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周雨田

周雨田

兼任研究員

Ph.D. in Economics, University of California, San Diego (1988)

研究領域: Econometrics, Financial Markets, Time Series Analysis


Email : rchou at econ.sinica.edu.tw

電話 : 02-2782-2791#321

CV

  • Ph.D. in Economics, University of California, San Diego (1988)

  • 經濟計量
  • 財務經濟
  • 總體與貨幣

  • Volatility modeling and risk management
  • Macroeconomic forecasting and policy analysis
  • Financial markets and institutions
  • Asset pricing

  • Adjunct Research Fellow, Institute of Economics, Academia Sinica (8/2020-)

  • Research Fellow, Institute of Economics, Academia Sinica (3/2005-7/2020)
  • Adjunct Professor, National Chiao Tung University (3/2005-)
  • Visiting Scholar, Stern School of Business, New York Universty of. (2/2013-6/2013)
  • Adjunct Professor, Graduate School of Business, Fordham Universty (2/2013-6/2013)
  • Associate Research Fellow Institute of Economics, Academia Sinica (6/1995-3/2005)
  • Adjunct Associate Professor National Chiao Tung University (9/2004-3/2005)
  • Visiting Scholar, Graduate School of Business, Universty of. Chicago (9/2000-3/2001)
  • Adjunct Associate Professor National Central University (9/1995-6/2004)
  • Adjunct Associate Professor National Taiwan University (9/1995-2/1996)
  • Assistant Professor Georgia Institute of Technology (9/1988-6/1995)

  • Ranked 4 of 235 economists in Taiwan, among top 3% in Asia. Also among top 3% in the world in number of citations. See IDEAS, RePEc, October, 2020.
  • Albert Nelson Marquis Lifetime Achievement Award 2017, 2018.
  • Listed in Marquis Who’s Who in the World, 2004, 2012-13, 2015, 2017-20.
  • Listed in Who's Who in Asia 2017.
  • Listed in Who’s Who in Economics, Edward Elgar Publishing Ltd., 2003.
  • Third most cited papers in Journal of Econometrics, Vol.1-150, 2009.
  • Cited in the Press Release for the 2003 Bank of Sweden Prize in Economic Sciences in Memory of Alfred Nobel.
  • The article Bollerslev/Chou/Kroner (1992) is ranked first as the most frequently cited papers among all articles published in Journal of Econometrics in 1990-2000 and ranked 3rd in 1980-2000. See Dirkmaat, Journal of Econometrics, 2001, 100.

  • Taipei Economic Inquiry (1998-)
  • Review of Financial Risk Management (2005-)
  • Journal of Management & Systems (2007-)
  • Taiwan Economic Forecast and Policy (2009-)

  • Hsin-Feng Yang, Chih-Liang Liu, and Ray Yeutien Chou(2020), "Bank Diversification and Systemic Risk", Quarterly Review of Economics and Finance, 77 311-326
  • Dost Torun, Tzu-Pu Chang, and Ray Yeutien Chou(2020), "Causal Relationship between Spot and Futures Prices with Multiple Time Horizons: A Nonparametric Wavelet Granger Causality Test", Research in International Business and Finance, 52 (C) 101-115 , 相關連結
  • Ray Yeutien Chou, Tso-Jung Yen, and Yu-Min Yen(2020), "Macroeconomic Forecasting Using Approximate Factor Models with Outliers", International Journal of Forecasting, 36 (2) 267-291
  • Chang, T.P. and Ray Yeutien Chou(2018), "Anchoring Effect on Macroeconomic Forecasts: A Heterogeneity Approach", Romanian Journal of Economic Forecasting, 21 (4) 134-147
  • Chou, Ray Yeutien, C.C. Wu and S.Y. Yang(2017), "Volatility Spillover in the US and European Equity Markets: Evidence from Ex-ante and Ex-post Volatility Indicators", Review of Securities and Futures Markets, 29 (3) 111-148
  • Chou, Ray Yeutien,Y.M. Yen and T.R. Yen(2017), "Risk Evaluations with Robust Approximate Factor Models", Journal of Banking and Finance, 82 (na) 244-264
  • Chou, Ray Yeutien, M.H. Chiang and L.M. Wang(2016), "Outlier Detection in the Lognormal Logarithmic Conditional Autoregressive Range Model", Oxford Bulletin of Economics and Statistics, 78 (1) 126-144
  • Chou, Ray Yeutien, HF Yang and CL Liu(2014), "Interest Rate Risk Propagation: Evidence from the Credit Crunch", North American Journal of Economics and Finance, 28 (N/A) 242-264
  • Chou, Ray Yeutien, LC Liao and BH Chiu(2013), "Anchoring Effect on Foreign Institutional Investors' Momentum Trading Behavior: Evidence from the Taiwan Stock Market", North American Journal of Economics and Finance , 26 (C) 72-91
  • Chou, Ray Yeutien, Jin-Li Hu and Tzu-Pu Chang(2013), "Market conditions and the effect of diversification on mutual fund performance: should funds be more concentrative under crisis?", Journal of Productivity Analysis, 41 (1) 141-151
  • Chou, Ray Yeutien, Tzu-Pu Chang, Jin-Li Hu and Lei Sun(2012), "The Sources of Bank Productivity Growth in China during 2002-2009: A Disaggregation View", Journal of Banking and Finance, 36 (7) 1997-2006
  • Chou, Ray Yeutien, Wu, Chun-Chou and Yang, Y-Nung(2012), "The Euro's Impacts on the Smooth Transition Dynamics of Stock Market Volatilities", Quantitative Finance, 12 (2) 169-179
  • Chou, Ray Yeutien and Nathan Liu(2010), "The Economic Value of Volatility Timing Using a Range-based Volatility Model", Journal of Economic Dynamics and Control, 34 (11) 2288-2301
  • Chou, Ray Yeutien, Yijie Cai and Dan Li(2009), "Explaining International Stock Correlations with CPI Fluctuations and Market Volatility", Journal of Banking & Finance, 33 (11) 2026-2035
  • Chou, Ray Yeutien and Yijie Cai(2009), "Range-based Multivariate Volatility Model with Double Smooth Transition in Conditional Correlation", Global Finance Journal, 20 (2) 137-152
  • Chou, Ray Yeutien, Chun-Chou Wu and Nathan Liu(2009), "Forecasting Time-Varying Covariance with Range-Based Dynamic Conditional Correlation Model", Review of Quantitative Finance and Accounting, 33 (4) 327-345
  • Chou, Ray Yeutien(2006), "Modeling the Asymmetry of Stock Movements Using Price Ranges", Advances in Econometrics, 20A (na) 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, 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 (na) 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 (na) 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, na (na) 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 (na) 201-224
  • Chou, Ray Yeutien(1988), "Volatility Persistence and Stock Valuations: Some Empirical Evidence Using GARCH", Journal of Applied Econometrics, 3 (4) 279-294