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李享泰
发布人: 发布时间:2023/02/27 04:46

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个人简介:

李享泰,男,经济学博士,南昌大学经济与管理学院特聘教授,曾任职华侨大学经济与金融学院特聘教授、台湾暨南大学财务金融学系教授、特聘教授等职务,已在《Journal of Banking & Finance》、《Journal of Empirical Finance》、《International Review of Financial Analysis》、《Journal of Futures Markets》等金融核心期刊发表相关学术文章。


科研方向:

金融时间序列分析、金融风险管理、机制转换波动模型


教育背景:

2002-2005 华盛顿州立大学 经济学博士


代表性科研成果:

1. Lee, C. C., Lee, H. T., 2023. Optimal portfolio diversification with a multi-chain regime-switching spillover GARCH model. Global Finance Journal 55, 100808. (SSCI, 通讯作者)

2. Lee, H. T., 2022. Regime-switching angular correlation diversification. Finance Research Letters 50, In press. (SSCI,一区, Impact Factor 9.848, 独撰)

3.  Lee, H. T., Lee, C. C., 2022. A regime-switching real-time copula GARCH model for optimal futures hedging. International Review of Financial Analysis 84, In press. (SSCI,一区, Impact Factor 8.235, 第一作者)

4. Su, Z. F., Guo, Q. Q., Lee, H. T, 2022. Green finance policy and enterprise energy consumption intensity: Evidence from a quasi-natural experiment in China. Energy Economics 115, In press. (SSCI,一区, Impact Factor 9.252, 通讯作者)

5. Lee, H. T., 2022. A regime switching Cholesky GARCH model for directly estimating the dynamic of optimal hedge ratio. The Journal of Futures Markets 42, 389–412. (SSCI, 独撰)

6. Lien, D., Lee, H. T.*, Sheu, H. J., 2018. Hedging systematic risk in the commodity market with a regime‐switching multivariate rotated generalized autoregressive conditional heteroskedasticity model. The Journal of Futures Markets 38, 1514–1532. (SSCI, 通讯作者)

7. Lai, Y. S., Sheu, H. J. Lee, H. T., 2017. A Multivariate Markov Regime-Switching High-Frequency-Based Volatility Model for Optimal Futures Hedging. The Journal of Futures Markets 37, 11241140. (SSCI, 通讯作者)

8. Demirer, R., Lee, H. T., Lien, D., 2015. Does the stock market drive herd behavior in commodity futures markets? International Review of Financial Analysis 39, 32–44. (SSCI)

9. Sheu, H. J., Lee, H. T., 2014. Optimal futures hedging under multi-chain Markov regime switching. The Journal of Futures Markets 34, 173–202. (SSCI, 通讯作者).

10. Lee, H. T., Tsang, W. L., 2011, Cross hedging single stock with American Depositary Receipt and stock index futures. Finance Research Letters 8, 146–157. (SSCI, 通讯作者).

11. Lee, Hsiang-Tai, Regime switching correlation hedging 2010. Journal of Banking & Finance 34, 2728–2741. (SSCI, 独撰)

12. Lee, H. T., 2009, Optimal futures hedging under jump switching dynamics. Journal of Empirical Finance 16, 446–456. (SSCI, 独撰)

13. Lee, H. T., 2009, A Copula-based regime-switching GARCH model for optimal futures hedging, Journal of Futures Markets, 29, 946–972. (SSCI, 独撰)

14. Lee, H. T., Yoder, J., 2007, A bivariate Markov regime switching GARCH approach to estimate time varying minimum variance hedge ratios. Applied Economics 39, 1253–1265. (SSCI, 第一作者)

15. Lee, H. T., Yoder, J., 2007, Optimal hedging with a regime-switching time-varying correlation GARCH model. Journal of Futures Markets 27, 495–516. (SSCI, 第一作者)

16. Lee, H. T., Yoder, J., Mittelhammer, R. C., McCluskey, J. J., 2006, A random coefficient autoregressive Markov regime switching model for dynamic futures hedging. Journal of Futures Markets 26, 103–129. (SSCI, 第一作者)



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