俞淑惠 Shu-Hui Yu

職稱 教授
電話 (07)5919700
傳真 (07)-5919360   
E-Mail shuhui@nuk.edu.tw
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.

S. H. Yu and C. Y. Sin (2020). On asymptotic risk of selecting models for possibly non-stationary time-series. Accepted by Econometric Reviews. SSCI & SCI.

2.

C. Y. Sin and S. H. Yu (2019). Order selection for possibly infinite-order non-stationary time series. Advances in Statistical Analysis, 103: 187-216. SCI.

3.

Hsiang-Ling Hsu, Ching-Kang Ing, Tze Leung Lai and Shu-Hui Yu (2018). Multistage manufacturing processes: innovations in statistical modeling and inference.  In Proceedings of the Pacific Rim Statistical Conference for Production Engineering, 67-84, Springer.

4.

Ching-Kang Ing, Tze Leung Lai, Milan Shen, Ka Wai Tsang, and Shu-Hui Yu (2017). Multiple Testing in Regression Models with Applications to Fault Diagnosis in Big Data Era. Technometrics, 59: 351-360. SCI.

5.

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.

6.

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.

7.

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.

8.

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.

9.

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.

10.

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.

11.

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.

12.

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

13.

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)

14.

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.

俞淑惠, Mean squared prediction errors of integrated autoregressive models with polynomial time trends. (The 11th ICSA International Conference, 2019.12.19-12/22, 中國杭州.)

2.

俞淑惠, On Asymptotic Risk of Selecting Models for Possibly Nonstationary Time-Series. (The 5th International Conference on the Interface between Statistics and Engineering (ICISE2019), 2019.06.26-28, Korea.)

3.

俞淑惠, Higher Moments Modified VaR Estimators and Their Applications in Portfolio. (中國海洋大學金融系, 2018.7.6, 中國青島)

4.

俞淑惠, Multiple Testing in Regression Models with Applications to Fault Diagnosis in Big Data Era. (2018 ICSA China Conference with the Focus on Data Science, 2018.07.02-05, 中國青島)

5.

俞淑惠, On Asymptotic Risk of Order Selection in Integrated Autoregressive Models. (2018 ICSA Applied Statistics Symposium, 2018.06.14-17, New Jersey, USA)

6.

俞淑惠, Multiple Testing in Regression Models with Applications to Fault Diagnosis in Big Data Era.  (中國科學技術大學, 2018.1.23, 中國安徽)

7.

俞淑惠, Order selection for high-dimensional non-stationary time series. (IFCS-2017, 2017.8.8-10, Tokyo, Japan)

8.

俞淑惠, Higher moments modified VaR estimators and their applications in portfolio. (2017 ICSA Applied Statistics Symposium, 2017.6.25-28, Chicago, USA)

9.

俞淑惠, Order selection for predictions in highdimensional AR model: the case of I(d) processes. (International Symposium on Statistical Analysis for Large Complex Data, 2016.11.21-23, University of Tsukuba, Japan.)

10.

俞淑惠, Estimating transition matrices: Applications to sovereign risk and exchange rate investment. (Ibusuki International Seminar, 2016.3.6-3.8, Ibusuki, Japan)

11.

俞淑惠, A VaR estimator under correlated defaults. (Kumamoto International Symposium, 2016.3.3-3.5, Kumamoto University, Japan)

12.

俞淑惠, Prediction errors in unit-root models. (Waseda International Symposium, 2016.2.29-3.2, Waseda University, Japan)

13.

俞淑惠, Asymptotic Inefficiency of BIC And Asymptotic Efficiency of TSIC: The Case of An I(d) Process. (2015.8.31, Department of Applied Mathematics, Waseda University, Japan)

14.

俞淑惠, On some new modified risk measures and implied trading strategies. (Miura Statistical Seminar, 2015.3.5~7, Miura peninsula, Japan)

15.

俞淑惠, Toward optimal model averaging in regression models with time series errors. (Waseda International Symposium "Asymptotic Sufficiency, Asymptotic Efficiency and Semimartingale", 2015.3.2~4, Waseda University, Japan)

16.

俞淑惠, A Note On Mean Squared Prediction Error Under The Unit Root Model With Deterministic Trend. (2012 Joint Statistical Meetings, 2012.7.28~8.2, San Diego, California, USA)

17.

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.

18.

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.

19.

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.

20.

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.

21.

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

22.

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)

1.

俞淑惠, The asymptotic excess risk of possibly non-stationary time-series. (3rd International Conference on Econometrics and Statistics (EcoSta 2019), 2019.06.25-27, 國立中興大學, 台中.)

2.

俞淑惠, Higher moments modified VaR estimators and their applications in portfolio. (2017 統計學門研究成果發表會, 2017.2.7-8, 國立中興大學, 台中)

3.

俞淑惠, Discuss on Autoregressive Spectral Averaging Estimator. (2016總體經濟計量模型研討會, Macroeconometric Modelling Workshop, MMW 2016, 2016.12.1-2, 中央研究院, 臺北)

4.

林士傑, 俞淑惠, 簡化的ARMA-GARCH風險值估計法及其在投資組合上的應用. (第二十五屆南區統計研討會暨105年度中華機率統計學會年會及學術研討會暨中華資料採礦協會年會及學術研討會, 2016.6.24-25, 國立中山大學, 高雄)

5.

俞淑惠, Asymptotic Inefficiency of BIC And Asymptotic Efficiency of TSIC: The Case of An I(d) Process. (總體經濟計量模型研討會, 2015.12.3-4, 中央研究院, 臺北)

6.

俞淑惠, Toward Optimal Model Averaging in Regression Models with Time Series Errors. (103年中國統計學社社員大會暨國際統計學術研討會, 2014.12.6, 國立交通大學, 新竹)

7.

俞淑惠, Apply Sparse Dynamic Factor Models to Arbitrage Pricing Theory. (The 3rd Institute of Mathematical Statistics Asia Pacific Rim Meeting, 2014.6.29~7.3, 福華國際文教會館, 臺北)

8.

倪季平, 俞淑惠, Estimating Transition Matrices: Applications to Sovereign Risk and Exchange Rate Investment. (第二十三屆南區統計研討會暨2014年中華機率統計學會年會及學術研討會, 2014.6.27~28, 國立東華大學, 花蓮)

9.

簡暐庭, 俞淑惠, Determining Trading Strategies and Evaluating Value at Risk from Loss Distribution. (第二十三屆南區統計研討會暨2014年中華機率統計學會年會及學術研討會, 2014.6.27~28, 國立東華大學, 花蓮)

10.

銀慶剛, 俞淑惠, Toward Optimal Model Averaging in Regression Models with Time Series Errors.  (The 10th International Symposium on Econometric Theory and Applications (SETA 2014), 2014.5.29~30, Taipei, Taiwan)

11.

俞淑惠, On Some New Modified Risk Measures and Implied Trading Strategies. (第九屆海峽兩岸機率統計研討會, 2014.5.16-18, 逢甲大學、國立中興大學,台中)

12.

俞淑惠, PM2.5監測儀器可靠度分析及其監測濃度之時間趨勢分析. (2014年「能源利用與PM2.5污染控制」研習會, 2014.3.11~12, 國立台灣大學, 台北)

13.

俞淑惠, A Note On Mean Squared Prediction Error Under The Unit Root Model With Deterministic Trend. (2013年臺灣經濟計量學會年會, 2013.11.2, 台灣大學, 台北)

14.

張巧柔, 俞淑惠, 最佳動態投資策略及其效用函數之分析與比較. (第二十二屆南區統計研討會暨2013年中華機率統計學會年會及學術研討會, 2013.6.28~89, 國立高雄大學, 高雄)

15.

俞淑惠,A Study on Value-at-Risk of Basel III. (第二十一屆南區統計研討會, 2012.6.29~30, 輔仁大學, 台北)

16.

周正修, 俞淑惠, 以隱藏馬可夫模型預測整體信用評等等級總數之變化及其個別公司評等之變動. (第二十一屆南區統計研討會, 2012.6.29~30, 輔仁大學, 台北)

17.

林知樵, 俞淑惠, 動態投資組合之再平衡及三種權重估計法比較. (第二十一屆南區統計研討會, 2012.6.29~30, 輔仁大學, 台北)

18.

廖思淳, 俞淑惠, 一個新的風險衡量指標與傳統風險衡量指標之比較. (第二十一屆南區統計研討會, 2012.6.29~30, 輔仁大學, 台北)

19.

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

20.

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

21.

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

22.

Yu, S. H. (2010) Predict Corporate Bankruptcy。2010年6月,南區統計研討會,國立成功大學。Invited Speaker。

23.

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

24.

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。

25.

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。

26.

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。

27.

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。

28.

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。

29.

蔡明憲、俞淑惠、黃永祥 (2004) 法人投資策略之研究。20046月。

30. Yu, S. H., Lin, L., and Y.-L Chen (2003) On financial detecting dynamic model. 2003年12月,北商學術論壇。
31.

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,2003年9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, The Chinese University of Hong Kong. 2019/1~2019/1.

2.

Visting Scholar, Data Sciences and Operations Department of the Marshall School of Business at the University of Southern California. 2018/9~2018/9.

3.

Visting Scholar, Department of Statistics and Finance, University of Science and Technology. 2018/1~2018/1.

4.

Visting Scholar, Department of Statistics, The Chinese University of Hong Kong. 2017/7~2017/7.

5.

Visting Scholar, School of Statistics, Southwestern University of Finance & Economics. 2016/5~2016/6.

6.

Visting Scholar, Department of Applied Mathematics, Waseda University. 2016/2~2016/3.

7.

Visting Scholar, Department of Applied Mathematics, Waseda University. 2015/8~2015/9.

8.

Visting Scholar, Department of Applied Mathematics, Waseda University. 2015/3~2015/3.

9.

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

10.

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

11.

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

12.

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

13.

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

14.

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

15.

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

16.

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

17.

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

18.

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

19.

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

20.

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

21

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

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  執行計畫
1.

關於追蹤資料分類方法研究及其在主權評等上的應用 (MOST 108-2118-M-390-005) Ministry of Science and Technology, Taiwan, August 2019-July 2020.

2.

108教學實踐研究計畫-以小樣本結構方程式分析影響精算師證照考試的關鍵知識或技術 (PMS1080013) Ministry of Education, Taiwan, August 2019-July 2020.

3.

高維偏誤模型的選模問題及其在金融科技上的應用 (MOST 107-2118-M-390-002) Ministry of Science and Technology, Taiwan, August 2018-July 2019.

4.

107年度教學實踐研究計畫--金融科技新教程之研究與教材開發計畫 (PMS107024) Ministry of Education, Taiwan, August 2018-July 2019.

5.

高階動差修正之風險值估計式及其在投資組合上的應用 (MOST 106-2118-M-390-002) Ministry of Science and Technology, Taiwan, August 2017-July 2018.

6.

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.

7.

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.

8.

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.

9.

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.

10.

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.

11.

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.

12.

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.

13.

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.

14.

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.

15.

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.

16.

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

17.

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

18.

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.

19.

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

100

張觀洋 臺灣大學數學系

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

105

劉允方

屏東大學應用數學

105

郭怡萱

屏東大學應用數學系

105

張獻文

高雄大學應用數學系

106

蕭宇瀚

高雄大學應用數學系

106

金書豪

高雄大學應用數學系

106

吳孟瑾

高雄大學應用數學系

107

張祐融

高雄大學應用數學系

107

許瓊云

高雄大學應用數學系

108

黃品璁

高雄大學應用化學系

108

黃冠鈞

高雄大學應用數學系

108

吳奕凱

高雄大學應用數學系

108

許閔盛

高雄大學應用數學系

博士班
入學年度
姓名

學校

 
 
 
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