| ◎近五年內研究成果
A. 期刊
(1) 劉淑鶯及紀穎鴻
(1999) 多重轉折點貝氏分析之應用,
中國統計學報,37卷第
2 期, 161-183頁
(2) S. I.
Liu (2001) Bayesian Model Determination for Binary Time series Data with
Applications. Computational Statistics & Data Analysis, 36, 461-473.
(#NSC 85-2121-M-008-012)
(3) S. I.
Liu (2002) Bayesian Forecasts for Cointegrated Models. Journal of
Forecasting, 21, 167-180. (#NSC86-2115-M-008-014)
B. 研討會論文
(1)
Bayesian Analysis for Threshold ARFIMA-GARCH Model (1999) Presented
at “International Workshop on Finalcial Statistics, 1999”
(2)
Bayesian Model Determination for Cointegrated Data (1999)
(#NSC89-2118-M-008-005)
Presented at “1999 Joint Statistical
Meeting”, Maryland, USA.
(3)
Model Building for Cointegrated Data (2002) (#NSC91-2118-M-128-001)
Presented at “2002 Taipei International Statistical Symposium’,
Taipei, Taiwan.
(4)
新月與滿月效應對股價報酬率之影響
(2002)（與曾昭玲副教授合著）
I. 九十一年統治研討會發表，東海大學，2002/12/01
II.第一屆全國行為財務理論與實證研討會發表（曾昭玲副教授報告），世新大學，2002/12/21
(5) Analyzing the Real Exchange Rate Using Treshold ARFIMA-GARCH Model: A
Bayesian Analysis(與何宗武合著)
(2003)第四屆全國實證經濟學研討會發表（何宗武副教授報告）國立東華大學
2003/04/27
C. 研究報告
(1)
Bayesian Model Determination for Cointegrated Data (2000)
(#NSC-89-2118-M-008-005)
(2)
Bayesian Analysis for Multiple Changes for the Long Memory
Parameter (2000) (#NSC-89-2118-M-008-020)
(3) Testing
for Multivariate Threshold Autoregression (2001) (#NSC-90-2118-M-008-007)
(4).
A Bayesian Analysis of Lunar Effects on Stock Returns (2002)（與曾昭玲副教授合著）
(5) Model
Building for Cointegrated Data (2003) (#NSC-91-2118-M-008-001)
(6)
Forecasting the Real Exchange Rtae using Threshold ARFIMA-GARCH Model:A
Bayesian Approcah (2003)（與何宗武教授合著）(#NSC-92-2415-H-128-004)
(7) The
Threshold GARCH Pricing Models: A Bayesian Approach (2004) NSC-93-2415-H-128-004)
(8) 三元樹GARCH選擇權評價模型─台灣上限型認購權證評價之實證研究
(2004)（與陳韻文（世新財金所碩士生）合著）
D. 獲國科會 86, 87, 88 及89年度甲種研究獎助
E. 國科會研究計畫
(1) Bayesian Forecasts for Cointegration System (#NSC-86-2115-M—0-014)
(2) Model Selection for Cointegrated Data via SSVS Method (#NSC-87-2118-M-008-009)
(3) Some Inferences for Repeated Measurement Model (#NSC-88-2118-M-008-004)
(4) Bayesian Model Determination for Cointegrated Data (#NSC-89-2118-M-008-005)
(5) Bayesian Analysis for Multiple Changes for the Long Memory Parameter (#NSC-89-2118-M-008-020)
(6) Testing for Multivariate Threshold Autoregression (#NSC-90-2118-M-008-007)
(7) Model Building for Cointegrated Data (#NSC-91-2118-M-128-001)
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