研究成果列表
單位名稱應用經濟學系教師姓名張光亮
教師分級教授專兼任專任
在校狀態在職行政職務

期刊論文(共計27筆)
序號學年度學期年度月份作者題目通訊作者作者順位期刊名稱卷數頁數關鍵字
10981200911Chang, Kuang-Liang (張光亮)Do macroeconomic variables have regimedependent effects on stock return dynamics?Evidence from the Markov regime switching model.第一順位Economic Modelling26 1283-1299  
2098120099Chang, Kuang-Liang (張光亮)Does the Risk-Return Relationship Depend on Risk Proxy and Distribution Specification? Evidence from US Stock and REIT Markets第一順位Empirical Economics Letters843-850  
30991201010Chang, Kuang-Liang* (張光亮), Chi-Wei HeDoes the Magnitude of Effect of Inflation Uncertainty on Output Growth Depend on the Level of Inflation第一順位The Manchester School78 126-148  
4099120109Chang, Kuang-Liang (張光亮)House Price Dynamics, Conditional Higher-Order Moments, and Density Forecasts第一順位Economic Modelling27 1029-1039  
51001201110Chang, Kuang-Liang (張光亮)The Optimal Value-at-Risk Hedging Strategy under Bivariate Regime Switching ARCH Framework第一順位Applied Economics43 2627-2640  
61001201110蔡怡純*,陳明吉,張光亮台灣不動產投資信託基金具有防禦性嗎? 第三順位證券市場發展季刊23 199-224  
7099220115Chang, Kuang-Liang (張光亮)The nonlinear effects of expected and unexpected components of monetary policy on the dynamics of REIT returns第一順位Economic Modelling28 911-920  
8099220117Chang, Kuang-Liang (張光亮), Nan-Kuang Chen and Ka-Yui Leung*Monetary Policy, Term Structure and Asset Return: Comparing REIT, Housing and Stock 第一順位Journal of Real Estate Finance and Economics43 221-257  
9100120118張光亮*、黃宗佑美國存託憑證與母國股票報酬間之動態關聯性-極端尾部相依性以及Kendall′s tau 之研究第一順位經濟研究47 305-356  
10100120121Chang, Kuang-Liang (張光亮)Volatility regimes, asymmetric basis effects and forecasting performance: An empirical investigation of the WTI crude oil futures market 第一順位Energy Economics34 294-306  
111011201211Chang, Kuang-Liang (張光亮)The time-varying and asymmetric dependence between crude oil spot and futures markets: Evidence from the mixture copulabased ARJI-GARCH model第一順位Economic Modelling29 2298-2309  
121011201212Chen Ho-Chyuan, Kuang-Liang Chang*(張光亮), Shih-Ti YuApplication of the Tobit model with autoregressive conditional heteroscedasticity for foreign exchange market interventions第二順位Japan and the World Economy24 274-282  
13100220122Chang, Kuang-Liang (張光亮)Stock return predictability and stationarity of dividend yield第一順位Economics Bulletin32 715-729  
14100220125Chang, Kuang-Liang (張光亮), Nan-Kuang Chen and Ka-Yui Leung*The dynamics of housing returns in Singapore: How important are the international transmission mechanisms第一順位Regional Science and Urban Economics42 516-530  
15100220126Chang, Kuang-Liang (張光亮)The impacts of regime-switching structures and fat-tailed characteristics on the relationship between inflation and inflation uncertainty第一順位Journal of Macroeconomics34 523-536  
16101120128Chang, Kuang-Liang (張光亮)Analysis of structural changes in the relationship among regional housing markets in Taiwan第一順位Economics Bulletin32 2220-2230  
17101220132Chang, Kuang-Liang (張光亮), Nan-Kuang Chen and Ka-Yui Leung*In the shadow of the United States: The international transmission effect of asset returns第一順位Pacific Economic Review18 1-40  
18101220133Liu Wen-Hsien* , Ching-Fan Chung, Kuang-Liang Chang(張光亮)Inventory change, capacity utilization and the semiconductor industry cycle第三順位Economic Modelling31 119-127  
19102120139Chang, Kuang-Liang (張光亮); Yu, Shih-TiDoes crude oil price play an important role in explaining stock return behavior第一順位Energy Economics39 159-168  
20102220144Chang, Kuang-Liang (張光亮); Yen, Ming-HuiThe magnitude and significance of macroeconomic variables in explaining regional housing fluctuations第一順位Economics Bulletin34 828-841  
21102220147Chang, Kuang-Liang (張光亮)The symmetrical and positive relationship between crude oil and nominal exchange rate returns第一順位North American Journal of Economics and Finance29 266-284  
221051201612Chang, Kuang-Liang (張光亮), Nan-Kuang Chen, Charles Ka Yui LeungLosing Track of the Asset Markets:the Case of Housing and Stock第一順位International Real Estate Review19 435-492  
23104220163Chang, Kuang-Liang (張光亮)Does the return-state-varying relationship between risk and return matter in modeling the time series process of stock return?第一順位International Review of Economics and Finance42 72-87  
24105120171Chang, Kuang-Liang (張光亮)Does REIT index hedge inflation risk? New evidence from the tail quantile dependences of the Markov-switching GRG copula第一順位North American Journal of Economics and Finance39 56-67  
251061201710Chang, Kuang-Liang (張光亮)A mixed dependence between the exchange rate and international crude oil returns:an application of dynamic mixture copula第一順位Emerging Markets Finance and Trade53 2347-2360  
26106120178Chang,Kuang-Liang (張光亮) and Shih-Ti YuAn investigation on the relationship between return and trading volume:asymmetric V-type or asymmetric increasing-type pattern第一順位Quantitative Finance17 1223-1241  
27106220182Chang, Kuang-Liang (張光亮)Asymmetric downside and upside co-movements between stock and REIT markets第一順位Applied Economics Letters25 78-82  

研究計畫(共計12筆)
序號學年度學期年度月份參與性質委辦單位計畫名稱開始日期結束日期經費
1095120068計畫主持人科技部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2006/08/012007/07/310
2096120078計畫主持人科技部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2007/08/012008/07/310
3099120108計畫主持人科技部原油價格之動態以及高階動差行為探討2010/08/012010/07/31416000
41001201108計畫主持人科技部運用mixture copula-based ARJI-GARCH 模型來制定動態期貨避險策略2011/08/012012/07/31409000
51011201208計畫主持人科技部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2012/08/012013/07/31527000
61021201308計畫主持人科技部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2013/08/012014/07/31530000
71031201408計畫主持人科技部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2014/08/012015/07/31436000
81041201508計畫主持人科技部利用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2015/08/012016/07/31531000
91051201608計畫主持人科技部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2016/08/012017/07/31580000
101061201708科技部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2017/08/012018/07/31806000
111071201808科技部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2018/08/012019/07/31695000
121081201908科技部金融壓力指標、經濟政策不確定性指標、與國際股票市場2019/08/012020/07/31672000