個人資料
王耀輝
博士 英國蘭卡斯特大學財務博士
研究室 : 二館 511
電話 : 02-33661092
傳真 : 02-8369-5581
諮詢時段 :
相關連結 :
相關連結 :
主要研究領域
• 財務工程實證
• 財金計量分析
• 市場風險管理
研究領域摘要
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學歷
• 英國蘭卡斯特大學財務博士
課程
• 期貨與選擇權市場
• 計量分析
• 財務計量專題二
• 風險管理
獲獎
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經歷
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研討會論文
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期刊論文
  1. Chuang-Chang Chang, Pei-Fang Hsieh, Yaw-Huei Wang, 2013, Sophistication, Sentiment, and Misreaction , Journal of Financial and Quantitative Analysis , ( SSCI )
  2. Yaw-Huei Wang, 2013, Volatility Information in the Trading Activity of Stocks, Options and Volatility Options , Journal of Futures Markets , Vol.33 , 752 - 773 , ( SSCI )
  3. Shih-Ping Feng, Mao-Wei Hung, Yaw-Huei Wang, 2013, Option Pricing with Stochastic Liquidity Risk: Theory and Evidence , Journal of Financial Markets , ( SSCI )
  4. Chuang-Chang Chang, Pei-Fang Hsieh, Chih-Wei Tang, Yaw-Huei Wang, 2013, The intraday behavior of information misreaction across various categories of investors in the Taiwan options market , Journal of Financial Markets , Vol.16 , 362 - 385 , ( SSCI )
  5. Teng-Hao Huang, Yaw-Huei Wang, 2012, The Volatility and Density Prediction Performance of Alternative GARCH Models , Journal of Forecasting , Vol.31 , 157 - 171 , ( SSCI )
  6. Yaw-Huei Wang, 2012, Reply to “A comment on “A new simple square root option pricing model”” , Journal of Futures Markets , Vol.32 , 199 - 202 , ( SSCI )
  7. Chuang-Chang Chang, Jun-Biao Lin, Wei-Che Tsai, Yaw-Huei Wang, 2012, Using Richardson extrapolation techniques to price American options with alternative stochastic processes , Review of Quantitative Finance and Accounting , Vol.39 , 383 - 406
  8. San-Lin Chung, Wei-Che Tsai, Yaw-Huei Wang, Pei-Shih Weng, 2011, The information content of the S&P 500 index and VIX options on the dynamics of the S&P 500 index , Journal of Futures Markets , Vol.31 , 1170 - 1201 , ( SSCI )
  9. Robin, K. Chou, San-Lin Chung, Yu-Jen Hsiao, Yaw-Huei Wang, 2011, The impact of liquidity on option prices , Journal of Futures Markets , Vol.31 , 1116 - 1141 , ( SSCI )
  10. Yaw-Huei Wang, Yu-Jen Hsiao, 2010, The Impact of Non-trading Periods on the Measurement of Volatility , Review of Pacific Basin Financial Markets and Policies , Vol.13 , 607 - 620
  11. Antonio Camara, Yaw-Huei Wang, 2010, A New Simple Square Root Option Pricing Model , Journal of Futures Markets , Vol.30 , 1007 - 1025 , ( SSCI )
  12. Stephen Taylor, Yaw-Huei Wang, 2010, Option Prices and Risk-neutral Densities for Currency Cross-rates , Journal of Futures Markets , Vol.30 , 324 - 360 , ( SSCI )
  13. Yaw-Huei Wang, Yun-Yi Wang, 2010, Intraday Volatility Patterns in the Taiwan Stock Market and the Impact on Volatility Forecasting , Asia-Pacific Journal of Financial Studies , Vol.39 , 70 - 89 , ( SSCI )
  14. Chuang-Chang Chang, Pei-Fang Hsieh, Yaw-Huei Wang, 2010, Information Content of Options Trading Volume for Future Volatility: Evidence from the Taiwan Options Market , Journal of Banking and Finance , Vol.34 , 174 - 183 , ( SSCI )
  15. Yaw-Huei Wang , Antonio Camara , San-Lin Chung, 2009, Option Implied Cost of Equity and Its Properties , Journal of Futures Markets , Vol.29 , No.7 , 599 - 629 , ( SCI )
  16. Yaw-Huei Wang, 2009, The Impact of Jump Dynamics on the Predictive Power of Option-Implied Densities , Journal of Derivatives , Vol.16 , No.3 , 9 - 22 , ( SSCI )
  17. Yaw-Huei Wang, Pei-Shih Weng, 2009, Asymmetry and Long Memory in the Dynamics of Interest Rate Volatility , Journal of Futures and Options , Vol.1 , No.2 , 109 - 132
  18. 王耀輝,何瑞鎮,廖子翔,張傳章, 2009, 考慮或有負債下貸款保證之研究:障礙選擇權分析法 , 財務金融學刊 , Vol.17 , No.3 , 73 - 102 , ( TSSCI )
  19. 王耀輝, 2008, Bounds and Prices of Currency Cross-Rate Options. , Journal of Banking and Finance , Vol.32 , 631 - 642
  20. 王耀輝, 2008, Dynamic Hedging with Futures: A Copula-based GARCH Model , Journal of Futures Markets , Vol.28 , 1095 - 1116
  21. Yaw-Huei Wang, Chih-Chiang Hsu, 2007, Short Memory, Long Memory and Jump Dynamics in Global Financial Markets , Journal of Financial Studies , Vol.15 , No.2 , 43 - 68 , ( TSSCI )
  22. Sohnke M. Bartram, Stephen J. Taylor, Yaw-Huei Wang, 2007, The Euro and European Financial Market Dependence , Journal of Banking and Finance , Vol.31 , No.5 , 1461 - 1481 , ( SSCI )
  23. Yaw-Huei Wang, Aneel Keswani, Stephen J. Taylor, 2006, The Relationships between Sentiment, Returns and Volatility , International Journal of Forecasting , Vol.22 , 109 - 123 , ( SSCI )
  24. Sohnke M. Bartram, Yaw-Huei Wang, 2005, Another Look at the Relationship between Cross-market Correlation and Volatility , Finance Research Letters , Vol.2 , 75 - 88 , ( SSCI )
專書
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專書論文
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