My research spans both econometric and macroeconomic areas, such as regime switching models, state space models and permanent income hypothesis.  My recent work lines in two main areas.  The first centers on the issue of uncertainty unit roots.  The second  is to construct the monthly GDP.

PUBLICATIONS



  • Huang, Y.L. and C.M. Kuan (2018), "Text Mining of the FOMC Minutes and Forecasts of Taiwan Economic Variables," Taiwan Economic Review, Forthcoming. (in Chinese)
  • Wu, J.Y. and Y.L. Huang (2017), "Impact of US and Japan Quantitative Easing Policies on Taiwan: A GVAR Approach," Taiwan Economic Forecast and Policy, 48, 1-39. (in Chinese)
  • Chen, J-H, Y.L. Huang and J.R. Chang (2017), "Robust Good-Deal Bounds in Incomplete Markets: The Case of Taiwan," Hitotsubashi Journal of Economics, 58, 53-67.
  • Chen, S.L. and Y.L. Huang (2015), "Taiwan Business Reference Series Re-examination," Taiwan Economic Forecast and Policy, 46, 1-42.
  • Chen, S.L. and Y.L. Huang (2014), "Actuarial Implications of Structural Changes in El Nino-Southern Oscillation Index Dynamics," Annals of Financial Economics, 9, 125-138.
  • Huang, Y.L. and C.H. Huang (2014), "Uncertain Effect of Shocks vs. Uncertain Unit Root: An Alternative View of U.S. Real GDP," Hitotsubashi Journal of Economics, 56, 117-134.
  • Lu, T.S., J.R. Chang and Y.L. Huang (2014), "Can Anomalies be Explained by Technical Analysis? Evidence from Candlestick Patterns," Advances in Investment Analysis and Portfolio Managementforthcoming.
  • Bao, Xiaohue,  H. Huang, Y.L. Huang, and  P.T. Lin  (2014),  "Volatility Clustering  in  Land  Markets,"  Property  Management32, 378-385.
  • Huang, Y.L (2014), "Testing Markov Switching Models," Applied Economics, 46, 2047-2051.
  • Huang, Y.L, J. T. Tsay, S.S. Yang, and H. W. Cheng (2014), "Price Bounds of Mortality-Linked Security in Incomplete Insuarance Market," Insurance: Mathematics and Economics, 55, 30-39.
  • Kuan, C.M, C. C. Hsu, Y.L. Huang and S. H. Hsu (2014), "Financial Conditions and the Macroeconomy in Taiwan," Taiwan Economic Forecast and Policy, 44, 103-132. (in Chinese)
  • Chen, S.L. and Y.L. Huang (2014), "An Evaluation of Component Series of Business Indicators: An Application of LARS Method," Taiwan Economic Forecast and Policy, 44, 133-170. (in Chinese)
  • Chen, S.L., C.H. Huang and Y.L. Huang (2012), "International Economic Linkages between Taiwan and the World: A Global Vector Autoregressive Approach," Academia Economic Papers, 40, 343-375.
  • Lin, C.C., Y.L. Huang and C. Lu (2012), "Estimating Mortgage Prepayment Rates using the Gibbs-Sampling Approach," Advances in Financial Planning and Forecasting, 5, 215-230.
  • Huang, Y.L. (2012), "Measuring Business Cycles: A Temporal Disaggregation Model with Regime Switching," Economic Modelling, 29,  283-290.
  • Huang, Y.L. (2010), "Estimating Taiwan's Monthly GDP in an Exact Kalman Filter Framework: A Research Note," Taiwan Economic Review, 38, 147-160.
  • Huang, Y.L. (2009), "Identifying Turbulent and Calm Regimes in Stock Prices: Evidence from the Taiwan Stock Market," Applied Economics Letters, 14, 1477-1481.
  • Huang, Y.L., C.H. Huang and C.M. Kuan (2008), "Re-examining the Permanent Income Hypothesis with Uncertainty in Permanent and Transitory Innovation States," Journal of Macroeconomics, 3, 1816-1836.
  • Huang, Y.L. and  C.W. Ho (2008), "Beyond the Bull and the Bear: Demarcating Stable and Turbulent Regimes in Stock Markets," Economic Bulletin, 3, 1-11.
  • Huang, Y.L. (2008), "An Alternative Estimation Algorithm for Innovation Regime-Switching Models," Applied Economics Letters, 15, 225-229.
  • Huang, Y.L. and C.H. Huang (2007), "The Persistence of Taiwan's Output Fluctuations: An Empirical Study using Innovation Regime-Switching Model," Applied Economics, 39, 2673-2679.
  • Huang, Y.L. (2007), "On the Pricing of Collateralized Debt Obligation: A Copula Function Approach," Academia Economic Papers, 35, 21-52. (in Chinese)
  • Kuan, C.M., Y.L. Huang and R.S. Tsay (2005), "An Unobserved-Component Model with Switching Permanent and Ttransitory Innovations," Journal of Business and Economic Statistics, 23, 443-454.
  • Huang, Y.L., C.C. Hsu and H.W. Chen (2005), "Reference Cycles: The CEPD Methodology Revisited," Taiwan Economic Review, 33, 295-319. (in Chinese)
  • Huang, Y.L., C.M. Kuan, and K. Lin (1998), "Identifying the Turning Points of Business Cycles and Forecasting Economic Growth Rates in Taiwan," Taiwan Economic Review, 26, 431-457. (in Chinese)

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