教授個人資料

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姓名: 吳志強 Wu, Chih-Chiang
學群: 財務金融學群
TEL: 03-4638800 ext. 3661
Email: chihchiang@saturn.yzu.edu.tw

職稱

教授

專長/研究領域

投資交易策略 衍生性商品 財務計量 財務風險

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

  1. 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-).
  2. 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-).
  3. 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).
  4. 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)
  5. 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-).
  6. 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)
  7. 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).
  8. 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).
  9. 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-).
  10. 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).
  11. 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).
  12. 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).
  13. 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-).
  14. 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).
  15. 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)
  16. 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).
  17. 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)
  18. 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)
  19. 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)
  20. 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)
  21. 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-)

會議論文

  1. C.C. Wu and N. Korsakul, Extreme Linkages between Foreign Exchange and General Financial Markets, WEAI 15th International Conference, April 2019, Tokyo, Japan.
  2. 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.
  3. 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.
  4. 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.
  5. 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.
  6. 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.
  7. 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.
  8. 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.
  9. 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.
  10. 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
  11. 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.
  12. C.C. Wu, On a Robust Bayesian Threshold VAR-DCC-GARCH Model in Financial Markets, 2009 6th Annual Applied Financial Economics Conference, Samos, Greece.
  13. 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.

研究計畫

  1. Realized Semicovariance in the Foreign Exchange Market, Grant no: MOST 109-2410-H-155 -015 -MY2.
  2. Volatility and Comovement in the Foreign Exchange Market, Grant no: MOST 107-2410-H-155-006-MY2.
  3. Dynamic Linkages between Foreign Exchange and Domestic Financial Markets, Grant no: MOST 105-2410-H-155-019-MY2.
  4. Asymmetric Dependence Structure across Carry Trade, Stock, and Bond Markets, Grant no: MOST 103-2410-H-155-010-MY2.
  5. Permanent and Transitory Volatilities in Futures Hedging, Grant no: NSC101-2410-H-155-013-MY2.
  6. The Development, Constructions and Applications of Realized Range-based Volatility Models, Grant no: NSC100-2410-H-155-029.
  7. Asymmetric Stock and Bond Return Comovement: A Range-based Copula Model, Grant no: NSC99-2410-H-155-013.
  8. An Asymmetric Basis Copula-based Model for Hedging Energy Commodities, National Science Council, Taiwan. Grant no: NSC98-2410-H-155-026.
  9. Dynamic Hedging in Energy Commodity Markets: Does Asymmetric Effect of Basis Benefit?, National Science Council, Taiwan. Grant no: NSC97-2410-H-155-049.

專書/個案/其他出版品

產學計劃

教授課程

  1. 不動產管理 Real Estate Investments Management
  2. 固定收益分析 Fixed Income Security Analysis
  3. 投資管理 Investment Management
  4. 時間序列分析 Time Series Analysis
  5. 計量經濟學 Econometrics
  6. 高等投資學 Advanced Investment
  7. 微積分 Calculus

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