Selected Papers
Chang, C. H., Emura, T., and Huang, S. F.* (2025). An algorithm for estimating threshold boundary regression models. Computational Statistics & Data Analysis, 108274.
Chuang, M. C.*, Huang, H. C., Huang, S. F., and Lin, S. K. (2025). Catastrophe risk with global climate change determines the price of catastrophe equity puts. North American Journal of Economics and Finance, 102473.
Lai, W. T., Chen, R. B., and Huang, S. F.* (2025). A modified VAR-deGARCH model for asynchronous multivariate financial time series via variational Bayesian inference. International Journal of Forecasting 41, 345-360.
Pi, H. K., Guo, M. H., Chen, R. B., and Huang, S. F.* (2024). ECOPICA: Empirical copula-based independent component analysis. Statistics and Computing 34, 52.
Huang, S. F. and Wang, D. K.* (2023). A less volatile value-at-risk estimation under a semi-parametric approach. Asia-Pacific Journal of Financial Studies, 52, 374-393.
Chua, C. H., Guo, M. H., and Huang, S. F.* (2022). Using the kriging correlation for unsupervised feature selection problems. Scientific Reports, 12, 11522.
Chang, C. H., Chen, Z. B., and Huang, S. F.* (2022). Forecasting of high-resolution electricity consumption with stochastic climatic covariates via a functional time series approach. Applied Energy, 309, 118418.
Huang, S. F.*, Chiang, H. H., and Lin, Y. J. (2021). A network autoregressive model with GARCH effects and its applications. PLOS ONE, 16, e0255422.
Huang, S. F.* and Lu, H. P. (2020). Classification of temporal data using dynamic time warping and compressed learning. Biomedical Signal Processing and Control, 57, 101781.
Huang, S. F. and Hsu, H. L.* (2020). Prediction intervals for time series and their applications to portfolio selection. REVSTAT-Statistical Journal, 18, 131-151.
Huang, S. F., Guo, M. H.* and Chen, M. R. (2020). Stock market trend prediction using functional time series approach. Quantitative Finance, 20, 69-79.
Chu, C. H., Lo Huang, M. N., Huang, S. F.*, and Chen, R. B. (2019). Bayesian structure selection for vector autoregression model. Journal of Forecasting, 38, 422-439.
Huang, S. F.* and Ciou, G. C. (2018). Multi-asset empirical martingale price estimators for financial derivatives. Statistica Sinica, 28, 995-1008.
Huang, S. F.* and Lin, T. Y. (2018). A linearization of portfolio optimization problem with general risk measures under multivariate conditional heteroskedastic models. Asia-Pacific Journal of Financial Studies, 47, 449-469.
Huang, S. F.* and Tsai, C. Y. (2015). Hedging barrier options in GARCH models with transaction costs. Australian & New Zealand Journal of Statistics, 57, 301-324.
Chen, R. B., Guo, M. H.*, Haerdle, W., and Huang, S. F. (2015). COPICA－Independent component analysis via copula techniques. Statistics and Computing, 25, 273-288.
Chen, B., Huang, S. F., and Pan, G.* (2015). High dimensional mean-variance optimization through factor analysis. Journal of Multivariate Analysis, 133, 140-159.
Huang, S. F. and Guo, M. H.* (2014). Model risk of the implied GARCH-normal model. Quantitative Finance, 14, 2215-2224.
Huang, S. F.* and Tu, Y. T. (2014). Asymptotic distribution of the EPMS estimator for financial derivatives pricing. Computational Statistics & Data Analysis, 73, 129-145.
Huang, S. F.* (2014). A modified empirical martingale simulation for financial derivative pricing. Communications in Statistics - Theory and Methods, 43, 328-342.
Chan, N. H., Huang, S. F., and Ing, C.-K.* (2013). Moment bounds and mean squared prediction errors of long-memory time series. Annals of Statistics, 41, 1268-1298.
Huang, S. F. and Guo, M. H.* (2013). An optimal multi-step quadratic risk-adjusted hedging strategy. Journal of the Korean Statistical Society, 42, 37-49.
Huang, S. F. and Guo, M. H.* (2009). Financial derivative valuation – A dynamic semiparametric approach. Statistica Sinica, 19, 1037-1054.
Myers, J.*, Huang, S. F., and Tsay, J. S. (2007). Exact conditional inference for two-way randomized Bernoulli experiments. Journal of Statistical Software, 21, Code Snippet 1.
Guo, M. H.* and Huang, S. F. (2001). Power approximations for test statistics with dominant components. Statistica Sinica, 11, 675-689.