李享泰

李享泰，男，福建金门人，2005年于美国华盛顿州立大学获经济学博士学位，华侨大学经济与金融学院特聘教授，主要研究方向包括财金时间序列、多变量马可夫状态转换GARCH、动态期货避险等，已在《Journal of Banking & Finance》、《Journal of Empirical Finance》、《Journal of Futures Markets》、《Finance Research Letters》、《International Review of Financial Analysis》、《Applied Economics》等期刊发表过相关学术论文。

联系方式：福建省泉州市丰泽区城华北路269号华侨大学经管楼

电子邮件：sagerlee@hqu.edu.cn

主要研究领域

研究领域：财金时间序列、多变量马可夫状态转换GARCH、动态期货避险等

教育经历

2002.8-2005.5 : 美国华盛顿州立大学 经济学 博士

工作与研修经历

2011.8-2022.1 教授  台湾暨南大学 财务金融学系

2008.8-2011.7 系主任  台湾暨南大学 财务金融学系

2008.8-2011.7 副教授  台湾暨南大学 财务金融学系

2005.8-2008.7 助理教授 台湾暨南大学 财务金融学系

承担或参与的项目

1. 2021: 使用狀態轉換非線性自我迴歸相關係數模型進行最佳期貨避險A Regime-switching Nonlinear Autoregressive Correlation Model for Optimal Futures Hedging (台湾科技部计划)

2. 2020: 加速状态转换一般化自我回归得分驱动关联结构模型在最适期货避险上的应用  An Accelerated Switching Generalized Autoregressive Score-driven Copula model for optimal futures hedging (台湾科技部计划)

3. 2019: 利用马可夫状态转换Cholesky GARCH模型直接估计最适避险比率的动态  A Markov regime-switching Cholesky GARCH model for directly estimating the dynamic of optimal hedge ratio (台湾科技部计划)

4. 2018: 利用状态转换实时关联结构GARCH模型进行最佳期货避险  A Regime Switching Real-Time Copula GARCH Model for Optimal Futures Hedging (台湾科技部计划)

5. 2017: 内生状态转换动态下指数期货对产业股价风险的交叉避险绩效The Effectiveness of Cross Hedging Stock Sector Price Risk with Index Futures under Endogenous Regime Switching Dynamic (台湾科技部计划)

论文、著作与教材

1. 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】

2. Lee, H. T., 2019. An Asynchronous Regime Switching GO GARCH Model for Optimal Futures Hedging. Global Business & Finance Review 24, 65–78.

3.   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】* (Corresponding author)

4. Hsu, W. C., Lee, H. T., 2018. Cross Hedging Stock Sector Risk with Index Futures by Considering the Global Equity Systematic Risk. International Journal of Financial Studies 6, 44. (Corresponding author)

5. 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, 1124–1140. 【SSCI】(Corresponding author)

6. 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】

7. Sheu, H. J. Lee, W. C., Lee, H. T., 2015. The Cross Hedging Effectiveness of Oil Futures for Non-energy Commodities under Regime Switching. Journal of futures and options 8, 41–84. 【TSSCI】(Corresponding author)

8. Sheu, Her-Jiun, Lee, Hsiang-Tai (2014). Optimal futures hedging under multi-chain Markov regime switching. The Journal of Futures Markets 34, 173–202. 【SSCI】 (Corresponding author).

9. Lee, Hsiang-Tai, Wu, Jui-Yi, Lin, Shinn-Juh, Ko, Kuan-Cheng, A regime-switching approach for bank interest rate and foreign exchange risk management. Journal of Futures and Options, (2012) Vol 5(1), 1–36 【TSSCI】(Lead article)

10.   Sheu, Her-Jiun, Lee, Hsiang-Tai, A Full Jump Switching Level GARCH Model for Short-Term Interest Rate. Applied Financial Economics, Vol 22, Issue 6, March (2012), pages 479-489.【FLI】

11.   Lee, Hsiang-Tai, Tsang, Wei-Lun, Cross hedging single stock with American Depositary Receipt and stock index futures. Finance Research Letters, September (2011), Vol. 8, 146–157.【SSCI】

12.   Lee, Hsiang-Tai, Kang, Yi –Shin, Ko, Kuan-Cheng, An ICA-GARCH model for dynamic futures hedging (In Chinese). Journal of Management, April, (2011), Vol. 28, No. 2, 171–189.【TSSCI】

13.   Lee, Hsiang-Tai, Regime switching fractional cointegration and futures hedging. Applied Financial Economics, Aug (2011), Vol. 21 Issue 15, p1145-1157, 13p.【FLI】

14. Hsiang-Tai Lee, Peng Yang, A Multivariate Regime Switching Term Structure Model for Singapore Long and Short Rates. The Empirical Economics Letters, January, (2011), Vol. 10.【EconLit】

15. Lee, Hsiang-Tai, Regime switching correlation hedging 2010. Journal of Banking & Finance. November 34, 2728–2741.【SSCI】

16. Lee, Hsiang-Tai, Peng, Chih-Wei, A Markov regime switching time varying correlation GARCH model with asymmetric basis effect for energy futures hedging. Journal of Management, October, (2010), Vol. 27, No. 5, 479–501.【TSSCI】

17. Lee, Hsiang-Tai, Ko, Kuan-Cheng, Cross hedging effectiveness of Taiwan stock index futures. Journal of Futures and Options. May (2010), Vol. 3, p33-55.  【TSSCI】

18. Lee, Hsiang-Tai, Optimal futures hedging under jump switching dynamics. Journal of Empirical Finance, (2009), Vol. 16, p446–456.【SSCI】

19.  Lee, Hsiang-Tai, A Copula-based regime-switching GARCH model for optimal futures hedging, Journal of Futures Markets, (2009), Vol. 29, No. 10, p946–972.【SSCI】

20. Lee, Hsiang-Tai, Liu, Chia-Cheng, Hedging effectiveness of commodity portfolios: Evidence from the London Metal Exchange. The Empirical Economics Letters, July (2009), Vol. 8 No. 7.【EconLit】

21. Lee, Hsiang-Tai, Hedging Currency Futures under Time-Varying Correlation. The Empirical Economics Letters, February (2008), Vol.7, No. 2, p161-169. 【EconLit】

22. Lee, Hsiang-Tai, The Effects of Asymmetries and Regime Switching on Optimal Futures Hedging. Applied Financial Economics Letters, (2008), Vol. 4, No. 1-3, p133-136.

23. Lee, Hsiang-Tai, Yoder, Jonathan, A bivariate Markov regime switching GARCH approach to estimate time varying minimum variance hedge ratios. Applied Economics, Jun (2007), Vol. 39, Issue 10, p1253–1265, 13p.【SSCI】

24. Lee, Hsiang-Tai, Yoder, Jonathan, Optimal hedging with a regime-switching time-varying correlation GARCH model. Journal of Futures Markets, May (2007), Vol. 27 Issue 5, p495–516, 22p. 【SSCI】

25. Lee, Hsiang-Tai, McCluskey, Jill J., Yoder, Jonathan, Mexican Household Food Shopping Behavior across Shopping Formats. Journal of International Agricultural Trade and Development, (2007), Vol. 3, Issue 2, pp. 247-58.

26. Lee, Hsiang-Tai, Yoder, Jonathan K., Mittelhammer, Ron C., McCluskey, Jill J., A random coefficient autoregressive Markov regime switching model for dynamic futures hedging. Journal of Futures Markets, Feb (2006), Vol. 26 Issue 2, p103–129, 27p【SSCI】

获奖

1. 2018 World Conference on Business and Management (Best Paper Award)

2. 2010-2014年, 台湾科技部特殊优秀人才奖励

3. 2014 年,  台湾暨南大学 教学贡献奖

4. 2011、2012年度管理学报论文奖