Du, Huayu




Professor of New-huadu Business School
Former Professor and Department Head at National Chengchi University
Ph.D. in Financial Economics, University of Maryland

Biographical details

Professor and Dean of Finance at NBS. In 1993, he graduated from University of Maryland-College Park, with PhD in Finance). His research interests mainly focus on securities analysis, derivative, financial risk management and financial econometric methods.

Previously, he acted as Dean of Department of Finance, University of Nebraska, head of Doctoral Program Committee, and convener of Mainland Academic Exchange Committee of Business School, at National Chengchi University, and appraisal member, examination member and advisor of governmental finance and education departments, advisor for major insurance companies and pension risk management; published more than 10 articles on English SSCI and renowned journals, 5 on Taiwan SSCI journals and dozens on Chinese journals.

Education and experience

Master in Economics, University of Nebraska

Master in Statistics, Harvard University

Ph.D. in Finance, University of Maryland

Main research areas

Futures and Options, Corporate Finance, Financial Econometric , Investments and Securities Markets, Value-at-Risk and Basel's Financial Risk Management

Teaching field

Financial time series, financial management, investment principles, derivatives, corporate restructuring and M&A, financial engineering and innovation

Scholarly articles

A.SSCI papers (*corresponding author)

1.Sheng, Hsiao-Ching and Anthony H. Tu* “The Study of Cointegration and Variance Decomposition among National Equity Indices before and during the Period of the Asian Financial Crisis,” with Hsiao-Ching Sheng, Journal of Multinational Financial Management, 10, 2000, P.345-365(SSCI).       <点击阅读>

2.Anthony H. Tu* and Ming-Chun Wang, “The Innovations of E-mini Contracts and Futures Price Volatility Components? The Empirical Investigation of S&P 500 Stock Index Futures”, Journal of International Financial Markets, Institutions & Money, 17, 2007, P.198-211(SSCI).       <点击阅读>

3.Yi-Hsuan Chen, Anthony H. Tu*, and Kehluh Wang, “Dependence Structure between the Credit Default Swap Return and the Kurtosis of the Equity Return Distribution: Evidence from Japan”, Journal of International Financial Markets, Institution & Money, 2008, 18, P.259-271(SSCI).       <点击阅读>

4.Woon K. Wong* and Anthony H. Tu, “Market Imperfections and the Information Content of Implied and Realized Volatility”, Pacific-Basin Finance Journal, 2009, 17, 58-79. (SSCI)       <点击阅读>

5.Woon K. Wong*, Matthew C. Chang, and Anthony H. Tu, “Are Magnet Effects Caused by Uniformed Traders? Evidence from Taiwan Stock Exchange”, Pacific-Basin Finance Journal, 2009, 17, 28-40 (SSCI).       <点击阅读>

6.Yi-Hsun Chen*, Kehluh Wang, and Anthony H. Tu, “Default Correlation at the Sovereign Level: Evidence from Latin American Markets”, Applied Economics, 2010. (SSCI)       <点击阅读>

7.Liu, Qingfu and Anthony H. Tu* “Jump Spillovers in the Energy Futures Markets: Implications for Diversification Benefits”, Energy Economics (SSCI), 2012, vol34, 1447-1464.       <点击阅读>

8.Yi-Hsuan Chen and Anthony H. Tu*“Portfolio Value-at-Risk Estimation with a Conditional Copula Approach: An Illustration of Model Risk”, International Review of Economics and Finance (SSCI), 2013, vol27, 514-528.       <点击阅读>

9.Z. Yang, Anthony H. Tu*, and Y. Zeng “Dynamic linkages between Asian stock prices and exchange rates: new evidence from causality in quantiles”, Applied Economics (SSCI), December, 2013.       <点击阅读>

10.Anthony H. Tu, Wen-Liang G. Hsieh, and Wei-Shao Wu* “Market Uncertainty, Expected Volatility and the Mispricing of S&P 500 Index Futures”, Journal of Empirical Finance (SSCI), 2016, vol35, 78-98 (入围最佳论文奖FMA Annual Meeting 2015 (Orlando, US)).       <点击阅读>

11.Wenchien Liu*, Wen-Liang G. Hsieh, and Anthony H. Tu “Does the Early Bird Catch the Worm? The Information Content of Taiwan’s Index Option Trading in the Early 15-minute Pre-opening Session”, North American Journal of Economics and Finance (SSCI), 2017, vol41, 168-189.       <点击阅读>

12.Anthony H. Tu* and Cathy Chen “What Factors Drive the Bond Portfolio Value-at-Risk: Information Roles of Macroeconomic and Financial Stress Factors”(获得第十二届中国金融学会年会论文三等奖), Journal of Empirical Finance (SSCI), 2018, vol45, 243-268.       <点击阅读>


B.China SSCI (CSSCI) and Taiwan SSCI (TSSCI) papers (*corresponding author)

1.「我国股票市场融资比率与证券保证金成数调整对股价与股价波动性影响之研究」,与姚海青、陈胜源合着,证券市场发展季刊,第11卷第2期,1999年。       <点击阅读>

2.「我国上市公司退休金保险费率,提拨费率与劳退基金运用之探讨 - 选择权定价公式之运用」,与陈胜源、周丽娟、黄垲群合着,管理评论,第20卷第2期,2001年。       <点击阅读>

3.杜化宇*、邱志忠着,「跳跃模式与网络企业的评价─仿真准确性的探讨」,台大管理论丛,第14卷第2期,2004年。       <点击阅读>

4.杜化宇*、任纪为着,「外汇选择权的定价与马可夫链蒙地卡罗法的应用」,风险管理学报,第7卷第3期,2005年11月,P.237-277。       <点击阅读>

5.杜化宇*、陈盈之着,「市场冲击对外汇波动之不对称影响与其反转特性:选择权市场的证据与其意涵」,台大管理论丛,第16卷第2期,2006年。(TSSCI)       <点击阅读>

6.杜化宇*、钟柏亭着,「相关系数可随时间变动下的外汇期货避险比例:简易方法应用与其绩效」,金融风险管理季刊,第2卷第2期,2006年,P.1-30。

7.杜化宇*,林子庆着,「压力测试的改进:厚尾,偏态与混合分配模型的应用」,期货与选择权学刊,2013,Vol 6,P23-57。(TSSCI)(TSSCI)       <点击阅读>

8.杜化宇*、刘文谦,「台指选择权盘前交易具有信息内涵吗?」,证券市场发展季刊,第22卷第3期,2010年,P75-104。(TSSCI)       <点击阅读>

9.陈磊*,曾勇,杜化宇“石油期货收益率的分位数建模及其影响因素分析”,中国管理科学,2012,Vol.20,No.3,P35-40。(CSSCI)       <点击阅读>

10.陈磊*,杜化宇,曾勇“基于贝莱斯CAViar 模型的油价风险研究”,系统工程理论与实践,2013。       <点击阅读>



C. Collective Papers (论文合辑)

1.“Management of Foreign Trade and Investment: Taiwan’s Experiences and the Implications for Central Asia,” Transition to a Market Economy in Central Asia: Lessons from the East Asia Experience, The Sasakawa Peace Foundation, 1996.
2.John Hull, Introduction to Futures and Options Markets, 3rd edition, 中译本,双叶书廊出版,民88年。
3.“Dependence Structure between CDS Return and Kurtosis of Equity Return Distribution of the Reference Entity”, Lecture Notes in Decision Sciences, Vol.7, 2006, Edited by D. Li, Z. Li and S. Wang, Global-Link Publisher.


D. Non-SSCI papers

About 20 papers (省略)


E. Conference papers (研讨会论文)

About 30 papers (省略)