Cathy W. S. Chen
Names
| first: |
Cathy W. S. |
| last: |
Chen |
Identifer
Contact
| email: |
chenws at domain mail.fcu.edu.tw
|
| homepage: |
https://sites.google.com/view/cwschen/home |
|
| phone: |
886-424517250x4412 |
| postal address: |
Department of Statistics
School of Business, Feng Chia University
Taichung 407, Taiwan |
Affiliations
-
Feng Chia University
/ College of Business
Research profile
author of:
- Bayesian Time-Varying Quantile Forecasting for Value-at-Risk in Financial Markets (RePEc:bes:jnlbes:v:29:i:4:y:2011:p:481-492)
by Gerlach, Richard H. & Chen, Cathy W. S. & Chan, Nancy Y. C. - Evidence of Stock Returns and Abnormal Trading Volume: A Threshold Quantile Regression Approach (RePEc:bla:jecrev:v:67:y:2016:i:1:p:96-124)
by Cathy W.S. Chen & Mike K.P. So & Thomas C. Chiang - Best subset selection of autoregressive models with exogenous variables and generalized autoregressive conditional heteroscedasticity errors (RePEc:bla:jorssc:v:55:y:2006:i:2:p:201-224)
by Mike K. P. So & Cathy W. S. Chen & Feng‐Chi Liu - Bayesian causality test for integer-valued time series models with applications to climate and crime data (RePEc:bla:jorssc:v:66:y:2017:i:4:p:797-814)
by Cathy W. S. Chen & Sangyeol Lee - Markov switching integer‐valued generalized auto‐regressive conditional heteroscedastic models for dengue counts (RePEc:bla:jorssc:v:68:y:2019:i:4:p:963-983)
by Cathy W. S. Chen & Khemmanant Khamthong & Sangyeol Lee - Bayesian Inference Of Threshold Autoregressive Models (RePEc:bla:jtsera:v:16:y:1995:i:5:p:483-492)
by Cathy W. S. Chen & Jack C. Lee - Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range (RePEc:cbt:econwp:11/22)
by Cathy W. S. Chen & Richard Gerlach & Bruce B. K. Hwang & Michael McAleer - Quantile three-factor model with heteroskedasticity, skewness, and leptokurtosis (RePEc:eee:csdana:v:182:y:2023:i:c:s0167947323000130)
by Wang, Kai Y.K. & Chen, Cathy W.S. & So, Mike K.P. - Bayesian modeling of spatial integer-valued time series (RePEc:eee:csdana:v:188:y:2023:i:c:s016794732300138x)
by Chen, Cathy W.S. & Chen, Chun-Shu & Hsiung, Mo-Hua - Detection of additive outliers in bilinear time series (RePEc:eee:csdana:v:24:y:1997:i:3:p:283-294)
by Chen, Cathy W. S. - A unified approach to estimating population size for a births only model (RePEc:eee:csdana:v:32:y:1999:i:1:p:29-46)
by Chen, Cathy W. S. & Lee, Shen-Ming & Hsieh, Ying-Hen & Ungchusak, Kumnuan - Comparison of nonnested asymmetric heteroskedastic models (RePEc:eee:csdana:v:51:y:2006:i:4:p:2164-2178)
by Chen, Cathy W.S. & Gerlach, Richard & So, Mike K.P. - Volatility forecasting using threshold heteroskedastic models of the intra-day range (RePEc:eee:csdana:v:52:y:2008:i:6:p:2990-3010)
by Chen, Cathy W.S. & Gerlach, Richard & Lin, Edward M.H. - Bayesian causal effects in quantiles: Accounting for heteroscedasticity (RePEc:eee:csdana:v:53:y:2009:i:6:p:1993-2007)
by Chen, Cathy W.S. & Gerlach, Richard & Wei, D.C.M. - Classification in segmented regression problems (RePEc:eee:csdana:v:55:y:2011:i:7:p:2276-2287)
by Chen, Cathy W.S. & Chan, Jennifer S.K. & So, Mike K.P. & Lee, Kevin K.M. - A Bayesian conditional autoregressive geometric process model for range data (RePEc:eee:csdana:v:56:y:2012:i:11:p:3006-3019)
by Chan, J.S.K. & Lam, C.P.Y. & Yu, P.L.H. & Choy, S.T.B. & Chen, C.W.S. - Bayesian estimation of smoothly mixing time-varying parameter GARCH models (RePEc:eee:csdana:v:76:y:2014:i:c:p:194-209)
by Chen, Cathy W.S. & Gerlach, Richard & Lin, Edward M.H. - Generalized Poisson autoregressive models for time series of counts (RePEc:eee:csdana:v:99:y:2016:i:c:p:51-67)
by Chen, Cathy W.S. & Lee, Sangyeol - Pair trading based on quantile forecasting of smooth transition GARCH models (RePEc:eee:ecofin:v:39:y:2017:i:c:p:38-55)
by Chen, Cathy W.S. & Wang, Zona & Sriboonchitta, Songsak & Lee, Sangyeol - Predicting failure risk using financial ratios: Quantile hazard model approach (RePEc:eee:ecofin:v:44:y:2018:i:c:p:204-220)
by Dong, Manh Cuong & Tian, Shaonan & Chen, Cathy W.S. - Inferences of default risk and borrower characteristics on P2P lending (RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818305527)
by Chen, Cathy W.S. & Dong, Manh Cuong & Liu, Nathan & Sriboonchitta, Songsak - Multi-asset pair-trading strategy: A statistical learning approach (RePEc:eee:ecofin:v:55:y:2021:i:c:s1062940820301856)
by Lin, Tsai-Yu & Chen, Cathy W.S. & Syu, Fong-Yi - Bayesian estimation of realized GARCH-type models with application to financial tail risk management (RePEc:eee:ecosta:v:28:y:2023:i:c:p:30-46)
by Chen, Cathy W.S. & Watanabe, Toshiaki & Lin, Edward M.H. - Nonparametric tolerance limits for pair trading (RePEc:eee:finlet:v:21:y:2017:i:c:p:1-9)
by Chen, Cathy W.S. & Lin, Tsai-Yu - Tail risk forecasting of realized volatility CAViaR models (RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322005050)
by Chen, Cathy W.S. & Hsu, Hsiao-Yun & Watanabe, Toshiaki - On a threshold heteroscedastic model (RePEc:eee:intfor:v:22:y:2006:i:1:p:73-89)
by Chen, Cathy W.S. & So, Mike K.P. - Forecasting volatility with asymmetric smooth transition dynamic range models (RePEc:eee:intfor:v:28:y:2012:i:2:p:384-399)
by Lin, Edward M.H. & Chen, Cathy W.S. & Gerlach, Richard - Forecasting Value-at-Risk using nonlinear regression quantiles and the intra-day range (RePEc:eee:intfor:v:28:y:2012:i:3:p:557-574)
by Chen, Cathy W.S. & Gerlach, Richard & Hwang, Bruce B.K. & McAleer, Michael - Asymmetrical reaction to US stock-return news: evidence from major stock markets based on a double-threshold model (RePEc:eee:jebusi:v:55:y:2003:i:5-6:p:487-502)
by Chen, Cathy W. S. & Chiang, Thomas C. & So, Mike K. P. - An empirical evaluation of fat-tailed distributions in modeling financial time series (RePEc:eee:matcom:v:77:y:2008:i:1:p:96-108)
by So, Mike K.P. & Chen, Cathy W.S. & Lee, Jen-Yu & Chang, Yi-Ping - Testing for nonlinearity in mean and volatility for heteroskedastic models (RePEc:eee:matcom:v:79:y:2008:i:3:p:489-499)
by Chen, Cathy W.S. & Gerlach, Richard H. & Tai, Amanda P.J. - Optimal dynamic hedging via copula-threshold-GARCH models (RePEc:eee:matcom:v:79:y:2009:i:8:p:2609-2624)
by Lai, YiHao & Chen, Cathy W.S. & Gerlach, Richard - The impact of structural breaks on the integration of the ASEAN-5 stock markets (RePEc:eee:matcom:v:79:y:2009:i:8:p:2654-2664)
by Chen, Cathy W.S. & Gerlach, Richard & Cheng, Nick Y.P. & Yang, Y.L. - Long-term dependence with asymmetric conditional heteroscedasticity in stock returns (RePEc:eee:phsmap:v:353:y:2005:i:c:p:413-424)
by Chen, Cathy W.S. & Yu, Tiffany H.K. - Asymmetric responses of international stock markets to trading volume (RePEc:eee:phsmap:v:360:y:2006:i:2:p:422-444)
by Gerlach, Richard & Chen, Cathy W.S. & Lin, Doris S.Y. & Huang, Ming-Hsiang - Estimating the Number of HIV-infected gay sauna patrons in Taipei area (RePEc:eee:phsmap:v:362:y:2006:i:2:p:495-503)
by Hsieh, Ying-Hen & Chen, Cathy W.S. & Lee, Shen-Ming & Chen, Yi-Ming A. & Wu, Shiow-Ing & Lai, Shu-Fen & Chang, An-Lung - The asymmetric reactions of mean and volatility of stock returns to domestic and international information based on a four-regime double-threshold GARCH model (RePEc:eee:phsmap:v:366:y:2006:i:c:p:401-418)
by Chen, Cathy W.S. & Yang, Ming Jing & Gerlach, Richard & Jim Lo, H. - Integer-valued transfer function models for counts that show zero inflation (RePEc:eee:stapro:v:193:y:2023:i:c:s0167715222002140)
by Chen, Cathy W.S. & Liu, Feng-Chi & Pingal, Aljo Clair - A Bayesian analysis of generalized threshold autoregressive models (RePEc:eee:stapro:v:40:y:1998:i:1:p:15-22)
by Chen, Cathy W. S. - Bayesian model selection for heteroskedastic models (RePEc:eme:aecozz:s0731-9053(08)23018-5)
by Cathy W.S. Chen & Richard Gerlach & Mike K.P. So - Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intraday Range (RePEc:ems:eureir:23795)
by Chen, C.W.S. & Gerlach, R. & Hwang, B.B.K. & McAleer, M.J. - Employing Bayesian Forecasting of Value-at-Risk to Determine an Appropriate Model for Risk Management (RePEc:hit:hiasdp:hias-e-16)
by CHEN, Cathy W.S. & WENG, Monica M.C. & WATANABE, Toshiaki & 渡部, 渡部 - Journal of Economics and Management (RePEc:jec:journl)
from College of Business, Feng Chia University, Taiwan as editor - Subset threshold autoregression (RePEc:jof:jforec:v:22:y:2003:i:1:p:49-66)
by Cathy W. S. Chen & Mike K. P. So - A Bayesian threshold nonlinearity test for financial time series (RePEc:jof:jforec:v:24:y:2005:i:1:p:61-75)
by Cathy W. S. Chen & Mike K. P. So & Ming-Tien Chen - Volatility forecasting with double Markov switching GARCH models (RePEc:jof:jforec:v:28:y:2009:i:8:p:681-697)
by Cathy W. S. Chen & Mike K. P. So & Edward M. H. Lin - Smooth Transition Quantile Capital Asset Pricing Models with Heteroscedasticity (RePEc:kap:compec:v:40:y:2012:i:1:p:19-48)
by Cathy Chen & Simon Lin & Philip Yu - Bayesian Unit Root Test in Double Threshold Heteroskedastic Models (RePEc:kap:compec:v:42:y:2013:i:4:p:471-490)
by Cathy Chen & Shu-Yu Chen & Sangyeol Lee - On Asymmetric Market Model with Heteroskedasticity and Quantile Regression (RePEc:kap:compec:v:49:y:2017:i:1:d:10.1007_s10614-015-9550-3)
by Cathy W. S. Chen & Muyi Li & Nga T. H. Nguyen & Songsak Sriboonchitta - How Strong is the Relationship Among Gold and USD Exchange Rates? Analytics Based on Structural Change Models (RePEc:kap:compec:v:53:y:2019:i:1:d:10.1007_s10614-017-9743-z)
by Manh Cuong Dong & Cathy W. S. Chen & Sangyoel Lee & Songsak Sriboonchitta - On a Bivariate Hysteretic AR-GARCH Model with Conditional Asymmetry in Correlations (RePEc:kap:compec:v:58:y:2021:i:2:d:10.1007_s10614-020-10034-0)
by Cathy W. S. Chen & Hong Than-Thi & Manabu Asai - Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range (RePEc:kyo:wpaper:775)
by Cathy W. S. Chen & Richard Gerlach & Bruce B. K. Hwang & Michael McAleer - Asymmetric Return and Volatility Responses to Composite News from Stock Markets (RePEc:mfj:journl:v:11:y:2007:i:3-4:p:179-210)
by Thomas C. Chiang & Cathy W.S. Chen & Mike K.P. So - Bias may be unintentional but it's still there (RePEc:nat:nature:v:439:y:2006:i:7072:d:10.1038_439018d)
by Cathy W. S. Chen & Ying-Hen Hsieh - Bayesian Expected Shortfall Forecasting Incorporating the Intraday Range (RePEc:oup:jfinec:v:14:y:2016:i:1:p:128-158.)
by Richard Gerlach & Cathy W. S. Chen - Public opinion concerning governments’ response to the COVID-19 pandemic (RePEc:plo:pone00:0260062)
by Cathy W S Chen & Tsai-Hung Fan - On the Selection of Subset Bilinear Time Series Models: a Genetic Algorithm Approach (RePEc:spr:compst:v:16:y:2001:i:4:d:10.1007_s180-001-8327-9)
by Cathy W. S. Chen & Tsai-Hung Cherng & Berlin Wu - Bayesian subset selection for threshold autoregressive moving-average models (RePEc:spr:compst:v:26:y:2011:i:1:p:1-30)
by Cathy Chen & Feng Liu & Richard Gerlach - Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity (RePEc:spr:compst:v:28:y:2013:i:3:p:1103-1131)
by Cathy Chen & Richard Gerlach - Threshold variable selection of asymmetric stochastic volatility models (RePEc:spr:compst:v:28:y:2013:i:6:p:2415-2447)
by Cathy Chen & Feng-Chi Liu & Mike So - Bayesian inference of nonlinear hysteretic integer-valued GARCH models for disease counts (RePEc:spr:compst:v:36:y:2021:i:1:d:10.1007_s00180-020-01018-7)
by Cathy W. S. Chen & Sangyeol Lee & K. Khamthong - Evidence of Stock Returns and Abnormal Trading Volume: A Threshold Quantile Regression Approach (RePEc:spr:jecrev:v:67:y:2016:i:1:d:10.1111_jere.12074)
by Cathy W. S. Chen & Mike K. P. So & Thomas C. Chiang - Bayesian inference of multiple structural change models with asymmetric GARCH errors (RePEc:spr:stmapp:v:30:y:2021:i:3:d:10.1007_s10260-020-00549-z)
by Cathy W. S. Chen & Bonny Lee - Semi-parametric Expected Shortfall Forecasting (RePEc:syb:wpbsba:2123/10457)
by Chen, Cathy W.S. & Gerlach, Richard - Bayesian Assessment of Dynamic Quantile Forecasts (RePEc:syb:wpbsba:2123/11816)
by Chen, Cathy W.S. & Gerlach, Richard & Lin, Edward M.H. - Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis (RePEc:syb:wpbsba:2123/8156)
by Chen, Cathy W.S. & Gerlach, Richard & Lee, Wcw & Lin, Edward M.H. - Bayesian time-varying quantile forecasting for Value-at-Risk in financial markets (RePEc:syb:wpbsba:2123/8159)
by Chan, Nancy Y. C. & Chen, Cathy W.S. & Gerlach, Richard - Bayesian Semi-parametric Expected Shortfall Forecasting in Financial M arkets (RePEc:syb:wpbsba:2123/8169)
by Chen, Cathy W.S. & Gerlach, Richard & Lin, Liou-Yan - Bayesian Time-Varying Quantile Forecasting for Value-at-Risk in Financial Markets (RePEc:taf:jnlbes:v:29:y:2011:i:4:p:481-492)
by Richard H. Gerlach & Cathy W. S. Chen & Nancy Y. C. Chan - On Fisher’s dispersion test for integer-valued autoregressive Poisson models with applications (RePEc:taf:lstaxx:v:46:y:2017:i:20:p:9985-9994)
by Sangyeol Lee & Siyun Park & Cathy W. S. Chen - Multi-regime nonlinear capital asset pricing models (RePEc:taf:quantf:v:11:y:2011:i:9:p:1421-1438)
by Cathy W. S. Chen & Richard H. Gerlach & Ann M. H. Lin - Bivariate asymmetric GARCH models with heavy tails and dynamic conditional correlations (RePEc:taf:quantf:v:14:y:2014:i:7:p:1297-1313)
by S.T. Boris Choy & Cathy W.S. Chen & Edward M.H. Lin - Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range (RePEc:ucm:doicae:1116)
by Cathy W. S. Chen & Richard Gerlach & Bruce B. K. Hwang & Michael McAleer - Statistical Estimation of Portfolios for Dependent Financial Returns (RePEc:ulb:ulbeco:2013/136659)
by Cathy Chen & Junichi Hirukawa & Hiroshi Shiraishi & Kenichiro Tamaki & Masanobu Taniguchi & David Veredas - Asymmetric response and interaction of U.S. and local news in financial markets (RePEc:wly:apsmbi:v:21:y:2005:i:3:p:273-288)
by Cathy W. S. Chen & Mike K. P. So & Richard H. Gerlach - Modelling financial time series with threshold nonlinearity in returns and trading volume (RePEc:wly:apsmbi:v:23:y:2007:i:4:p:319-338)
by Mike K. P. So & Cathy W. S. Chen & Thomas C. Chiang & Doris S. Y. Lin - Falling and explosive, dormant, and rising markets via multiple‐regime financial time series models (RePEc:wly:apsmbi:v:26:y:2010:i:1:p:28-49)
by Cathy W. S. Chen & Richard H. Gerlach & Ann M. H. Lin - Model selection of a switching mechanism for financial time series (RePEc:wly:apsmbi:v:32:y:2016:i:6:p:836-851)
by Buu‐Chau Truong & Cathy W. S. Chen & Mike K. P. So - Bayesian modeling and forecasting of Value‐at‐Risk via threshold realized volatility (RePEc:wly:apsmbi:v:35:y:2019:i:3:p:747-765)
by Cathy W.S. Chen & Toshiaki Watanabe - Quantile forecasting based on a bivariate hysteretic autoregressive model with GARCH errors and time ‐varying correlations (RePEc:wly:apsmbi:v:35:y:2019:i:6:p:1301-1321)
by Cathy W.S. Chen & Hong Than‐Thi & Mike K.P. So & Songsak Sriboonchitta - Bayesian non‐linear quantile effects on modelling realized kernels (RePEc:wly:ijfiec:v:28:y:2023:i:1:p:981-995)
by Manh Cuong Dong & Cathy W. S. Chen & Manabu Asai - Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis (RePEc:wly:jforec:v:31:y:2012:i:8:p:661-687)
by Cathy W.S. Chen & Richard Gerlach & Edward M. H. Lin & W. C. W. Lee - Bayesian Assessment of Dynamic Quantile Forecasts (RePEc:wly:jforec:v:35:y:2016:i:8:p:751-764)
by Richard Gerlach & Cathy W. S. Chen & Edward M. H. Lin - Bayesian quantile forecasting via the realized hysteretic GARCH model (RePEc:wly:jforec:v:41:y:2022:i:7:p:1317-1337)
by Cathy W. S. Chen & Edward M. H. Lin & Tara F. J. Huang