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本系師資

Faculty

  • 專任教師
  • 校內合聘教師
  • 兼任教師
  • 張光亮
    Kuang-Liang Chang
    教授
    研究領域
    Applied Econometrics and Time Series Analysis
    最高學歷
    國立台灣大學經濟學博士
    研究室
    國研5028
    電話
    5586
    E-mail
    kuangliangc@mail.nsysu.edu.tw
  • 經歷
  • 具匿名審稿制度之期刊與論文
  • 研究計畫
  • 研討會論文
  • 專書及專書論文
  • 研究獎勵
  • 嘉義大學應用經濟學系教授

    出版年月

    著作類別

    著作名稱

    作者

    收錄出處

    (1)

    2019-11

    期刊論文

    Are cyclical patterns of international housing markets interdependent?

    Chang, Kuang-Liang

    (單一作者)

    Economic Modelling

    (Accepted, SSCI, MOST Economic Ranking: B)

    (2)

    2019-7

    期刊論文

    Does the jump risk in the US market matter for Japan and Hong Kong? An investigation on the REIT market

    He, Chi-Wei, Kuang-Liang Chang* and Yung-Jang Wang

    (通訊作者)

    Finance Research Letters (Accepted, SSCI, MOST Finance Ranking: B+)

    (3)

    2018-11

    期刊論文

    The Asymmetric Effects of U.S. Large-Scale Asset Purchases on the Volatility of the Canadian Dollar Futures Market

    Jui-Chuan Della Chang and Kuang-Liang Chang*

    (通訊作者)

    The North American Journal of Economics and Finance (SSCI)

    (4)

    2018-10

    期刊論文

    An investigation on mixed housing-cycle structures and asymmetric tail dependences

    Chang, Kuang-Liang

    (單一作者)

    The North American Journal of Economics and Finance (Accepted, SSCI)

     

    (5)

    2018-02

    期刊論文

    Asymmetric downside and upside co-movements between stock and REIT markets

    Kuang-Liang Chang

    (單一作者)

    Applied Economics Letters (SSCI)

    (6)

    2017-10

    期刊論文

    A mixed dependence between the exchange rate and international crude oil returns: An application of dynamic mixture copula

    Chang, Kuang-Liang

    (單一作者)

    Emerging Markets Finance and Trade (SSCI)

    (7)

    2017-08

    期刊論文

    An investigation on the relationship between return and trading volume: asymmetric V-type or asymmetric increasing-type pattern

    Chang, Kuang-Liang* and Shih-Ti Yu

    (第一作者與通訊作者)

    Quantitative Finance

    (SSCI, MOST Economic Ranking: B、Finance Ranking: A-)

    (8)

    2017-01

    期刊論文

    Does REIT index hedge inflation risk? New evidence from the tail quantile dependences of the Markov-switching GRG copula

    Chang, Kuang-Liang

    (單一作者)

    The North American Journal of Economics and Finance (SSCI)

    (9)

    2016-12

    期刊論文

    Losing track of the asset markets: the case of housing and stock

    Chang, Kuang-Liang, Nan-Kuang Chen, and Ka Yui Leung

    (第一作者)

    International Real Estate Review (RePEC)

    (10)

    2016-03

    期刊論文

    Does the return-state-varying relationship between risk and return matter in modeling the time series process of stock return?

    Chang, Kuang-Liang

    (單一作者)

    International Review of Economics & Finance

    (SSCI, MOST Economic Ranking: B; MOST Finance Ranking: B+)

    109 專題研究計畫(一般研究計畫)  邊際分配之馬可夫狀態轉換機制與copula函數之馬可夫狀態轉換機制之關聯性對於國際股票市場相關性結構之影響

    108 專題研究計畫(一般研究計畫)  金融壓力指標、經濟政策不確定性指標、與國際股票市場

    107 專題研究計畫(一般研究計畫)  動態相依結構與動態相依強度於股票與匯率市場關聯性之重要性

    106 專題研究計畫(一般研究計畫)  區域房價關聯性以及房價向下僵固性-馬可夫狀態轉換相依機制之複合型 copula 設定之應用

    105 專題研究計畫(一般研究計畫)  具有馬可夫狀態轉換跳躍過程之多重馬可夫狀態轉換動態相關係數 GARCH 模型於動態避險策略以及金融資產相關性之探討

    104 專題研究計畫(一般研究計畫)  利用 Homm and Pigorsch (2012)所提出的經濟績效測度重新檢視不動產資產風險貼水迷思

    103 專題研究計畫(一般研究計畫)  能源期貨報酬與交易量之非線性關係-與時俱變混合型 copula方法在不同分量下之證據

    102 專題研究計畫(一般研究計畫)  股票與不動產信託基金規避通貨膨脹風險之能力-MS-AR-GARCH-SJC-Copula 設定之應用

    101 專題研究計畫(一般研究計畫)  利用馬可夫狀態轉換ARJI-GARCJH-TVTP 模型來調查原油價格變動對於股票價格以及股票風險值之影響

    100 專題研究計畫(一般研究計畫)  運用 mixture copula-based ARJI-GARCH 模型來制定動態期貨避險策略

    099 專題研究計畫(一般研究計畫)  原油價格之動態以及高階動差行為探討

    096 專題研究計畫(一般研究計畫)  總體經濟變數在不同狀態時期對股票報酬、波動與狀態轉換機率之影響:馬可夫狀態轉換模型之證據

    095 專題研究計畫(一般研究計畫)  最適風險值避險策略之制定:雙變量 regime switching AR-ARCH (SWARCH) 模型之運用

    1.Chang, Kuang-Liang and Chi-Wei He (2019), The asymmetric relationship between the stock and exchange rate markets: How important is the interaction between dynamic structure and dynamic intensity? WEAI 15th International Conference, Tokyo, March 21-24, 2019.

    2.Chang, Kuang-Liang and Jui-Chuan Della Chang (2018), International Portfolio Flows and Exchange Rate in the Commodity Exporting Economy. 台灣經濟學會2018年會,中華經濟研究院,台北,2018年12月5日。

    3.Chang, Kuang-Liang (2018), Are recession and recovery cycles in international housing markets synchronous or asynchronous? An investigation on US, UK, and Canadian housing markets. 2018 Asian Real Estate Society (AsRES) Annual International conference, South Korea, July 8-11, 2018.

    4.Chang, Kuang-Liang and Ka-Yui Leung (2018), Did the asset markets become more or less risky after the Global Financial Crisis? 2018 Asian Real Estate Society (AsRES) Annual International conference, South Korea, July 8-11, 2018.

    5.Chang, Jui-Chuan Della and Kuang-Liang Chang (2017), Investigating the dynamic dependence between exchange rate and overseas visits to the U.S. in a time-varying copula model. The 11th NCTU International Finance Conference, Taiwan, December 8, 2017;台灣經濟學會2017年會,清華大學,新竹,2017年12月16日。

    5.Chang, Kuang-Liang (2017), The relative importance of co-jump and idiosyncratic jump on the dynamic relationship between US and Asia securitized real estate markets. 2017 Annual Conference of Asian Real Estate Society (AsRES), Taiwan, July 9-12, 2017

    6.Chang, Kuang-Liang (2016), Assessing the economic index of riskiness and economic performance index: An investigation on real estate, REITs and stock markets, 2016 臺灣財務金融學會年會暨國際研討會,國立台北大學,新北市,2016年5月27-28日。

    7.張光亮,2016,不動產資產風險貼水迷思是否存在呢?,2016 年住宅學會年會暨論文研討會,屏東大學,屏東,2016年1月9日。

    8.Chang, Kuang-Liang (2016), An investigation on the magnitude of time-varying and quantile-varying relationship between price and trading volume: Asymmetric v-type or asymmetric increasing-type pattern, The 9th NCTU International Finance Conference, Hsinchu, January 8, 2016.

    9.Chang, Kuang-Liang (2015), An investigation on the magnitude of time-varying and quantile-varying relationship between price and trading volume: V-type or increasing-type pattern. 21st Computing in Economics and Finance, Taipei, June 20 -22, 2015.