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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 |
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Chien-Ming Chi, Ching-Kang Ing,
and Shu-Hui Yu (2021). Negative moment bounds for
stochastic regression models with deterministic
trends and their applications to prediction
problems. Statistica Sinica,31: 2215-2237. SCI. |
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S. H. Yu and C. Y. Sin (2021). On
asymptotic risk of selecting models for possibly
non-stationary time-series. Econometric Reviews,
40(4): 387-414. SSCI & SCI. |
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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. |
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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. |
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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. |
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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. |
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7. |
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. |
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8. |
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.
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9. |
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.
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10. |
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.
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11. |
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. |
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12. |
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.
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13. |
C.-K. Ing, J.-L. Lin
and S. H. Yu (2009). Toward optimal multistep
forecasts in nonstationary autoregression.
Bernoulli, 15: 402-437. SCI.
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14. |
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)
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15. |
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 |
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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.) |
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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.) |
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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) |
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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) |
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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) |
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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) |
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7. |
俞淑惠,
Order selection for high-dimensional
non-stationary time series.
(IFCS-2017, 2017.8.8-10, Tokyo, Japan) |
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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) |
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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.) |
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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) |
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11. |
俞淑惠,
A VaR estimator under correlated defaults.
(Kumamoto
International Symposium, 2016.3.3-3.5,
Kumamoto University,
Japan) |
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12. |
俞淑惠,
Prediction errors in unit-root models.
(Waseda
International Symposium, 2016.2.29-3.2,
Waseda University,
Japan) |
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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) |
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14. |
俞淑惠,
On some new modified risk measures and
implied trading strategies.
(Miura
Statistical Seminar, 2015.3.5~7,
Miura peninsula, Japan) |
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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) |
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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) |
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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. |
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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. |
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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. |
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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. |
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21. |
Yu,
S. H. (2005)
Time-Varying
Dynamic Models for Predicting Corporate Distress.
2005 Joint Statistical
Meeting, Minneapolis, U.S.A. |
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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.) |
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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) |
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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) |
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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) |
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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) |
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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) |
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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) |
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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) |
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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) |
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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) |
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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) |
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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) |
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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) |
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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) |
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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) |
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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) |
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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) |
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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) |
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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。 |
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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。 |
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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。 |
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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。 |
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23. |
Yu, S. H. (2008) Estimating Credit
Transition Matrices Using Matrix
Autoregressive Models。2008年6月，南區統計研討會，國立東華大學。Invited
Speaker。 |
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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。 |
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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。2005年5月，實證經濟研討會，國立高雄大學。 |
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26. |
蔡明憲、俞淑惠、王國銓
(2005) The
valuation of a convertible bond on the basis of
intensity model. 2005年5月，實證經濟研討會，國立高雄大學。 |
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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.
2004年3月，現代財務論壇學術研討會。 |
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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。2004年5月。 |
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29. |
蔡明憲、俞淑惠、黃永祥
(2004)
法人投資策略之研究。2004年6月。 |
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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。 |
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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 |
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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 |
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1. |
Visting Scholar,
Department of Statistics, The Chinese University of
Hong Kong. 2019/1~2019/1. |
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2. |
Visting Scholar,
Data Sciences and Operations Department of
the Marshall School of Business at the
University of Southern California. 2018/9~2018/9. |
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3. |
Visting Scholar,
Department
of Statistics and Finance, University of
Science and Technology. 2018/1~2018/1. |
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4. |
Visting Scholar,
Department of Statistics, The Chinese University of
Hong Kong. 2017/7~2017/7. |
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5. |
Visting Scholar,
School of Statistics, Southwestern
University of Finance & Economics. 2016/5~2016/6. |
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6. |
Visting Scholar,
Department of Applied Mathematics, Waseda
University. 2016/2~2016/3. |
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7. |
Visting Scholar,
Department of Applied Mathematics, Waseda
University. 2015/8~2015/9. |
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8. |
Visting Scholar,
Department of Applied Mathematics, Waseda
University. 2015/3~2015/3. |
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9. |
Visting Scholar,
Department of Statistics, University of
Chicago 2014/8~2014/9. |
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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. |
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12. |
Visting Scholar,
Department of Statistics, The Chinese University of
Hong Kong 2011/8~2011/9. |
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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 |
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1. |
關於不穩定或非線性隨機迴歸模型之預測及選模問題
(MOST 110-2118-M-390-003-MY2)
,
Taiwan, August 2021-July 2023. |
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2. |
具時間趨勢的不穩定AR-ARCH模型之多步預測均方差研究及其在風險值上
(MOST 109-2118-M-390-002)
,
Taiwan, August 2020-July 2021. |
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3. |
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)
,
Taiwan, August 2019-February 2021. |
|
4. |
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)
,
Taiwan, August 2019-July 2020. |
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5. |
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)
,
Taiwan, August 2018-July 2019. |
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6. |
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)
,
Taiwan, August 2018-July 2019. |
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7. |
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)
,
Taiwan, August 2017-October 2018. |
|
8. |
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)
,
Taiwan, August 2016-October 2017. |
|
9. |
關於非負或非恆定時間序列的統計推論 (MOST 104-2118-M-390-002)
,
Taiwan, October 2015-October 2016. |
|
10. |
正自迴歸過程的最佳預測子選取(MOST 103-2118-M-390-001)
,
Taiwan, August 2014-October 2015. |
|
11. |
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. |
|
12. |
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. |
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13. |
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. |
|
14. |
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. |
|
15. |
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. |
|
16. |
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. |
|
17. |
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. |
|
18. |
On
dynamic equilibrium arbitrage pricing theory.
(93-2416-H-260-017- ) National Science Council, Taiwan,
August 2004-July 2005. |
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19. |
A
Dynamic Model for Predicting Corporate Distress.
(92-2416-H-260-012-
) National Science Council,
Taiwan, August 2003-July 2004. |
|
20. |
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. |
|
21. |
Project:
Model selection of heteroskedasticity regression model.
(90-2118-M-260-001- ) National Science Council, Taiwan,
August 2001-July 2002. |
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