
  • 不動產管理 Real Estate Investments Management
  • 固定收益分析 Fixed Income Security Analysis
  • 投資管理 Investment Management
  • 時間序列分析 Time Series Analysis
  • 計量經濟學 Econometrics
  • 高等投資學 Advanced Investment
  • 微積分 Calculus
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