世新大學財務金融學系教授                                （2002.8-迄今）

國立成功大學國際經營管理所兼任教授              (2007.7-迄今）

國立台灣大學數學系兼任教授                            （2003.8-迄今）

國立中央大學統計研究所教授兼所長                （1988.8-1991.7）

國立中央大學統計研究所教授                            （1987.8-2002.7）

University of Chicago, Business School訪問學者  （1991.9-1992.6）

國立中央大學統計研究所副教授                        （1979.8-1987.7）

Princeton University, Department of Statistics訪問學者  （1982.9-1983.6）

淡江大學數學系數理統計組副教授                    （1978.8-1979.7）

美國Boston University數學系研究助理                （1975.1-1978.7）

國立台灣大學數學系助教                                    （1971.8-1974.7）

A. 期刊論文（均有審查制度）

Liu, S. I. and Y. C. Liu. (2008).Threshold-GARCH Option Pricing: A Trinomial Tree Approach. Proceeding of the “Second International Conference on Innovative Computing, Information and Control”, Kumamoto City International Center, Kumamoto, Japan, (2007/09/07), IEEE Press (IE)

陳韻文、劉淑鶯及王仁宏 (2005). 選擇權評價模型－台灣上限型認購權證評價之實證研究, 台灣金融財務季刊, 第六輯第三期, 123-140頁.

Liu, S. I. (2002). Bayesian Forecasts for Cointegrated Models. Journal of Forecasting, 21, 167-180. (#NSC-86-2115-M-008-014) (SCI)

Liu, S. I. (2001). Bayesian Model Determination for Binary Time series Data with Applications. Computational Statistics & Data Analysis, 36, 461-473. (#NSC-85-2121-M-008-012) (SCIE)

劉淑鶯及紀穎鴻 (1999). 多重轉折點貝氏分析之應用, 中國統計學報, 第37卷第 2 期, 161-183頁.

Liu, S. I. (1996). Model Selection for Multiperiod Forecasts. Biometrika, 83, 861-873. (#NSC-83-0208-M-008-031) (SCI)

Liu, S. I. (1995). Multiperiod Bayesian Forecasts for ARX Models. Annal of the Institute of Statistical Mathematics, 47, 211-244. (#NSC-82-0208-M-008-086) (SSCI)

Liu, S. I. (1995). Comparison of Forecasts for ARMA Models between a Random Coefficient Approach and a Bayesian Approach. Communications in Statistics, Theory and Method, 24, 319-333. (SCI)

Liu, S. I. (1994). Multiperiod Bayesian Forecasts for AR Models. Annal of the Institute of Statistical Mathematics, 46, 429-452. (#NSC-82-0208-M-008-086) (S SCI)

劉淑鶯及單窈娉 (1994). 花蓮地區地震統計模型分析, 中國統計學報, 第32卷第1期, 1-19頁. (#NSC-81-0208-M-008-510)

Liu, S. I. and Su, J. J. (1992). A Modification of the Edgeworth Approximation in the AR(1) model. Biometrical Journal, 34, 989-999. (#NSC-19-0208-M-008-015)

Liu, S. I. Tsay, Z. D. and Kuo, F. S. (1992). A Statistical Analysis of the SOUSY-VHF Radar Data. Journal of Atmospheric and Terrestrial Physics, 54, 401-414. (#NSC-79-0208-M-008-027) (SCI)

Liu, S. I. (1991). Some Robust and Easy Confidence Procedures with Long-Tailed Symmetric Distributions. Computational Statistics & Data Analysis, 12, 281-294. (#NSC-75-0201-M-008-02) (SCIE)

Kuo, F., S., Liu. H. Y. and Liu, S. I. (1990). Reduction of Nonstationarity and Parameter Analysis of VHF Radar Returns from the Atmosphere. Radio Science, 25, 517-526. (#NSC-77-0202-M-008-016) (SCI)

Ho, L. T., Wei, D., Cheng, K. F. and Liu, S. I. (1987). Statistical Analysis for the Prevalence and Incidence Rate of Diabetes Mellitus with Application to the Data in Taiwan Area. J. of the Chinese Statistical Association, 25, Special Issue, 107-118.

Kuo, F. S., Chen, C. C., Liu, S. I., Rottger, J. and Liu, C. H. (1987). Systematic Behavior of Signal Statistics of MST Radar Echoes from Clear Air and its Interpretation. Radio Science, 22, 1043-1052. (SCI)

Liu, S. I. (1986). Computational Efficiency in All Possible Regressions. Journal of Computation and Simulation, Vol. 26, 283-299.

Liu, S. I. (1985). Asymptotic Properties on Some Easy Estimators of Location. Journal of Indian Statistical Association, 23, 35-44.

Liu, S. I. (1985). Theory on Bilinear Time Series Models. Communications in statistics, Theory and Method, 14, 2549-2561. (SCI)

Liu, S. I. (1979). A Study of Mass Screening. Ph. D. Dissertation, Boston University.

Albert, A., Gertman, P., Louis, T. and Liu, S. I. (1987). Screening for the Early Disease. Mathematical Biosciences, 40, 61-109. (SCI)

B. 研討會論文

Liu, S. I. and Y. C. Liu. (2007).Threshold-GARCH Option Pricing: A Trinomial Tree Approach. Will be presented at “Second International Conference on Innovative Computing, Information and Control”, Kumamoto City International Center, Kumamoto, Japan, (2007/09/07).

劉淑鶯及曾昭玲 (2007) 臺灣衍生性金融商品之回溯與展望。發表於2007兩岸科技、

經濟與金融發展學術研討會，世新大學。(2007/05/28)

劉淑鶯及李俊民 (2007) 不動產抵押貸款證券化之評價─以中信銀RMBS為例。發表於2007行為財務學暨新興市場理論與實務研討會，世新大學 (2007/01/06)。

Liu, S. I. and Y. C. Liu. (2006). Pricing Vulnerable Options by Binomial Trees. Presented at “The Joint 14th Annual Pacific Basin Financial Economics and Accounting and 2006 Annual Financial Engineering Association of Taiwan Conference”, Taipei, (July 15, 2006).

劉淑鶯及何宗武 (2003). Analyzing the Real Exchange Rate Using Treshold ARFIMA-GARCH Model: A Bayesian Analysis. 發表於”第四屆全國實證經濟學研討會”，國立東華大學

    劉淑鶯及曾昭玲 (2002) 新月與滿月效應對股價報酬率之影響。發表於”九十一年統

計研討會”， 發表於東海大學及”第一屆全國行為財務理論與實證研討會”，世新大學。

Liu, S. I. (2002). Model Building for Cointegrated Data (#NSC91-2118-M-128-001) Presented at “2002 Taipei International Statistical Symposium”, Taipei, Taiwan.

Liu, S. I. (1999). Bayesian Model Determination for Cointegrated Data. (#NSC89-2118- M-008-005) Presented at “1999 Joint Statistical Meeting”, Maryland, USA.

 Liu, S. I. (1999). Bayesian Analysis for Threshold ARFIMA-GARCH Model. Presented

at “International Workshop on Finalcial Statistics”, Hong Kong.

C. 研究報告

姜龍臣及劉淑鶯 (2008).員工分紅配股課稅對股價影響之研究─以電子產業為例

Y. C. Liu and Liu, S. I. (2007). Pricing Vulnerable Options under Stochastic Assets and Liabilities

Liu, S. I. and Y. C. Liu. (2007). Threshold-GARCH Option Pricing: A Trinomial Tree Approach

Liu, S. I., P. C. Fan and Y. C. Liu. (2006). A Note on Pricing American Call Options with Known Dividend and Stochastic Interest Rates

劉淑鶯、陳俊廷及王仁宏 (2005). 脆弱美式選擇權評價─三元樹模型。

Liu, S. I. and Y. C. Liu (2005). Pricing Vulnerable Options by Binomial Trees.

Liu, S. I. (2004). An alternative threshold GARCH Option Pricing Model: A Bayesian Approach. (#NSC-93-2415-H-128-004)

Liu, S. I. and Tsung-wu Ho (2003). Forecasting the Real Exchange Rtae using Threshold ARFIMA-GARCH Model: A Bayesian Approach. (#NSC-92-2415-H-128-004)

Liu, S. I. (2003). Model Building for Cointegrated Data. (#NSC-91-2118-M-008-001)

Liu, S. I. (2001). Testing for Multivariate Threshold Autoregression. (#NSC-90-2118-M-008-007)

Liu, S. I. (2000). Bayesian Analysis for Multiple Changes for the Long Memory Parameter. (#NSC-89-2118-M-008-020)

Liu, S. I. (2000). Bayesian Model Determination for Cointegrated Data. (#NSC-89-2118-M-008-005)

國科會計畫

The Threshold-GARCH Option Pricing Model (II-II) (#NSC-94-2415-H-128-003)

The Threshold-GARCH Option Pricing Model (II-I) (#NSC-93-2415-H-128-004)

An Econometric Investigation of the Real Exchange Rate Dynamics: Volatility, Persistence and Nonlinearity (#NSC-92-2415-H-128-004)

Model Building for Cointegrated Data (#NSC-91-2118-M-128-001)

Testing for Multivariate Threshold Autoregressive Models (#NSC-90-2118-M-008-007)

Bayesian Analysis for Multiple Changes for the Long Memory Parameter (#NSC-89-2118-M-008-020)

Bayesian Model Determination for Cointegrated Data (#NSC-89-2118-M-008-005)

Some Inferences for Repeated Measurement Model (#NSC-88-2118-M-008-004)

Model Selection for Cointegrated Data via SSVS Method (#NSC-87-2118-M-008-009)

Bayesian Forecasts for Cointegration System (#NSC-86-2115-M—0-014)

世新大學研究計畫
脆弱選擇權評價之研究 (2006/08/01-2007/07/31) (世新大學學術研究專案P9502)