Details about Cathy W. S. Chen

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

Last updated 2024-01-16. Update your information in the RePEc Author Service.

Short-id: pch735

Working Papers

2015

1. Employing Bayesian Forecasting of Value-at-Risk to Determine an Appropriate Model for Risk Management
   Discussion paper series, Hitotsubashi Institute for Advanced Study, Hitotsubashi University

2014

2. Bayesian Assessment of Dynamic Quantile Forecasts
   Working Papers, University of Sydney Business School, Discipline of Business Analytics
   See also Journal Article Bayesian Assessment of Dynamic Quantile Forecasts, Journal of Forecasting, John Wiley & Sons, Ltd. (2016) View citations (2) (2016)
3. Semi-parametric Expected Shortfall Forecasting
   Working Papers, University of Sydney Business School, Discipline of Business Analytics View citations (2)

2012

4. Bayesian Semi-parametric Expected Shortfall Forecasting in Financial M arkets
   Working Papers, University of Sydney Business School, Discipline of Business Analytics View citations (3)
5. Statistical Estimation of Portfolios for Dependent Financial Returns
   ULB Institutional Repository, ULB -- Universite Libre de Bruxelles

2011

6. Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis
   Working Papers, University of Sydney Business School, Discipline of Business Analytics View citations (8)
   See also Journal Article Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis, Journal of Forecasting, John Wiley & Sons, Ltd. (2012) View citations (21) (2012)
7. Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range
   Working Papers in Economics, University of Canterbury, Department of Economics and Finance
   Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2011)
   KIER Working Papers, Kyoto University, Institute of Economic Research (2011)
   Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2011)
   See also Journal Article Forecasting Value-at-Risk using nonlinear regression quantiles and the intra-day range, International Journal of Forecasting, Elsevier (2012) View citations (23) (2012)

2009

8. Bayesian time-varying quantile forecasting for Value-at-Risk in financial markets
   Working Papers, University of Sydney Business School, Discipline of Business Analytics
   See also Journal Article Bayesian Time-Varying Quantile Forecasting for Value-at-Risk in Financial Markets, Journal of Business & Economic Statistics, Taylor & Francis Journals (2011) View citations (58) (2011)

Journal Articles

2023

1. Bayesian estimation of realized GARCH-type models with application to financial tail risk management
   Econometrics and Statistics, 2023, 28, (C), 30-46 View citations (1)
2. Bayesian modeling of spatial integer-valued time series
   Computational Statistics & Data Analysis, 2023, 188, (C)
3. Bayesian non‐linear quantile effects on modelling realized kernels
   International Journal of Finance & Economics, 2023, 28, (1), 981-995
4. Integer-valued transfer function models for counts that show zero inflation
   Statistics & Probability Letters, 2023, 193, (C) View citations (1)
5. Quantile three-factor model with heteroskedasticity, skewness, and leptokurtosis
   Computational Statistics & Data Analysis, 2023, 182, (C)
6. Tail risk forecasting of realized volatility CAViaR models
   Finance Research Letters, 2023, 51, (C) View citations (2)

2022

7. Bayesian quantile forecasting via the realized hysteretic GARCH model
   Journal of Forecasting, 2022, 41, (7), 1317-1337 View citations (1)
8. Public opinion concerning governments’ response to the COVID-19 pandemic
   PLOS ONE, 2022, 17, (3), 1-10

2021

9. Bayesian inference of multiple structural change models with asymmetric GARCH errors
   Statistical Methods & Applications, 2021, 30, (3), 1053-1078 View citations (1)
10. Bayesian inference of nonlinear hysteretic integer-valued GARCH models for disease counts
    Computational Statistics, 2021, 36, (1), 261-281 View citations (3)
11. Multi-asset pair-trading strategy: A statistical learning approach
    The North American Journal of Economics and Finance, 2021, 55, (C)
12. On a Bivariate Hysteretic AR-GARCH Model with Conditional Asymmetry in Correlations
    Computational Economics, 2021, 58, (2), 413-433 View citations (1)

2019

13. Bayesian modeling and forecasting of Value‐at‐Risk via threshold realized volatility
    Applied Stochastic Models in Business and Industry, 2019, 35, (3), 747-765 View citations (4)
14. How Strong is the Relationship Among Gold and USD Exchange Rates? Analytics Based on Structural Change Models
    Computational Economics, 2019, 53, (1), 343-366 View citations (7)
15. Inferences of default risk and borrower characteristics on P2P lending
    The North American Journal of Economics and Finance, 2019, 50, (C) View citations (7)
16. Markov switching integer‐valued generalized auto‐regressive conditional heteroscedastic models for dengue counts
    Journal of the Royal Statistical Society Series C, 2019, 68, (4), 963-983 View citations (8)
17. Quantile forecasting based on a bivariate hysteretic autoregressive model with GARCH errors and time ‐varying correlations
    Applied Stochastic Models in Business and Industry, 2019, 35, (6), 1301-1321 View citations (3)

2018

18. Predicting failure risk using financial ratios: Quantile hazard model approach
    The North American Journal of Economics and Finance, 2018, 44, (C), 204-220 View citations (4)

2017

19. Bayesian causality test for integer-valued time series models with applications to climate and crime data
    Journal of the Royal Statistical Society Series C, 2017, 66, (4), 797-814 View citations (12)
20. Nonparametric tolerance limits for pair trading
    Finance Research Letters, 2017, 21, (C), 1-9 View citations (2)
21. On Asymmetric Market Model with Heteroskedasticity and Quantile Regression
    Computational Economics, 2017, 49, (1), 155-174 View citations (2)
22. On Fisher’s dispersion test for integer-valued autoregressive Poisson models with applications
    Communications in Statistics - Theory and Methods, 2017, 46, (20), 9985-9994 View citations (1)
23. Pair trading based on quantile forecasting of smooth transition GARCH models
    The North American Journal of Economics and Finance, 2017, 39, (C), 38-55 View citations (5)

2016

24. Bayesian Assessment of Dynamic Quantile Forecasts
    Journal of Forecasting, 2016, 35, (8), 751-764 View citations (2)
    See also Working Paper Bayesian Assessment of Dynamic Quantile Forecasts, Working Papers (2014) (2014)
25. Bayesian Expected Shortfall Forecasting Incorporating the Intraday Range
    Journal of Financial Econometrics, 2016, 14, (1), 128-158 View citations (9)
26. Evidence of Stock Returns and Abnormal Trading Volume: A Threshold Quantile Regression Approach
    The Japanese Economic Review, 2016, 67, (1), 96-124 View citations (7)
    Also in The Japanese Economic Review, 2016, 67, (1), 96-124 (2016) View citations (5)
27. Generalized Poisson autoregressive models for time series of counts
    Computational Statistics & Data Analysis, 2016, 99, (C), 51-67 View citations (15)
28. Model selection of a switching mechanism for financial time series
    Applied Stochastic Models in Business and Industry, 2016, 32, (6), 836-851 View citations (1)

2014

29. Bayesian estimation of smoothly mixing time-varying parameter GARCH models
    Computational Statistics & Data Analysis, 2014, 76, (C), 194-209 View citations (3)
30. Bivariate asymmetric GARCH models with heavy tails and dynamic conditional correlations
    Quantitative Finance, 2014, 14, (7), 1297-1313 View citations (5)

2013

31. Bayesian Unit Root Test in Double Threshold Heteroskedastic Models
    Computational Economics, 2013, 42, (4), 471-490 View citations (5)
32. Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity
    Computational Statistics, 2013, 28, (3), 1103-1131 View citations (8)
33. Threshold variable selection of asymmetric stochastic volatility models
    Computational Statistics, 2013, 28, (6), 2415-2447 View citations (4)

2012

34. A Bayesian conditional autoregressive geometric process model for range data
    Computational Statistics & Data Analysis, 2012, 56, (11), 3006-3019 View citations (8)
35. Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis
    Journal of Forecasting, 2012, 31, (8), 661-687 View citations (21)
    See also Working Paper Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis, Working Papers (2011) View citations (8) (2011)
36. Forecasting Value-at-Risk using nonlinear regression quantiles and the intra-day range
    International Journal of Forecasting, 2012, 28, (3), 557-574 View citations (23)
    See also Working Paper Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range, Working Papers in Economics (2011) (2011)
37. Forecasting volatility with asymmetric smooth transition dynamic range models
    International Journal of Forecasting, 2012, 28, (2), 384-399 View citations (17)
38. Smooth Transition Quantile Capital Asset Pricing Models with Heteroscedasticity
    Computational Economics, 2012, 40, (1), 19-48 View citations (13)

2011

39. Bayesian Time-Varying Quantile Forecasting for Value-at-Risk in Financial Markets
    Journal of Business & Economic Statistics, 2011, 29, (4), 481-492 View citations (58)
    Also in Journal of Business & Economic Statistics, 2011, 29, (4), 481-492 (2011) View citations (55)
    See also Working Paper Bayesian time-varying quantile forecasting for Value-at-Risk in financial markets, Working Papers (2009) (2009)
40. Bayesian subset selection for threshold autoregressive moving-average models
    Computational Statistics, 2011, 26, (1), 1-30 View citations (6)
41. Classification in segmented regression problems
    Computational Statistics & Data Analysis, 2011, 55, (7), 2276-2287 View citations (1)
42. Multi-regime nonlinear capital asset pricing models
    Quantitative Finance, 2011, 11, (9), 1421-1438 View citations (7)

2010

43. Falling and explosive, dormant, and rising markets via multiple‐regime financial time series models
    Applied Stochastic Models in Business and Industry, 2010, 26, (1), 28-49 View citations (1)

2009

44. Bayesian causal effects in quantiles: Accounting for heteroscedasticity
    Computational Statistics & Data Analysis, 2009, 53, (6), 1993-2007 View citations (21)
45. Optimal dynamic hedging via copula-threshold-GARCH models
    Mathematics and Computers in Simulation (MATCOM), 2009, 79, (8), 2609-2624 View citations (31)
46. 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 View citations (8)
47. Volatility forecasting with double Markov switching GARCH models
    Journal of Forecasting, 2009, 28, (8), 681-697 View citations (22)

2008

48. An empirical evaluation of fat-tailed distributions in modeling financial time series
    Mathematics and Computers in Simulation (MATCOM), 2008, 77, (1), 96-108 View citations (4)
49. Testing for nonlinearity in mean and volatility for heteroskedastic models
    Mathematics and Computers in Simulation (MATCOM), 2008, 79, (3), 489-499 View citations (1)
50. Volatility forecasting using threshold heteroskedastic models of the intra-day range
    Computational Statistics & Data Analysis, 2008, 52, (6), 2990-3010 View citations (29)

2007

51. Asymmetric Return and Volatility Responses to Composite News from Stock Markets
    Multinational Finance Journal, 2007, 11, (3-4), 179-210 View citations (5)
52. Modelling financial time series with threshold nonlinearity in returns and trading volume
    Applied Stochastic Models in Business and Industry, 2007, 23, (4), 319-338 View citations (1)

2006

53. Asymmetric responses of international stock markets to trading volume
    Physica A: Statistical Mechanics and its Applications, 2006, 360, (2), 422-444 View citations (11)
54. 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 View citations (6)
55. Bias may be unintentional but it's still there
    Nature, 2006, 439, (7072), 18-18
56. Comparison of nonnested asymmetric heteroskedastic models
    Computational Statistics & Data Analysis, 2006, 51, (4), 2164-2178 View citations (23)
57. Estimating the Number of HIV-infected gay sauna patrons in Taipei area
    Physica A: Statistical Mechanics and its Applications, 2006, 362, (2), 495-503
58. On a threshold heteroscedastic model
    International Journal of Forecasting, 2006, 22, (1), 73-89 View citations (34)
59. 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 View citations (7)

2005

60. A Bayesian threshold nonlinearity test for financial time series
    Journal of Forecasting, 2005, 24, (1), 61-75 View citations (25)
61. Asymmetric response and interaction of U.S. and local news in financial markets
    Applied Stochastic Models in Business and Industry, 2005, 21, (3), 273-288 View citations (3)
62. Long-term dependence with asymmetric conditional heteroscedasticity in stock returns
    Physica A: Statistical Mechanics and its Applications, 2005, 353, (C), 413-424 View citations (2)

2003

63. 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 View citations (56)
64. Subset threshold autoregression
    Journal of Forecasting, 2003, 22, (1), 49-66 View citations (14)

2001

65. On the Selection of Subset Bilinear Time Series Models: a Genetic Algorithm Approach
    Computational Statistics, 2001, 16, (4), 505-517 View citations (2)

1999

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

1998

67. A Bayesian analysis of generalized threshold autoregressive models
    Statistics & Probability Letters, 1998, 40, (1), 15-22 View citations (27)

1997

68. Detection of additive outliers in bilinear time series
    Computational Statistics & Data Analysis, 1997, 24, (3), 283-294 View citations (6)

1995

69. BAYESIAN INFERENCE OF THRESHOLD AUTOREGRESSIVE MODELS
    Journal of Time Series Analysis, 1995, 16, (5), 483-492 View citations (81)

Chapters

2008

1. Bayesian model selection for heteroskedastic models
   A chapter in Bayesian Econometrics, 2008, pp 567-594

Editor

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