Publications

PUBLICATIONS

1. Systemic Risk Illustrated (with J.-P. Fouque). Hanbook of Systemic Risk, Eds J.-P. Fouque and J. Langsam. Cambridge University Press, 2013.

2. Mean Field Games and Systemic Risk (with R. Carmona and J.-P. Fouque). Communications in Mathematical Sciences 13(4), 911–933, 2015.

3. R Routines for Performing Estimation and Statistical Process Control under Copula-Based Time Series Models (with T. Emura and T.-H. Long). Communications in Statistics - Simulation and Computation 46(4), 3067–3087, 2016.

4. Systemic Risk and Stochastic Game with A Central Bank. Journal of the Chinese Statistical Association 55, 1–19, 2017.

5. Systemic Risk and Stochastic Games with Delay (with R. Carmona, J.-P. Fouque, and S. M. Mousavi). Journal of Optimization Theory and Applications 179(2), 366–399, 2018.

6. Systemic Risk and Interbank Lending. Journal of Optimization Theory and Applications 179(2), 400–424, 2018.

7. Fitting Competing Risks Data to Bivariate Pareto Models (with W. Lee, J.- H. Shih, and T. Emura). Communications in Statistics–Theory and Methods 48(5), 1193–1220, 2019.

8. A Bayesian Inference for Time Series via Copula-Based Markov Chain Models (with C.-S. Lee and T. Emura). Communications in Statistics - Simulation and Computation 49(11), 2897–2913, 2020.

9. Modeling Financial Interval Time Series (with L.-C. Lin). Plos One 14(2), 2019.

10. Copula-Based Markov Models for Time Series Parametric Inference and Process Control (BOOK with X.-W. Huang, M. S. Alqawba, J.-M. Kim, and T. Emura). Springer Singapore, 2020.

11. Mean Field Social Optimization: Feedback Person-by-Person Optimality and The Master Equation (with M. Huang and S.-J. Sheu). Proceedings of the 2020 59th IEEE Conference on Decision and Control (CDC), 4921–4926, 2020.

12. Estimation under Copula-Based Markov Mixture Normal Models for Serially Correlated Data (with W.-C. Lin and T. Emura). Communications in Statistics - Simulation and Computation 50(12), 4483--4515, 2021.

13. Optimal Investment and Reinsurance of Insurers with Lognormal Stochastic Factor Model (with H. Hata). Mathematical Control and Related Fields 12(2), 531--566, 2022. 

14. Mean Field Games with Heterogeneous Groups: Application to Banking Systems. Journal of Optimization Theory and Applications 192(1), 130–167, 2022.  [Supplementary Material]

15. Change Point Estimation under A Copula-based Markov Chain Model for Binomial Time Series (with C.-C. Lai and T. Emura). Econometrics and Statistics, 28, 120-137, 2023.

16. Testing Unconditional and Conditional Independence via Mutual Information (with C. Ai, Z. Zhang, and L. Zhu).  Journal of Econometrics, 240(2), 105335, 2024. 

17. The Pareto Type I Joint Frailty-Copula Model for Clustered Bivariate Survival Data (with Y.-H. Lin, Y.-J. Tseng, and T. Emura). Communications in Statistics - Simulation and Computation 53(4), 2006-2030, 2024. 

18. Pricing Formulas for American Perpetual Knock-Out and Callable Volatility Options (with H.-K. Liu, Y.-K. Wang, and I-C. Huang). Communications in Statistics - Simulation and Computation 53(12), 5952-5972, 2024. 

19. Change Point Estimation for Gaussian Time Series Data with Copula-based Markov Chain Models (with Y.-K Wang, L.-H. Liu, T. Emura, and C.-Y. Chiu).  Computational Statistics 40, 1541-1581, 2025. [code][Supplementary Material]

20. Changepoint Detection in Gaussian Sequential Data with Copula-Based Markov Chain Models in an Online Environment (with D.-H Kuo, M.-H. Hsieh, and C.-Y. Chiu). Journal of Statistical Computation and Simulation, 95(9), 2117-2144, 2025. [code]

21. Pricing Formulas for Perpetual American Volatility Options under Mean-Reverting Volatility Models (with H.-K. Liu). Communications in Statistics - Simulation and Computation. doi.org/10.1080/03610918.2025.2474602.

22. Partial Information in a Mean-Variance Portfolio Selection Game (with Y.-J. Huang). Mathematical Finance, forthcoming. (arXiv: 2312.04545) 

23. Mean Field Social Optimization: Feedback Person-by-Person Optimality and the Dynamic Programming Equation (with M. Huang and S.-J. Sheu). Submitted. 

24. Change Point Estimation for Finite Mixture Normal Time Series Based On Copula-Based Markov Chain Models (with W.-X. Jian). Journal of the Chinese Statistical Association, forthcoming. 

25. Detecting Structural Shifts and Estimating Change-Points in Interval-Based Time Series (with T.-Y. Huang, C.-Y. Chiu, and N. Ning). Statistics and Computing, 35(127), 2025. [code] (arXiv: 2410.09884v1).

26. Mean Field and N-Insurers Games for Optimal Investment and Reinsurance : Power Utility Case (with H. Hata and K. Yasuda). Submitted.

27. Detection of the Threshold Point in Mean for Dependent Data with Heteroscedasticity (with C.-H. Chang and H.-L. Hsu). Submitted.

28. Change-Point Estimation in Count Time Series via a Copula-Based Markov Model (with Y.-K. Wang, N.-L. Liu, H.-J. Lu, and C.-Y. Chiu). Submitted. [code][Supplementary Material]

Preprints

1. Portfolio Optimization with Delay Factor Models (with S.-J. Sheu and Z. Zhang). arXiv:1805.01118, 2018.

2. Expected Exponential Utility Maximization of Insurers with A General Diffusion Factor Model: The Complete Market Case (with H. Hata and S.-J. Sheu). arXiv:1903.08957, 2019.

3. Systemic Risk and Heterogeneous Mean Field Type Interbank Network (The previous version of the paper  "Mean Field Games with Heterogenous Groups: Application to Banking Systems"). arXiv:1907.03082, 2019.