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Details about Cathy W. S. Chen

E-mail:
Homepage:http://myweb.fcu.edu.tw/~chenws/
Workplace:College of Business, Feng Chia University, (more information at EDIRC)

Access statistics for papers by Cathy W. S. Chen.

Last updated 2014-05-28. Update your information in the RePEc Author Service.

Short-id: pch735


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Working Papers

2014

  1. Semi-parametric Expected Shortfall Forecasting
    Working Papers, University of Sydney Business School, Discipline of Business Analytics Downloads

2012

  1. Bayesian Semi-parametric Expected Shortfall Forecasting in Financial M arkets
    Working Papers, University of Sydney Business School, Discipline of Business Analytics Downloads
  2. Statistical Estimation of Portfolios for Dependent Financial Returns
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles

2011

  1. Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis
    Working Papers, University of Sydney Business School, Discipline of Business Analytics Downloads View citations (3)
    See also Journal Article in Journal of Forecasting (2012)
  2. Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2011) Downloads
    KIER Working Papers, Kyoto University, Institute of Economic Research (2011) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2011) Downloads

    See also Journal Article in International Journal of Forecasting (2012)

2009

  1. Bayesian time-varying quantile forecasting for Value-at-Risk in financial markets
    Working Papers, University of Sydney Business School, Discipline of Business Analytics Downloads
    See also Journal Article in Journal of Business & Economic Statistics (2011)

Journal Articles

2013

  1. Bayesian Unit Root Test in Double Threshold Heteroskedastic Models
    Computational Economics, 2013, 42, (4), 471-490 Downloads
  2. Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity
    Computational Statistics, 2013, 28, (3), 1103-1131 Downloads View citations (1)
  3. Threshold variable selection of asymmetric stochastic volatility models
    Computational Statistics, 2013, 28, (6), 2415-2447 Downloads

2012

  1. A Bayesian conditional autoregressive geometric process model for range data
    Computational Statistics & Data Analysis, 2012, 56, (11), 3006-3019 Downloads
  2. Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis
    Journal of Forecasting, 2012, 31, (8), 661-687 View citations (2)
    See also Working Paper (2011)
  3. Forecasting Value-at-Risk using nonlinear regression quantiles and the intra-day range
    International Journal of Forecasting, 2012, 28, (3), 557-574 Downloads View citations (1)
    See also Working Paper (2011)
  4. Forecasting volatility with asymmetric smooth transition dynamic range models
    International Journal of Forecasting, 2012, 28, (2), 384-399 Downloads View citations (2)
  5. Smooth Transition Quantile Capital Asset Pricing Models with Heteroscedasticity
    Computational Economics, 2012, 40, (1), 19-48 Downloads View citations (1)

2011

  1. Bayesian Time-Varying Quantile Forecasting for Value-at-Risk in Financial Markets
    Journal of Business & Economic Statistics, 2011, 29, (4), 481-492 Downloads View citations (10)
    See also Working Paper (2009)
  2. Bayesian subset selection for threshold autoregressive moving-average models
    Computational Statistics, 2011, 26, (1), 1-30 Downloads View citations (1)
  3. Classification in segmented regression problems
    Computational Statistics & Data Analysis, 2011, 55, (7), 2276-2287 Downloads
  4. Multi-regime nonlinear capital asset pricing models
    Quantitative Finance, 2011, 11, (9), 1421-1438 Downloads View citations (1)

2009

  1. Bayesian causal effects in quantiles: Accounting for heteroscedasticity
    Computational Statistics & Data Analysis, 2009, 53, (6), 1993-2007 Downloads View citations (4)
  2. Optimal dynamic hedging via copula-threshold-GARCH models
    Mathematics and Computers in Simulation (MATCOM), 2009, 79, (8), 2609-2624 Downloads View citations (13)
  3. The impact of structural breaks on the integration of the ASEAN-5 stock markets
    Mathematics and Computers in Simulation (MATCOM), 2009, 79, (8), 2654-2664 Downloads View citations (3)
  4. Volatility forecasting with double Markov switching GARCH models
    Journal of Forecasting, 2009, 28, (8), 681-697 Downloads View citations (7)

2008

  1. An empirical evaluation of fat-tailed distributions in modeling financial time series
    Mathematics and Computers in Simulation (MATCOM), 2008, 77, (1), 96-108 Downloads View citations (2)
  2. Testing for nonlinearity in mean and volatility for heteroskedastic models
    Mathematics and Computers in Simulation (MATCOM), 2008, 79, (3), 489-499 Downloads View citations (1)
  3. Volatility forecasting using threshold heteroskedastic models of the intra-day range
    Computational Statistics & Data Analysis, 2008, 52, (6), 2990-3010 Downloads View citations (10)

2006

  1. Asymmetric responses of international stock markets to trading volume
    Physica A: Statistical Mechanics and its Applications, 2006, 360, (2), 422-444 Downloads View citations (4)
  2. Best subset selection of autoregressive models with exogenous variables and generalized autoregressive conditional heteroscedasticity errors
    Journal of the Royal Statistical Society Series C, 2006, 55, (2), 201-224 Downloads View citations (3)
  3. Comparison of nonnested asymmetric heteroskedastic models
    Computational Statistics & Data Analysis, 2006, 51, (4), 2164-2178 Downloads View citations (11)
  4. Estimating the Number of HIV-infected gay sauna patrons in Taipei area
    Physica A: Statistical Mechanics and its Applications, 2006, 362, (2), 495-503 Downloads
  5. On a threshold heteroscedastic model
    International Journal of Forecasting, 2006, 22, (1), 73-89 Downloads View citations (15)
  6. The asymmetric reactions of mean and volatility of stock returns to domestic and international information based on a four-regime double-threshold GARCH model
    Physica A: Statistical Mechanics and its Applications, 2006, 366, (C), 401-418 Downloads View citations (4)

2005

  1. A Bayesian threshold nonlinearity test for financial time series
    Journal of Forecasting, 2005, 24, (1), 61-75 Downloads View citations (14)
  2. Long-term dependence with asymmetric conditional heteroscedasticity in stock returns
    Physica A: Statistical Mechanics and its Applications, 2005, 353, (C), 413-424 Downloads View citations (1)

2003

  1. Asymmetrical reaction to US stock-return news: evidence from major stock markets based on a double-threshold model
    Journal of Economics and Business, 2003, 55, (5-6), 487-502 Downloads View citations (22)
  2. Subset threshold autoregression
    Journal of Forecasting, 2003, 22, (1), 49-66 Downloads View citations (10)

1999

  1. A unified approach to estimating population size for a births only model
    Computational Statistics & Data Analysis, 1999, 32, (1), 29-46 Downloads View citations (1)

1998

  1. A Bayesian analysis of generalized threshold autoregressive models
    Statistics & Probability Letters, 1998, 40, (1), 15-22 Downloads View citations (6)

1997

  1. Detection of additive outliers in bilinear time series
    Computational Statistics & Data Analysis, 1997, 24, (3), 283-294 Downloads View citations (2)

Editor

  1. Journal of Economics and Management
    College of Business, Feng Chia University, Taiwan
 
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