師資陣容

杜化宇

杜化宇

教授

財務管理學系

  • 分機
    29393091 #81013
  • E-Mail
    atu1106@yahoo.com.tw
  • 研究專長
    計量經濟學、期貨與選擇權、財務風險管理

學歷

  • 美國馬利蘭大學財務管理(學)系博士
  • 美國馬利蘭大學財務管理(學)系博士
  • 美國哈佛大學統計學系碩士
  • 美國哈佛大學統計學系碩士
  • 內布拉斯加大學林肯校區經濟學系碩士
  • 內布拉斯加大學林肯校區經濟學系碩士
  • 國立中興大學財稅學系學士
  • 國立中興大學財稅學系學士

個人著作

  • Anthony H. Tu;Woon K. Wong*, 2009, 'Market Imperfections and the Information Content of Implied and Realized Volatility, ' Pacific-Basin Finance Journal, No.17, pp.58-49.(EcoLit; FLI)(*為通訊作者)
  • Anthony H. Tu;Woon K. Wong*;Matthew C. Chang, 2009, 'Are Magnet Effects Caused by Uniformed Traders? Evidence from Taiwan Stock Exchange, ' Pacific-Basin Finance Journal, No.17, pp.28-40.(EconLit; FLI)(*為通訊作者)
  • 杜化宇*;洪彥文, 2009, '台指選擇權盤前買賣量不平衡的資訊內涵, ' 證券市場發展季刊, Vol.21, No.3.(TSSCI)(*為通訊作者)
  • 杜化宇, 2009, '波動度自我消散與短期利率波動行為的再探討:三種短率期貨的證據, ' 波動度自我消散與短期利率波動行為的再探討:三種短率期貨的證據,.(SSCI)(本論著未刊登但已被接受)
  • Anthony H. Tu;Yi-Hsuan Chen*;Kehluh Wang, 2008, 'Dependence Structure between the Credit Default Swap Return and the Kurtosis of the Equity Return Distribution: Evidence from Japan, ' Journal of International Financial Markets, Institution & Money, pp.259-271.(EconLit; FLI)(*為通訊作者)
  • Anthony H. Tu;Yi-Hsuan Chen*;Kehluh Wang, 2008, 'Dependence Structure between the Credit Default Swap Return and the Kurtosis of the Equity Return Distribution: Evidence from Japan, ' Journal of International Financial Markets, Institution & Money, pp.259-271.(EconLit; FLI)(*為通訊作者)
  • Anthony H. Tu;Woon K. Wong;Matthew C. Chang*, 2008, 'Value-at-Risk for Long and Short Positions of Asian Stock Markets, ' International Research Journal of Finance and Economics, Vol.22, pp.135-143.(EconLit; FLI)(*為通訊作者)
  • Tu, Anthony;Chen, Yi-Hsuan;Wang, Kehluh*, 2007.07, 'Default correlation at the sovereign level: Evidence from some Latin American markets, ' Applied Economics,.(SSCI)(*為通訊作者)
  • Anthony H. Tu*;Ming-Chun Wang, 2007, 'The Innovations of E-mini Contracts and Futures Price Volatility Components: The Empirical Investigation of S&P 500 Stock Index Futures, ' Journal of International Financial Markets, Institutions & Money, No.17, pp.198-211.(EcoLit; FLI)(*為通訊作者)
  • 杜化宇;陳盈之, 2006, '市場衝擊對外匯波動之不對稱影響與其反轉特性:選擇權市場的證據與其意涵, ' 台大管理論叢, Vol.16, No.2.(TSSCI)
  • 杜化宇*;鍾柏亭, 2006, '相關係數可隨時間變動下的外匯期貨避險比例:簡易方法應用與其績效, ' 金融風險管理季刊, Vol.2, No.2, pp.1-30.(*為通訊作者)
  • 杜化宇*;任紀為, 2005.11, '外匯選擇權的定價與馬可夫鍊蒙地卡羅法的應用, ' 風險管理學報, Vol.7, No.3, pp.237-277.(*為通訊作者)
  • 王銘駿*;杜化宇;蔡慧芳, 2005.09, '小型台指期貨上市對原台指期貨效率性與波動特性影響之探討, ' 東吳經濟商學學報, No.50, pp.45-65.(*為通訊作者)
  • 杜化宇*;邱志忠, 2004, '跳躍模式與網路企業的評價-模擬準確性的探討, ' 台大管理論叢, Vol.14, No.2.(TSSCI)(*為通訊作者)
  • 杜化宇*;王凱蒂, 2003.12, '台股指數期貨日內價格發現與週日效應型態之研究:初期的證據, ' 東吳經濟商學學報, No.43, pp.41-78.(*為通訊作者)
  • Anthony H. Tu*, 2003, 'The Shift of Weekend Effects in Taiwan''s Equity Index Return:Index Futures Listings or Other Alternative Explanations, ' Review of Pacific Basin Financial Markets and Policies, No.6, pp.549-572.(EconLit; FLI)(*為通訊作者)
  • Anthony H. Tu;Shen-Yuan Chen, 2002, 'Return, Volatility and Short-term Capital Inflows: A Test of "Return-Chasing" Hypothesis in Asia-Pacific Equity Markets", ' Review of Pacific basin financial markets and policies, No.5, pp.321-342.(EconLit;FLI)
  • 陳勝源;周麗娟;黃塏群;杜化宇, 2001, '我國上市公司退休金保險費率,提撥費率與勞退基金運用之探討-選擇權定價公式之運用, ' 管理評論, Vol.20, No.2.(TSSCI)
  • Anthony H. Tu*, 2001, 'The Demand of Flexibility and Bank''s Loan Decisions, ' Pan Pacific Management Review, Vol.4, No.2, pp.145-157.(*為通訊作者)
  • Anthony H. Tu;Hsiao-Ching Sheng, 2000, 'The Study of Cointegration and Variance Decomposition among National Equity Indices before and during the period of the Asian Financial Crisis, ' Journal of Multinational Financial Management, No.10, pp.345-365.(EconLit; FLI)
  • Anthony H. Tu;Shen-Yuan Chen, 2000, 'Bank Market Structure and Performance in Taiwan Before and After the 1991''s Liberalization, ' Review of Pacific Basin Financial Market and Policies, Vol.3, No.4, pp.475-490.(Econlit)
  • 杜化宇;姚海青;陳勝源, 1999, '我國股票市場融資比率與證券保證金成數調整對股價與股價波動性影響之研究, ' 證券市場發展季刊, Vol.11, No.2.(TSSCI)
  • 杜化宇*, 10, 'Jump Spillover in Energy Futures Markets: The Bayesian Viewpoint, ' Jump Spillover in Energy Futures Markets: The Bayesian Viewpoint,.(*為通訊作者)
  • 杜化宇*, 09, 'A Note on the Optimality of Regression Hedge Ratios in the Presence of Simultaneous Interaction Effect Between Spot and Futures, ' A Note on the Optimality of Regression Hedge Ratios in the Presence of Simultaneous Interaction Effect Between Spot and Futures,.(*為通訊作者)
  • 杜化宇*, '波動度自我消散與短期利率波動行為的再探討:三種短率期貨的證據, '.(*為通訊作者)
  • 杜化宇, '波動度自我消散與短期利率波動行為的再探討:三種短率期貨的證據, '.
  • Anthony H. Tu*, 2008.10, 'Oil and Stock Price: Identification with Heteroskedasticity, ' The 5th Chinese Finance Annual Conference.(*為通訊作者)
  • Anthony H. Tu*, 2008, 'Improving Portfolio Value-at-Risk Estimation with a Time-varying Copula Approach: An Illustration of Model Risk, ' The 5th International Conference on Risk Management.(*為通訊作者)
  • Anthony H. Tu*, 2007.10, 'Information Content of Option Volume Imbalance on the Pre-open Extended Trading Session in Taiwan Stock Index Options, ' The 4th Chinese Finance Annual Conference.(*為通訊作者)
  • Anthony H. Tu*, 2007.07, 'Default Correlation at the Sovereign Level: Evidence from Latin American Markets, ' The 15th Annual Conference on Pacific Basin Finance, Economics, Accounting and Management.(*為通訊作者)
  • Anthony H. Tu*, 2006.10, 'The Information Asymmetry of A and B Shares in China: Which One Dominates the Market?, ' The 3rd Chinese Finance Annual Conference.(*為通訊作者)
  • Anthony H. Tu*, 2006.10, 'The Information Asymmetry of A and B Shares in China: Which One Dominates the Market, ' The 3rd Chinese Finance Annual Conference.(*為通訊作者)
  • Anthony H. Tu*, 2006.06, 'Are Magnet Effects Caused by Uninformed Traders? Evidence from Taiwan Stock Exchange, ' The Conference of Microstructure of financial and Money Markets.(*為通訊作者)
  • Anthony H. Tu, 2005.12, 'Dependence Structure between CDS Return and Kurtosis of Equity Return Distribution of the Reference Entity, ' The 2nd International Conference on Risk Management.
  • Anthony H. Tu*, 2005.10, 'Market Imperfections and the Information Content of Implied Volatility:From GARCH Modelling of TAIEX Returns, ' The 2nd Chinese Finance Annual Meeting.(*為通訊作者)
  • Anthony H. Tu*, 2004.12, 'Mean Reversion Tests of Put-Call Parity for Equity Index Options with Randomization and Bayesian Gibbs Sampling Viewpoint:S&P500 versus DAX, ' The 12th SFM conference.(*為通訊作者)
  • Anthony H. Tu;Charles K. Chung, 1998.10, 'Time-Series Properties in Taiwan''s Equity Index and Market-Regulation Effectiveness, ' The 1998 Tenth Annual PACAP Finance Conference.
  • 杜化宇, 10, '石油與天然氣市場的長期均衡關係研究:參數與非參數協整方法的應用, ' 第六屆風險管理暨第七屆金融系統工程國際研討會.
  • 杜化宇, 10, '波動度自我消散與短期利率波動行為的再探討:三種短率期貨的證據, ' 第六屆中國金融學年會.
  • 杜化宇, 2010, '股票交易量與價格變動高階動差相依關係之探討:copula方法的應用, ' 國科會.
  • 杜化宇, 2007.12, '財務槓桿效果的理論與實證研究:靜態與動態panel方法的應用, ' 行政院國家科學委員會.
  • 杜化宇, 2006.07, '股價指數買賣權評價理論的實證研究-探討高頻資料的證據, ' 行政院國家科學委員會.
  • 杜化宇, 2006.01, '勞工保險基金最適資產配置及風險管理之研究, ' 行政院勞工保險局.
  • 杜化宇, 2005.07, '資產波動對市場訊息反應不對稱之探討:NIC曲線之應用與外幣選擇權市場的證據, ' 行政院國家科學委員會.
  • 杜化宇, 2004.12, '時間變動相關係數下的動態避險策略-以外匯期貨為例, ' 行政院國家科學委員會.
  • 杜化宇, 2003.09, '時報資訊財經資料庫檢定與資料字典製作, ' 時報資訊公司.
  • 杜化宇, 2003.08, '美式外匯選擇權提前執行貼水評價與提前執行合理性之探討, ' 國科會.
  • 杜化宇, 2002.05, '共同基金利用股價指數期貨增進投資組合績效之研究, ' 台灣期貨交易所.
  • 杜化宇, 2001.11, '台灣產業推動電子商務之整合研究─電子商務企業評價與投資策略:實質選擇權方法的應用, ' 國科會.
  • 杜化宇, 1999.08, '我國商業銀行資產風險權數之探討, ' 國科會.
  • 杜化宇, 1997.08, 'Implementing a Market Economy in Central Asia:Implications from the Experiences of China, Japan, South Korea and Taiwan, ' The Sasakawa Peace Foundation, (Japan).
  • 杜化宇*, 1999, 'Introduction to Futures and Options Markets, ' 雙葉書廊.(*為通訊作者)
  • Anthony H. Tu*, 2006, 'Dependence Structure between CDS and the Kurtosis of the Equity Return Distribution of the Reference Entity, ' Lecture Notes in Decision Sciences, Global-Link Publisher.(*為通訊作者)
  • Anthony H. Tu*, 1996, 'Management of Foreign Trade and Investment: Taiwan''s Experiences and the Implications for Central Asia, ' Transition to a Market Economy in Central Asia: Lessons from the East Asia Experience, The Sasakawa Peace Foundation.(*為通訊作者)

研究計畫

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