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北京大學(xué)國(guó)家發(fā)展研究院/中國(guó)經(jīng)濟(jì)研究中心經(jīng)濟(jì)學(xué)教授
北京大學(xué)國(guó)家發(fā)展研究院學(xué)術(shù)委員會(huì)主任
《經(jīng)濟(jì)學(xué)季刊》副主編
北大國(guó)際(BiMBA)教授(MBA)
研究范圍
計(jì)量經(jīng)濟(jì)學(xué)理論
時(shí)間序列分析
財(cái)務(wù)金融實(shí)證
教育背景
臺(tái)灣東吳大學(xué)經(jīng)濟(jì)學(xué)學(xué)士(1980年)
臺(tái)灣大學(xué)經(jīng)濟(jì)學(xué)碩士(1982年)
美國(guó)加州大學(xué)(圣地亞哥分校)經(jīng)濟(jì)學(xué)博士(1990年)
工作經(jīng)歷
1990-2000,美國(guó)南卡萊羅納大學(xué)經(jīng)濟(jì)學(xué)院,副教授
1997-2000,Econometrician, NeuralNet R&D Associates.
2001-2006,臺(tái)灣大學(xué)經(jīng)濟(jì)學(xué)院,教授
2006年至今,北京大學(xué)經(jīng)濟(jì)研究中心,教授
學(xué)術(shù)成果
英文論文
(1)Chu, C.S. James and Halbert White (1992): "A Direct Test for Changing Trend",Journal of Business and Economics Statistics 10, 289 299.
(2)Chu, C.S. James (1994): "Segmentation of Piecewise Autoregressive Models: Asymptotic Properties of Sliding Window Approach", Proceedings of 3rd Annual Conference on Fuzzy Theory.
(3)Chu, C.S. James, K. Hornik and C.M. Kuan (1995): "A Moving Estimates Test for Parameter Instability", Econometric Theory 11, 699 720.
(4)Chu, C.S. James (1995): "Detecting Parameter Shift in GARCH Models", Econometric Reviews 14, 241 266.
(5)Chu, C.S. James (1995): "Time Series Segmentation: A Sliding Window Approach", Information Sciences, 1 28.
(6)Chu, C.S. James, K. Hornik and C.M. Kuan (1995), "MOSUM Test for Parameter Constancy", Biometrika 82, No 3, 603-617.
(7)Chu,C.S. James, M. Stinchcombe and H. White (1996), "Monitoring Structural Change", Econometrica 64, 1045-1066.
(8)Chu, C.S. James and Tung Liu (1996), "Stock Market Volatility: a Markov Switch Model", Proceedings of the 4th Annual Informatics Conference.
(9)Chu, C.S. James and Tung Liu (1996), "The Different Regimes of Stock Return and Volatility", Information Sciences 94, 179-190.
(10)Chu,C.S. James (1997), "Multiple Hypothesis Test for Parameter Constancy based on Recursive Residuals", Econometric Reviews 16, 353-360
(11)Levin, A., C.F. Lin and C.S. Chu (2002), “Panel Unit Root Test.” Journal of Econometrics 108, 1-24. .
(12)Chia-Shang James Chu, Tung Liu, and R.S. Rathinasamy, (2004), "Robust Test of the January Effect in Stock Market using Markov-Switchiong Model," Journal of Financial Management and Analysis 17, No. 1.
(13)Chia-Shang J. Chu and Hsinmin Lu (2005),"Random Walk Hypothesis in Exchange Rate Reconsidered,” Journal of Forecasting, Jul 2006. Vol. 25, Iss. 4; p. 275
工作論文
(14)"Control Type and Corporate Growth in the 30's".
(15)"Ranking Major League Baseball Pitchers: Bayesian Hierarchical Approach". (with Sung-Jin In. Under review.)
(16)"Predicting Stock returns with Different Regimes in Volatility". (with Sung-Jin In. Under review.)
(17)Testing for Mixtures of Distribution Hypothesis for Daily Stock Returns: A Bayesian Approach (with Sung-Jin In)
項(xiàng)目
(18)“Structural Change in Information Arrival Rate and The Mixture Distributions Hypothesis in Stock Markets”.
(19)“The Stability of Model Selection Process and Data Snooping”.
(20)“Gilbrat’s Law Revisited: Panel Unit Root Test with Cross Sectional Dependence.”
(21)“Evaluation of the Event forcast accuracy.”
(22)“Robust Market Timing Test.”
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