俞淑惠 Shu-Hui Yu

職稱 教授
電話 (07)5919700
傳真 (07)-5919360   
E-Mail shuhui@nuk.edu.tw
資訊 數理統計作業
研究室 理學院大樓315室
  學歷 國立中央大學數學學士
國立中央大學統計碩士
國立清華大學統計博士
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  經歷

國立暨南國際大學財務金融學系助理教授
國立高雄大學統計學研究所助理教授
國立高雄大學統計學研究所副教授

國立高雄大學統計學研究所教授

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  研究領域 財務時間序列
財務計量
風險管理
選模理論
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  期刊編審

1.     Asociate Editor, Journal of Data Science  2011/07~present.

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  期刊論文

1.

Ching-Kang Ing, Tze Leung Lai, Milan Shen, Ka Wai Tsang, and Shu-Hui Yu (2016). Multiple Testing in Regression Models with Applications to Fault Diagnosis in Big Data Era. Accepted by Technometrics.

2.

Tzu-Chang F. Cheng, Ching-Kang Ing, and Shu-Hui Yu (2015). Toward optimal model averaging in regression models with time series errors. Journal of Econometrics, 189(2): 321-334. SCI, SSCI.

3.

Tzu-Chang F. Cheng, Ching-Kang Ing and Shu-Hui Yu (2015). Inverse moment bounds for sample autocovariance matrices based on detrended time series and their applications. Linear Algebra and Its Applications, 473: 180-201. SCI.

4.

Shiou-Huei Huang, Chien-Ning Hsu, Shu-Hui Yu and Thau-Ming Cham (2012). Impact of drug pricing policy on utilization of and expenditure on angiotensin-converting enzyme inhibitors and angiotensin receptor blockers in Taiwan: a cross-sectional study. BMC Public Health, 12(288): 1471-2458. SCI.

5.

C.-K. Ing, C. Y. Sin and S. H. Yu (2012). Model selection for integrated autoregressive processes of infinite orde. Journal of Multivariate Analysis, 106: 57-71. SCI.

6.

S. H. Yu, C.-C. Lin and H.-W. Cheng (2012). A note on mean squared prediction error under the unit root model with deterministic trend. Journal of Time Series Analysis, 33: 276-286. SCI.

7.

S. H. Yu and S-C Liao (2012). Comparing a New Risk Measure with Some Traditional Risk Measures, Journal of Financial Review, 17: 1-19.

8.

C.-K. Ing, C. Y. Sin and S. H. Yu (2010). Prediction errors in nonstationary autoregression of infinite order. Econometric Theory, 26: 774-803. SCI, SSCI.

9.

C.-K. Ing, J.-L. Lin and S. H. Yu (2009). Toward optimal multistep forecasts in nonstationary autoregression. Bernoulli, 15: 402-437. SCI.

10.

俞淑惠 (2006). 銀行評價:整合財務績效及金融商品創新,市場競爭力之觀點,台灣管理學刊,第6卷第1期,頁35-58。(與郭憲章,溫德威,吳壽山合著)

11.

C.-K. Ing and Yu, S. H. (2003). On estimating conditional mean-squared prediction errors in autoregressive models. Journal of Time Series Analysis, 24: 401-422. SCI.

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  研討會論文

1.     S. H. Yu, C.-C. Lin and H.-W. Chen (2011). A Note On Mean Squared Prediction Error Under The Unit Root Model With Deterministic Trend. Joint Meeting of the 2011 Taipei International Statistical Symposium and 7th Conference of the Asian Regional Section of the ISC.

 

2.     Yu, S. H. (2009) Estimating credit transition matrices using two different data types by matrix autoregressive models. Conference on Statistical Models and Methods in Quantitative Finance and Related Topics 2009. Statistical Sinica, Taipei. Invited Speaker.

 

3.     Yu, S. H. (2008) Estimating Credit Transition Matrices Using Matrix Autoregressive Models. International Conference on Mathematics of Finance and Related Application. The University of Hong Kong, Hong Kong.

 

4.     Yu, S. H. (2005) A New Value at Risk Calculation in Instability Markets Subject to Volatility Clustering Phenomenon. 2005 NBER Conference. NBER/NSF/CFS satellite workshop on ‘Financial Risk and Time Series Analysis’ , Germany.

 

5.     Yu, S. H. (2005) Time-Varying Dynamic Models for Predicting Corporate Distress. 2005 Joint Statistical Meeting, Minneapolis, U.S.A.

 

6.     Yu, S. H. (2003) Model Selection for Logistic Regression Model with Mixed Type Explanatory Variables. Bernoulli Society East Asian and Pacific Regional (EAPR) Conference 2003, Hong Kong.

 

 

國內研討會 (對外公開徵稿並有審稿制度之研討會論文)

 

7.       C.-K. Ing, C. Y. Sin and S. H. Yu.  (2011) Model selection for integrated autoregressive processes of infinite order. 第二十屆南區統計研討會

 

8.      俞淑惠、賴宥彣 (2011)  巴爾賽協定III之探討及分析(2011 海峽兩岸應用統計學術研討會, 2011.5.15~17, 逢甲大學, 台中

 

9.      俞淑惠、吳柏儒 (2011)  各種不同風險衡量指標及其敏感度分析(2011 海峽兩岸應用統計學術研討會, 2011.5.15~17, 逢甲大學,台中

 

10.    Yu, S. H. (2010) Predict Corporate Bankruptcy20106月,南區統計研討會,國立成功大學Invited Speaker

 

11.   Yu, S. H. (2008) Estimating Credit Transition Matrices Using Matrix Autoregressive Models20086月,南區統計研討會,國立東華大學Invited Speaker

 

12.   俞淑惠、曾一展(2006) 以矩陣自我回歸估計轉換矩陣及其預測能力之表現。2006現代財務論壇學術研討會,國立暨南國際大學財金系、朝陽科技大學財金系。

 

13.   俞淑惠、洪榭亨(2005) 考量異質變異性的加權風險值估計方法。20055月,實證經濟研討會,國立高雄大學。

 

14.   蔡明憲、俞淑惠、王國銓 (2005) The valuation of a convertible bond on the basis of intensity model. 20055月,實證經濟研討會,國立高雄大學。

 

15.   郭憲章、俞淑惠、溫德威 (2004) Bank evaluation: on the basis of financial innovation and market power by short panel analysis. 20043月,現代財務論壇學術研討會。

 

16.   郭憲章、俞淑惠、吳慶復 (2004) 銀行授信策略及其營運績效之研究。20045月。

 

17.   蔡明憲、俞淑惠、黃永祥 (2004) 法人投資策略之研究。20046月。

 

18.   Yu, S. H., Lin, L., and Y.-L Chen (2003) On financial detecting dynamic model. 200312月,北商學術論壇。

 

19.   Yu, S. H. (2003) Dynamic Equilibrium for the Arbitrage Pricing Theory. 國科會人文處管理一學門財務新進學者學術計畫研討會,20039月,國立台灣科技大學。

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  專書及專書論文

1.          On optimal foraging theory in stochastic environments. Ph.D. dissertation. National Tsing Hua University.

 

2.     Nonparametric heteroscedasticity test in linear model. Master thesis. National Central University.

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  學術機構訪問

1.      Visting Scholar, Department of Statistics, University of Chicago  2014/8~2014/9.

2.      Visting Scholar, Department of Statistics, Texas A&M University  2013/8~2013/9.

3.      Visting Scholar, Department of Statistics, The Chinese University of Hong Kong  2013/7~2013/7.

4.      Visting Scholar, Department of Statistics, The Chinese University of Hong Kong  2011/8~2011/9.

5.      Visting Scholar, Department of Statistics, Stanford University 2011/6~2011/6.

6.     Visiting Scholar, Department of Statistics, The Chinese University of Hong Kong, 2008/8~2008/9.

7.     Visiting Scholar, Department of Statistics, University of Vienna 2008/7~2008/7.

8.     Visiting Scholar, Department of Statistics, The Chinese University of Hong Kong, 2008/1~2008/1.

9.     Visiting Scholar, Department of Statistics, Stanford University, 2006/08~2007/07.

 

10.     Visiting Scholar, Institute of Statistical Science, Academia Sinica, 2006/07~2007/07.

 

11.     Visiting Scholar, Department of Information and System Management , The Hong Kong University of Science and Technology, 2006/04~2006/04.

 

12.     Visiting Scholar, Department of Statistics, Stanford University, 2005/07~2005/09.

 

13.     Visiting Scholar, Department of Statistics, The Chinese University of Hong Kong, 2003/12~2003/12.

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  執行計畫

1.     模型平均法在門檻模型上的統計推論及應用 (MOST 105-2118-M-390-001) Ministry of Science and Technology, Taiwan, August 2016-July 2017.

 

2.     關於非負或非恆定時間序列的統計推論 (MOST 104-2118-M-390-002) Ministry of Science and Technology, Taiwan, October 2015-July 2016.

 

3.     正自迴歸過程的最佳預測子選取(MOST 103-2118-M-390-001) Ministry of Science and Technology, Taiwan, August 2014-July 2015.

 

4.     正交貪婪演算法在高變量線性迴歸模型及高維度外生變量自迴歸模型下統計性質之研究(NSC 102-2118-M-390-003) National Science Council, Taiwan, August 2013-October 2014.

 

5.     環保署/國科會空氣汙染防制科技研究合作計畫--細懸浮微粒觀測數值時間序列分析及測站代表性研究(102-EPA-F-004-001) Environmental Protection Administration & National Science Council, Taiwan, August 2013-August 2014.

 

6.     關於一般化的馬氏模型平均(NSC 101-2118-M-390-003) National Science Council, Taiwan, August 2012-July 2013. 

 

7.     異質性高維度模型選取及其在高科技產業品質管理之應用. Taiwan Semiconductor Manufacturing Company,  Taiwan, April 2012-July 2013.

 

8.    在預測最大可能損失的風險條件下考慮最佳投資組合資產配適的問題(NSC 99-2118-M-390-002-) National Science Council, Taiwan, August 2010-July 2011. 

 

9.     高維度矩陣選模及其在信號重構及高維度共變異矩陣估計上的應用.NSC 97-2628-M-001-022-MY2-National Science Council, Taiwan, August 2008-July 2010.

 

10.   A robust VaR estimator and optimal portfolio selection in financial instability markets.94-2416-H-260-019-National Science Council, Taiwan, August 2005-July 2006.

 

11.   On dynamic equilibrium arbitrage pricing theory. (93-2416-H-260-017- ) National Science Council, Taiwan, August 2004-July 2005.

 

12.    A Dynamic Model for Predicting Corporate Distress. (92-2416-H-260-012- ) National Science Council, Taiwan, August 2003-July 2004.

 

13.    Forecasting Mean-squared errors analysis of unit root model and nearly unit root model. (91-2118-M-260-001- ) National Science Council, Taiwan, August 2002-July 2003.

 

14.    Project: Model selection of heteroskedasticity regression model. (90-2118-M-260-001- ) National Science Council, Taiwan, August 2001-July 2002.

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  指導學生  
碩士班

入學年度

姓名

學校

96

李岱霙

銘傳大學應用統計資訊學系

96

侯怜竹

東海大學統計學系

97

江盈慧

東海大學統計學系

97

吳璟妤

輔仁大學數學系純數組

97

林忻靈

嘉義大學應用數學系

98

吳柏儒

高雄大學應用數學系

98

賴宥彣

中山大學應用數學系

99

周正修

輔仁大學數學系

99

林知樵

東華大學應用數學系

99

廖思淳

輔仁大學數學系

100

張巧柔

東海大學統計學系

100

呂思萱

銘傳大學應用統計資訊學系

101

倪季平

高雄大學應用數學系

101

簡暐庭

淡江大學統計學系

102

李雅淳

高雄大學應用數學系

102

林姿蓉

嘉義大學應用數學系

103

林士傑

高雄大學應用數學系

104

曾軍霖

高雄大學應用數學系

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