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发布时间: 2024年12月23日 09:51
现任职务
北京大学国家发展研究院/中国经济研究中心经济学教授
北京大学国家发展研究院学术委员会主任
《经济学季刊》副主编
北大国际(BiMBA)教授(MBA)
研究范围
计量经济学理论
时间序列分析
财务金融实证
教育背景
台湾东吴大学经济学学士(1980年)
台湾大学经济学硕士(1982年)
美国加州大学(圣地亚哥分校)经济学博士(1990年)
工作经历
1990-2000,美国南卡莱罗纳大学经济学院,副教授
1997-2000,Econometrician,NeuralNet RD Associates.
2001-2006,台湾大学经济学院,教授
2006年至今,北京大学经济研究中心,教授
学术成果
英文论文
(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
工作论文
(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)
项目
(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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