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黃士峰 教授   Shih-Feng Huang 

黃士峰 教授   Shih-Feng Huang 

辦  公  室：M504室

聯絡電話：(03)422-7151#65458

傳真電話：(03)425-8602

電子郵件：huangsf@ncu.edu.tw 

個人網站：https://sites.google.com/site/huangsf525 

學歷 

Ph.D., Department of Applied Mathematics, National Sun Yat-sen University, 2008

經歷

Professor, Graduate Institute of Statistics, National Central University, 2022.8～present

研究領域 

Time Series Analysis

Financial Engineering

Financial Econometrics

Risk Management

Data Science

論文著作

1. Lai, W. T., Chen, R. B., and Huang, S. F.* (2025). A modified VAR-deGARCH model for asynchronous multivariate financial time series via variational Bayesian inference. International Journal of Forecasting 41, 345-360.

2. Pi, H. K., Guo, M. H., Chen, R. B., and Huang, S. F.* (2024). ECOPICA: Empirical copula-based independent component analysis. Statistics and Computing 34, 52.

3. Huang, S. F. and Wang, D. K.* (2023). A less volatile value-at-risk estimation under a semi-parametric approach. Asia-Pacific Journal of Financial Studies 52, 374-393. https://onlinelibrary.wiley.com/doi/10.1111/ajfs.12433

4. Chua, C. H., Guo, M. H., and Huang, S. F.* (2022). Using the kriging correlation for unsupervised feature selection problems. Scientific Reports 12, 11522. https://doi.org/10.1038/s41598-022-15529-4

5. Chen, Z. R., Tsai, W. C., Huang, S. F., Li, T. Y., and Song, C. Y.* (2022). Classification of plank techniques using wearable sensors. Sensors, 22, 4510.

6. Huang, S. F.* and Liao, Y. P. (2022). Housing price forecasting by generalized additive models. J. Chinese Stat. Assoc. 60, 95-124.

7. Chang, C. H., Chen, Z. B. and Huang, S. F.* (2022). Forecasting of high-resolution electricity consumption with stochastic climatic covariates via a functional time series approach. Applied Energy, 309, 118418.

8. Hong, T. P.*, Chiu, H. W., Huang, S. F., and Chen, Y. T. (2021). Deep-learning-based extraction of electronic component parameters from datasheets. In 2021 IEEE International Conference on Big Data (Big Data)(pp. 5501-5506). IEEE.

9. Huang, S. F.*, Chiang, H. H. and Lin, Y. J. (2021). A network autoregressive model with GARCH effects and its applications. PLOS ONE, 16, e0255422.

10. Huang, S. F.* and Lin, Y. W. (2020). A features fusion approach for multiple signal classification. In Proceedings of the ICS 2020 Workshop on AI Learning & Statistics.

11. Huang, S. F.*, Wen, Y. H., Chu, C. H. and Hsu, C. C. (2020). A shape approximation for medical imaging data. Sensors, 20, 5879. (MOST 108-2118-M-390-003-MY2) SCI

12. Huang, S. F.* and Lu, H. P. (2020). Classification of temporal data using dynamic time warping and compressed learning. Biomedical Signal Processing and Control, 57, 101781.

13. Huang, S. F. and Hsu, H. L.* (2020). Prediction intervals for time series and their applications to portfolio selection. REVSTAT-Stat. J., 18, 131-151.

14. Huang, S. F., Guo, M. H.* and Chen, M. R. (2020). Stock market trend prediction using functional time series approach. Quantitative Finance, 20, 69-79.

15. Huang, P. Y., Hsu, C. S., Hong, T. P.*, Wang, Y. Z., Huang, S. F., and Li, S. M. (2020) Automatic parameter setting in Hough circle transform. In: Nguyen N., Jearanaitanakij K., Selamat A., Trawiński B., Chittayasothorn S. (eds) Intelligent Information and Database Systems. ACIIDS 2020. Lecture Notes in Computer Science, vol 12033, pp. 527-535. Springer, Cham.

16. Chu, C. H., Lo Huang, M. N., Huang, S. F.* and Chen, R. B. (2019). Bayesian structure selection for vector autoregression model. Journal of Forecasting, 38, 422-439.

17. Huang, S. F.* and Lin, T. Y. (2018). A linearization of portfolio optimization problem with general risk measures under multivariate conditional heteroskedastic models. Asia-Pacific Journal of Financial Studies, 47, 449-469.

18. Huang, S. F.* and Ciou, G. C. (2018). Multi-asset empirical martingale price estimators for financial derivatives. Statistica Sinica, 28, 995-1008.

19. Huang, S. F.*, Lin, C. H. and Lin, T. Y. (2017). Portfolio selection with spectral risk measures. In Applied Quantitative Finance, 3rd Edition (Edited by W. Härdle, C. Chen, and L. Overbeck), Springer, GmbH Germany, 39-56.

20. Huang, S. F.* and Tsai, C. Y. (2015). Hedging barrier options in GARCH models with transaction costs. Australian & New Zealand Journal of Statistics, 57, 301-324.

21. hen, R. B., Guo, M. H.*, Haerdle, W. and Huang, S. F. (2015). COPICA－Independent component analysis via copula techniques. Statistics and Computing, 25, 273-288.

22. Chen, B., Huang, S. F. and Pan, G.* (2015). High dimensional mean-variance optimization through factor analysis. J. Multivariate Analysis, 133, 140-159.

23. Huang, S. F. and Guo, M. H.* (2014). Model risk of the implied GARCH-normal model. Quantitative Finance, 14, 2215-2224.

24. Huang, S. F.* and Tu, Y. T. (2014). Asymptotic distribution of the EPMS estimator for financial derivatives pricing. Computational Statistics & Data Analysis, 73, 129-145.

25. Huang, S. F.* (2014). A modified empirical martingale simulation for financial derivative pricing. Communications in Statistics – Theory and Methods, 43, 328-342.

26. Huang, S. F., Lee, Y. J. and Shih, S. H.* (2013). Path integral method for limiting distribution of an estimator arising from an AR(1)-process. Infin. Dimens. Anal. Quantum. Probab. Relat. Top., 16, 1350029.

27. Chan, N. H., Huang, S. F. and Ing, C.-K.* (2013). Moment bounds and mean squared prediction errors of long-memory time series. Annals of Statistics, 41, 1268-1298.

28. Huang, S. F. and Guo, M. H.* (2013). An optimal multi-step quadratic risk-adjusted hedging strategy. J. Korean Statistical Society, 42, 37-49.

29. Huang, S. F.* (2012). A strike-spread hedge of barrier options. Journal of Statistics and Computing, 14, 17-34.

30. Guo, M. H., Liu, C. A., and Huang, S. F.* (2012). Dynamic co-movement detection of high frequency financial data. J. Data Science, 10, 345-362.

31. Huang, S. F.* and Yu, J. F. (2012). Hedging rainbow options in discrete time. J. Chinese Stat. Assoc., 50, 1-20.

32. Huang, S. F.*, Liu, Y. C. and Wu, J. Y. (2012). An empirical study on implied GARCH models. J. Data Science, 10, 87-105.

33. Huang, S. F.* and Guo, M. H. (2012). Dynamic programming and hedging strategies in discrete time. In Handbook of Computational Finance, (Edited by J. C. Duan, J. Gentle, and W. Härdle), Springer, Berlin, 605-631.

34. Guo, M. H.*, Chang, Y. C. and Huang, S. F. (2011). Pricing American options in a jump diffusion model. Proceedings of the 14th IEEE International Conference on Computational Science and Engineering (CSE-2011), 221-228.

35. Huang, S. F.* and Huang, J. Y. (2009). Hedging strategies against path-dependent contingent claims. J. Chinese Stat. Assoc., 47, 194-218.

36. Huang, S. F. and Guo, M. H.* (2009). Financial derivative valuation – A dynamic semiparametric approach. Statistica Sinica, 19, 1037-1054.

37. Huang, S. F.* and Guo, M. H. (2009). Valuation of multidimensional Bermudan options. In Applied Quantitative Finance, 2nd Edition (Edited by W. Härdle, N. Hautsch, and L. Overbeck), Springer, Berlin, 295-309.

38. Myers, J.*, Huang, S. F., and Tsay, J. S. (2007). Exact conditional inference for two-way randomized Bernoulli experiments. J. Stat. Softw., 21, Code Snippet 1.

39. Guo, M. H.* and Huang, S. F. (2001). Power approximations for test statistics with dominant components. Statistica Sinica, 11, 675-689

教授課程 

Mathematical Statistics

Financial Time Series

Statistical Methods for Finance

Statistical Practice

 Statistical Inference