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HOME > Faculty and Staff > Research Fellows
Research Fellows
 
Director Deputy Director
Distinguished Research Fellow Research Fellow
Associate Research Fellow Assistant Research Fellow
Name: Chou, Ray Yeutien
Title: Research Fellow
Education:

Ph.D. in Economics, University of California, San Diego (1988)
E-mail:  
Tel: (02)27822791 #321
Current Position:

Research Fellow, Institute of Economics, Academia Sinica (2005-)
Experience:

●Associate Research Fellow, Institute of Economics, Academia Sinica (1995-2005)
●Assistant Professor, Georgia Institute of Technology (1988-1995)
●Visiting Professor, University of Chicago (2000-2001)
●Adjunct Associate Professor, Department of Finance, National Central University (1996-)
●Joint-appointment Professor, Institute of Business Management, National Chiao-Tung University (2005-)
Editorship:

Editorial Board,                                                                                                                                                                              Taipei Economic Inquiry (1998-)
Review of Financial Risk Management (2005-)

 
Research Fields:

Econometrics
Financial Markets
Time Series Analysis
Research Fields:

Econometrics
Financial Markets
Time Series Analysis
Selected Publications:
● Chou, Ray Yeutien (2010) "The Economic Value of Volatility Timing Using a Range-based Volatility Model," with Nathan Liu, Journal of Economic Dynamics and Control ,forthcoming.
 ● Chou, Ray Yeutien (2009) “Explaining International Stock Correlations with CPI Fluctuations and Market Volatility,” with Yijie Cai and Dan Li, Journal of Banking & Finance,vol.33, 2026-2035.
●Chou, Ray Yeutien (2009) “Range-based Multivariate Volatility Model with Double Smooth Transition in Conditional Correlation,” with Yijie Cai, Global Finance Journal, 20(2), 137-152.
● Chou, Ray Yeutien (2009) "Forecasting Time-Varying Covariance with Range-Based Dynamic Conditional Correlation Model," with  Chun-Chou Wu and Nathan Liu, Review of Quantitative Finance and Accounting, 2009, vol.33, no. 4, 327-345.
●Chou, Ray Yeutien (2006) "Modeling the Asymmetry of Stock Movements Using Price Ranges," Advances in Econometrics, vol. 20A, 231-257..
●Chou, Ray Yeutien (2005) "Forecasting Financial Volatilities With Extreme Values: The Conditional AutoRegressive Range (CARR) Model,"Journal of Money Credit and Banking, 37(3), 561-582.
●Chou, Ray Yeutien, Chun-Chou Wu and Nathan Liu (2004) "A Comparison and Empirical Study in Forecasting Abilities of Dynamic Volatility Models,"  (in Chinese) Journal of Financial Studies, vol. 12, 1, 1-25.
●Chou, Ray Yeutien, Wen-Chung Guo (2004)  "Testing for Short Termism in the US Stock Market,"Research in Banking and Finance, 4, 115-130.
●Chou, Ray Yeutien, Jie-Haun Lee and Chun-Chou Wu (2002) "The Effect of Futures Introduction on Market Volatility and Information Transmission,"  (in Chinese) Journal of Financial Studies, 10, 1-22.
●Chen, Yi-Ting, Ray Yeutien Chou and Chung-Ming Kuan (2000) "Testing time reversibility without moment restrictions,"Journal of Econometrics, 95(1), 199-218.
●Chang, Eric, Ray Yeutien Chou and Edward Nelling (2000) "Market Volatility and the Demand for Hedging in Stock Index Futures," Journal of Futures Markets, 20(2), 105-125.
●Chou, Ray Yeutien, Jin-Long Lin and Chung-Su Wu (1999) "Market Volatility and the Demand for Hedging in Stock Index Futures," Pacific Economic Review, 4(3), 305-320.
●Bollerslev, Tim, Ray Yeutien Chou and Kenneth Kroner (1998)"ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence," in Robert Jarrow (ed.), Volatility: New Techniques for Pricing Derivatives and Managing Financial Portfolios, pp. 59-93. Published by RISK. (This paper originally appeared in Journal of Econometrics, 52(1-2), 5-59, 1992)
●Ray Yeutien Chou and Richard Cebula (1996) "Determinants of Geographic Differentials in the Savings and Loan Failure Rate - A Heteroskedastic TOBIT Estimation," Journal of Financial Services Research, 10(1), 5-25.
●Chou, Ray Yeutien, Robert Engle and Alex Kane(1992)  "Measuring Risk Aversion from Excess Returns on A Stock Index," Journal of Econometrics, 52, 201-224.
●Chou, Ray Yeutien (1988) Volatility Persistence and Stock Valuations: Some Empirical Evidence Using GARCH,"Journal of Applied Econometrics, 3, 279-294.

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