Research Areas
- Quantitative
finance, stochastic process analysis, social networks
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Education
1970 - 1974
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B.S., Mathematics, Soochow University
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1978 - 1984
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Ph.D., Mathematics, Wayne State University,
U.S.A.
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Professional Experience
1998 - present
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Professor, Department of Finance, National
Taiwan University.
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1997 - present
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Research Fellow, Institute of Statistical
Science, Academia Sinica.
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1991 - 1992
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Professor, Institute of Applied Mathematics,
National Sun Yat-sen University.
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1984 - 1997
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Associate Research Fellow, Institute of
Statistical Science, Academia Sinica.
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1988 - 1991
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Associate Professor, Institute of Applied
Mathematics, National Sun Yat-sen University.
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Editorial and Meeting
Organizer
- Managing
Editor, Statistica Sinica, 1996 - 1999.
- Associate
Editor, Statistica Sinica, 1999 - 2002.
- Chief
Editor, Journal of the Chinese Statistical Association, 1999 -
2002.
- Chief
Editor, Statistica Sinica, 2002 - 2005.
- Organizing
Invited Paper Session of JSM, 2003 and 2005.
- Organizing
the International Statistics and Probability Conference in Memory of
Ching-Zong Wei, 2005.
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Services
- Statistics
Review Panel, Division of Natural Sciences, National Science Council
ROC, 1998 - 1999.
- Chairman,
Statistics Review Panel, Division of Natural Sciences, National
Science Council ROC, 1999 - 2001.
- Academic
Committee of Chinese Statistical Association of Taiwan, 2006, 2007 and
2008.
- Oversight
Committee appointed by the Ministry of Education ROC for development
grants to private universities, 2005 - 2009.
- Accreditor
appointed by the Hong Kong Baptist University, 2006.
- Accreditor
for Taiwan's university programs in Mathematics and Statistics, 2008.
- Review
Committee appointed by the Ministry of Education ROC for development
grants to private universities, 2008 - 2011.
- Supervisor,
Taiwan Financial Holding Company, 2010 - 2013.
- Board of
Director, Taiwan Financial Holding Company, 2013 - 2016.
- Statistics
Review Panel, Division of Natural Sciences, Ministry of Science and
Technology ROC, 2014 - 2015.
- Advisory
Consultant, Department of Statistics, Feng Chia University. 2014 -
2015.
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Grants and Research Supports
- Research
grants funded by National Science Council ROC annually since 1984.
- Co-PI of
the New Theme Research Project: Modeling the Structure and Dynamic
of Large Social Networks: Taiwan-based Data Development and Analysis
funded by Academia Sinica (2011-2013).
- Subproject
Co-PI of the Thematic Research Project: Social Media and Contingent
Network Structures: Events, Boundaries, and Diffusion funded by
Academia Sinica (2014-2016).
- Subproject
PI of the Thematic Research Project: Social Network and Diffusion of Financial Behaviors: Survey,
Experiment, and Social Media Research Approaches funded by
Academia Sinica (2014-2016).
- Co-PI of
the Thematic Research Project: Tracking
Digital Footprints of Network Diversity and Well-being funded by
Academia Sinica (2017-2019)
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Honors and Awards
- Research
scholarship awarded by National Science Council, R.O.C., since 1984.
- Bharucha-Reid
Outstanding Ph.D. Award of Wayne State University, 1986.
- Outstanding
Teacher Award, School of Liberal Arts, National Sun Yat-sen University, 1990.
- Outstanding
Young Scholar Research Award, Academia Sinica,
R.O.C., 1997.
- Outstanding
Research Award, National Science Council, R.O.C., 1997.
- Outstanding
Research Award, National Science Council, R.O.C., 2000.
- Outstanding
Service Award 2008, International Chinese Statistical Association.
- Distinguished
Alumni Award (傑出校友), Soochow University, 2015.
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Publications
(A)
Refereed Articles
- Tze-Chien Sun and Hwai-Chung Ho (1986). Limit theorems of non-linear
functions for stationary Gaussian processes. In Dependence in
Probability and Statistics : A Survey of
Recent Results, eds. E. Eberlein and M. Taqqu, Birkhäuser, pp.
3-19.
- Hwai-Chung Ho
and Tze-Chien Sun (1987). A central limit
theorem for non-instantaneous filters of a stationary Gaussian
process. Journal of Multivariate Analysis 22,144-155.
[link]
- Hwai-Chung Ho
and Chao-Min Hsu (1990). Limiting distributions for non-linear functions
of stationary Gaussian processes with multiplicative noise (Chinese). Journal
of Chinese Statistical Association 28, 185-196. [link]
- Hwai-Chung Ho
and Tze-Chien Sun (1990). Limiting
distributions of nonlinear vector functions of stationary Gaussian
processes. Annals of Probability 18, 1159-1173. [link]
- Hwai-Chung Ho
and Tze-Chien Sun (1991). A mixture-type
limit theorem for nonlinear functions of Gaussian sequences. Journal
of Theoretical Probability 4, 407-415. [link]
- Hwai-Chung Ho
(1992). A non-central limit theorem for non-linear functions of
Gaussian processes with ψ-mixing multiplicative noise. Proceedings
of the National Science Council - Part A 16, 63-66.
- Hwai-Chung Ho
(1992). On limiting distributions of nonlinear functions of noisy
Gaussian sequences. Stochastic Analysis and Applications 10,
417-430. [link]
- Hwai-Chung Ho
(1994). A note on the exponential bounds for sequences of long-range
dependence. Soochow Journal of Mathematics 20, 595-602.
(Special issue in memory of late professor Tsing-Huoa
Teng.) [link]
- Hwai-Chung Ho
(1995). On the strong uniform consistency of density estimation for
strongly dependent sequences. Statistics & Probability Letters
22, 149-156. [link]
- Hwai-Chung Ho
(1995). The law of the iterated logarithm for non-instantaneous
filters of strongly dependent Gaussian sequences. Journal of
Theoretical Probability 8, 347-360. [link]
- Hwai-Chung Ho
and Tailen Hsing
(1996). On the asymptotic joint distribution of the sum and maximum of
stationary normal random variables. Journal of Applied Probability
33, 138-145. [link]
- Hwai-Chung Ho
and Tailen Hsing
(1996). On the asymptotic expansion of the empirical process of long memory
moving averages. Annals of Statistics 24,
992-1024. [link]
- Hwai-Chung Ho
(1996). On central and non-central limit theorems in density
estimation for sequences of long-range dependence. Stochastic
Processes and their Applications 63, 153-174. [link]
- Kaung-Chi
Haung, Nai-Ping
Ku, Hsueh-Erh Liu, Hwai-Chung
Ho, and Jeng Wei (1996). Factors related to
life quality of adult after heart transplantation (Chinese). Journal
of Nursing Research 4, 333-344. [link]
- Hwai-Chung Ho
and Tailen Hsing
(1997). Limit theorems for functionals of moving averages. Annals
of Probability 25, 1636-1669. [link]
- Hwai-Chung Ho
(1998). On almost sure representations for long memory sequences. Journal
of the Korean Mathematical Society 35, 741-753. (Special
issue for the regional conference of Bernoulli Society, Feb. 1998,
Korea.) [link]
- Hwai-Chung Ho
and Chien-Fu Lin (1998). Comments on “Real
and spurious long-memory properties of stock market data” by I. N. Lobato
and N. E. Savin. Journal of Business and
Economic Statistics 16, No. 3, 272. [link]
- Hwai-Chung Ho
(1999). A note on first passage times of stationary sequences. Statistica Sinica
9, 725-733. [link]
- Hwai-Chung Ho
and William P. McCormick (1999). Asymptotic distribution of sum and
maximum for Gaussian processes. Journal of Applied Probability 36,
1031-1044. [link]
- Hwai-Chung Ho
(2001). Cointegration and Long-Memory Models, Lecture Notes, Institute
of Statistical Science, Academia Sinica.
- Hwai-Chung Ho
and Chun-Hsiu Chen (2001). A conversation with Yuan Shih Chow
(Chinese). Journal of the Chinese Statistical Association 39,
23-44. [link]
- Hwai-Chung Ho,
Chun-Hsiu Chen, and Ren-Hau Hsiao (2002). A
conversation with George C. Tiao (Chinese). Journal
of the Chinese Statistical Association 40, 275-302. [link]
- Hwai-Chung Ho
(2002). On functionals of linear processes with estimated parameters. Statistica Sinica
12, 1171-1190. [link]
- Hwai-Chung Ho
and Tailen Hsing
(2003). A decomposition for generalized U-statistics of long-memory
linear processes. In Theory and Applications of Long-Range
Dependence, eds. Paul Doukhan, Georges
Oppenheim and Murad S. Taqqu, Birkhäuser, pp. 143-155.
- Tsung-Lin
Cheng and Hwai-Chung Ho (2005). Asymptotic
normality for non-linear functionals of non-causal linear processes
with summable weights. Journal of Theoretical Probability 18,
345-358. [link]
- Hwai-Chung Ho
and Nan Jung Hsu (2005). Polynomial trend regression with long-memory
errors. Journal of Time Series Analysis 26,
323-354. [link]
- Hwai-Chung Ho
and Grace S. Shieh (2006). Two-stage U-statistics for hypothesis
testing. Scandinavian Journal of Statistics 33,
861-873. [link]
- Hwai-Chung
Ho, Shih-Chin Lee and Hsiou-Wei Lin (2006).
Gambler's fallacy in the Taiwan Lotto Market. Taiwan Economics
Review 34, 417-444. [link]
- Hwai-Chung Ho
(2006). Estimation errors of the Sharpe ratio for long-memory
stochastic volatility models. In Time Series and Related Topics: in
Memory of Ching-Zong Wei, eds. Hwai-Chung Ho, Ching-Kang Ing, and Tze Leung Lai, IMS Lecture Notes and Monograph
Series Vol. 52, pp. 165-172. [link]
- Tsung-Lin
Cheng and Hwai-Chung Ho (2006). Central
limit theorems for instantaneous filters of linear random fields on Z2.
In Random Walk, Sequential Analysis and Related Topics: A
Festschrift in Honor of Yuan- Shih Chow, eds. A. C. Hsiung, Z. Ying and C. H. Zhang, World Scientific,
pp. 71-84. [link]
- Hwai-Chung Ho
and Peiyu Yang (2007). A note on the Sharpe
ratio for a class of generalized stochastic volatility processes. Journal
of the Chinese Statistical Association 45, 340-354. [link]
- Tsung-Lin
Cheng and Hwai-Chung Ho (2008). On Berry-Esseen bounds for non-instantaneous filters of
linear processes. Bernoulli 14, 301-321. [link]
- Tsung-Lin
Cheng, Hwai-Chung Ho and Xuenwen
Lu (2008). A note on asymptotic normality of kernel estimation for
linear random fields on Z2. Journal of
Theoretical Probability 21, 267-286. [link]
- Hwai-Chung
Ho, Tsun-Siou Lee and Hung-Chou Tsai (2009).
The pricing measure for geometric Levy processes under incomplete
financial markets. Journal of Financial Studies 17,
107-142. [link]
- Hwai-Chung Ho
and Fang-I Liu (2010). Estimation of short- and long-term VaR for long-memory stochastic volatility models.
In Handbook of Quantitative Finance and Risk Management Vol. 2,
eds. Cheng-Few Lee, Alice C. Lee and John Lee, Springer, pp.
1409-1415. [link]
- Hwai-Chung Ho,
Sharon S. Yang and Fang-I Liu (2010). Evaluating quantile reserve for
equity-linked insurance in a stochastic volatility model: long vs.
short memory. ASTIN Bulletin, Journal of International Actuarial
Association 40, 669-698. [link]
- Hwai-Chung Ho
and Fang-I Liu (2010). On empirical distribution of long-memory
stochastic volatility processes. Journal of the Chinese Statistical
Association 48, 31-44. [link]
- Hwai-Chung Ho
and Chien-Chih Lin (2011). Influence of heterogeneous beliefs on
volatility when agents' degree of confidence differs. Applied Economics
Letters 18, 955-959. [link]
- Ruei-Min Lin,
Hwai-Chung Ho, and Kuan-Ta
Chen (2011). Bot detection in rhythm games: a physiological approach. Proceedings
of the 8th International Conference on Advances in Computer
Entertainment Technology (ACE '11). [link]
- Shih-Chin
Lee, Joseph J. Tien and Hwai-Chung Ho
(2012). Estimating the price elasticity of demand for lotto from
conscious and quick selection prospect. The Empirical Economics
Letters 11, 9-16.
- Hwai-Chung Ho
and Chien-Chih Lin (2012). How do heterogeneous beliefs influence
asset volatility? Pacific Economic Review 17,
601-616. [link]
- Hongwei
Chuang and Hwai-Chung Ho (2013).
Measuring the default risk of sovereign debt from the perspective of
network. Physica A: Statistical
Mechanics and its Applications 392, 2235-2239. [link]
[pdf]
- Ting
Zhang, Hwai-Chung Ho, Martin Wendler, and
Wei Biao Wu (2013). Block sampling under strong dependence. Stochastic
Processes and their Applications 123, 2323-2339. [link]
[pdf]
- Yang-chih Fu, Hwai-Chung Ho,
and Hsiu-Man Chen (2013). Weak ties and contact initiation in everyday
life: Exploring contextual variations from contact diaries. Social
Networks 35, Number 3,
279-287. [link]
[pdf]
- Hongwei
Chuang and Hwai-Chung Ho (2014). Implied
price risk and momentum strategy. Review of Finance 18, Issue 2, 591-622. [link] [pdf]
- Hwai-Chung Ho
(2015). Sample quantile analysis for long-memory stochastic volatility
models. Journal of Econometrics
189, Issue 2, 360-370.
[link]
- Hwai-Chung
Ho, Hung-Yin Chen, and Henghsiu Tsai (2016).
Value at risk for integrated returns and its applications to equity
portfolios. Statistica Sinica
26, Number 4, 1631-1648.
[link]
- Sallaberry Arnaud,
Yang-chi Fu, Hwai-Chung Ho and Kwan-Liu Ma
(2016). Contact Trees: Network Visualization beyond Nodes and Edges. PLOS ONE 11(2): e0149324. [link]
- Hwai-Chung Ho
and Hsiao-Chung Wang (2017). Momentum lost and found in corporate bond
returns. Journal of Financial
Markets (MOST Finance Atier-1). Accepted. [link]
- Hwai-Chung Ho
and Wei-Che Tsai (2018). Price delay and post-earnings announcement
drift anomalies: The role of option-implied betas. The North American Journal of
Economics and Finance. Available online in September 2018. (SSCI)
[link]
- Hwai-Chung
Ho, Shih-Chin Lee and Hsiou-wei Lin (2018).
Modelling of how lotto players select their number combinations
dynamically. International
Gambling Studies. Available online in October 2018. (SSCI) [link]
- Henghsiu Tsai, Hwai-Chung Ho and Hung-Yin Chen (2018).
Non-parametric inference on risk measures for integrated returns. To
appear in Handbook of Financial
Economics, Mathematics, Statistics, and Technology, edited by
Cheng-Few Lee.
(B)
Conference Articles
- Hwai-Chung
Ho, Yang-chi Fu, Ming-yi Chang, Wei-Chung
Liu, and Miao-Chen Chiang (2017). Contact Preference on Social Media:
A Novel Approach to Rank Network Positions. 2017 European Social Network Conference.
(C)
Working Papers
- Chun-Yo Chen and Hwai-Chung
Ho (2018). Price Risk and Momentum around the World: Buy Low and Sell
High. [pdf]
(D)
Books
- Hwai-Chung
Ho, Ching-Kang Ing and Tze Leung Lai (2006).
Time Series and Related Topics: in Memory of Ching-Zong Wei. IMS Lecture Notes and Monograph
Series Vol. 52. [link]
(E)
Patents
- 李世欽, 何淮中, 莊宏瑋:金融商品異常交易行為之偵測方法及執行金融商品異常交易行為之偵測方法之資訊處理裝置 (S.C
Lee, H.-C. Ho, and H. Chuang. Method for detecting abnormal
transactions of stock markets using titular accounts) (R.O.C. Patent I
367452, July 2012)
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