Cathy W. S. Chen : Citation Profile


Are you Cathy W. S. Chen?

Feng Chia University

12

H index

13

i10 index

351

Citations

RESEARCH PRODUCTION:

55

Articles

11

Papers

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   22 years (1997 - 2019). See details.
   Cites by year: 15
   Journals where Cathy W. S. Chen has often published
   Relations with other researchers
   Recent citing documents: 49.    Total self citations: 36 (9.3 %)

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   Permalink: http://citec.repec.org/pch735
   Updated: 2020-10-24    RAS profile: 2020-07-06    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Cathy W. S. Chen.

Is cited by:

Ravazzolo, Francesco (12)

Caporin, Massimiliano (9)

Rigobon, Roberto (7)

Pelizzon, Loriana (7)

Zanetti, Francesco (7)

Liu, Xiaochun (7)

Chan, Jennifer (7)

Theodoridis, Konstantinos (6)

Gebka, Bartosz (6)

serra, teresa (6)

NG, KOK HAUR (6)

Cites to:

Bollerslev, Tim (69)

Jagannathan, Ravi (41)

Engle, Robert (40)

Chiang, Thomas (17)

Chou, Ray (16)

Teräsvirta, Timo (14)

Diebold, Francis (12)

Granger, Clive (12)

Andersen, Torben (11)

Brooks, Chris (9)

McAleer, Michael (8)

Main data


Where Cathy W. S. Chen has published?


Journals with more than one article published# docs
Computational Statistics & Data Analysis9
Applied Stochastic Models in Business and Industry6
Computational Economics4
Mathematics and Computers in Simulation (MATCOM)4
Physica A: Statistical Mechanics and its Applications4
The North American Journal of Economics and Finance3
Computational Statistics3
Journal of Forecasting3
International Journal of Forecasting3
Journal of the Royal Statistical Society Series C3
Journal of Forecasting2
Quantitative Finance2

Working Papers Series with more than one paper published# docs
Working Papers / University of Sydney Business School, Discipline of Business Analytics5

Recent works citing Cathy W. S. Chen (2020 and 2019)


YearTitle of citing document
2019Dynamic Quantile Function Models. (2017). Sisson, Scott A ; Gerlach, Richard H ; Peters, Gareth W ; Ye, Wilson . In: Papers. RePEc:arx:papers:1707.02587.

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2019Unified Bayesian Conditional Autoregressive Risk Measures using the Skew Exponential Power Distribution. (2019). Petrella, Lea ; Bernardi, Mauro ; Bottone, Marco. In: Papers. RePEc:arx:papers:1902.03982.

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2019Semi-parametric Realized Nonlinear Conditional Autoregressive Expectile and Expected Shortfall. (2019). Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:1906.09961.

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2020Bayesian Median Autoregression for Robust Time Series Forecasting. (2020). Li, Meng ; Zeng, Zijian. In: Papers. RePEc:arx:papers:2001.01116.

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2020A Bayesian Long Short-Term Memory Model for Value at Risk and Expected Shortfall Joint Forecasting. (2020). Gao, Junbin ; Gerlach, Richard ; Wang, Chao ; Tran, Minh-Ngoc ; Li, Zhengkun. In: Papers. RePEc:arx:papers:2001.08374.

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2020Nonparametric Expected Shortfall Forecasting Incorporating Weighted Quantiles. (2020). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2005.04868.

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2020Horseshoe Prior Bayesian Quantile Regression. (2020). Kohns, David ; Szendrei, Tibor. In: Papers. RePEc:arx:papers:2006.07655.

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2020Bridging the COVID-19 Data and the Epidemiological Model using Time Varying Parameter SIRD Model. (2020). Simsek, Yasin ; Cakmakli, Cem . In: Papers. RePEc:arx:papers:2007.02726.

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2020Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics. (2020). Garcin, Matthieu ; Ammy-Driss, Ayoub. In: Papers. RePEc:arx:papers:2007.10727.

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2019Efficient estimation of financial risk by regressing the quantiles of parametric distributions: An application to CARR models. (2019). NG, KOK HAUR ; Kok-Haur, NG ; Shelton, Peiris ; Thanakorn, Nitithumbundit ; So, Chan Jennifer. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:23:y:2019:i:2:p:22:n:4.

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2019Contagion between Real Estate and Financial Markets: A Bayesian Quantile-on-Quantile Approach. (2019). GUPTA, RANGAN ; Caporin, Massimiliano ; Ravazzolo, Francesco. In: BEMPS - Bozen Economics & Management Paper Series. RePEc:bzn:wpaper:bemps61.

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2019Data cloning estimation for asymmetric stochastic volatility models. (2019). Veiga, Helena ; de Zea, Patricia ; Marin, Juan Miguel ; Lopes, Maria Helena. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:28214.

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2019Effects of monetary investment, payback time and firm characteristics on electricity saving in energy-intensive industry. (2019). Thollander, Patrik ; Nehler, Therese ; Karlsson, Magnus ; Lawrence, Akvile. In: Applied Energy. RePEc:eee:appene:v:240:y:2019:i:c:p:499-512.

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2019Quantile range-based volatility measure for modelling and forecasting volatility using high frequency data. (2019). Mohamed, Ibrahim ; Chan, Jennifer So-Kuen ; Ng, Kok-Haur ; Tan, Shay-Kee. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:537-551.

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2020Forecasting volatility with component conditional autoregressive range model. (2020). Hou, Xinmeng ; Wu, Xinyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s106294081930083x.

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2020Threshold factor models for high-dimensional time series. (2020). Chen, Rong ; Liu, Xialu. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:53-70.

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2019Range-based DCC models for covariance and value-at-risk forecasting. (2019). Fiszeder, Piotr ; Molnar, Peter ; Fadziski, Marcin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:54:y:2019:i:c:p:58-76.

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2019Leverage effects and stochastic volatility in spot oil returns: A Bayesian approach with VaR and CVaR applications. (2019). Baum, Christopher ; Zerilli, Paola ; Chen, Liyuan. In: Energy Economics. RePEc:eee:eneeco:v:79:y:2019:i:c:p:111-129.

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2020Forecast combinations for value at risk and expected shortfall. (2020). Taylor, James W. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:428-441.

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2020Semi-parametric dynamic asymmetric Laplace models for tail risk forecasting, incorporating realized measures. (2020). Wang, Chao ; Gerlach, Richard. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:489-506.

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2020Probabilistic forecasting of heterogeneous consumer transaction–sales time series. (2020). West, Mike ; Helman, Paul ; Berry, Lindsay R. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:552-569.

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2020Forecasting stock price volatility: New evidence from the GARCH-MIDAS model. (2020). Yang, Lin ; Liu, Jing ; Ma, Feng ; Wang, LU. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:684-694.

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2019The asymmetric effect of equity volatility on credit default swap spreads. (2019). Lee, Hwang Hee ; Hyun, Jung-Soon. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:98:y:2019:i:c:p:125-136.

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2020Stationarity of prices of precious and industrial metals using recent unit root methods: Implications for markets’ efficiency. (2020). Wahab, Bashir ; Adewuyi, Adeolu O ; Adeboye, Olusegun S. In: Resources Policy. RePEc:eee:jrpoli:v:65:y:2020:i:c:s0301420719305987.

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2020Bitcoin and gold price returns: A quantile regression and NARDL analysis. (2020). Sierra, Karen ; Tolentino, Marta ; De, Maria ; Jareo, Francisco. In: Resources Policy. RePEc:eee:jrpoli:v:67:y:2020:i:c:s0301420719309985.

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2019Directional spillover effects between ASEAN and world stock markets. (2019). Uddin, Gazi ; Troster, Victor ; Yoon, Seong-Min ; Kang, Sang Hoon. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:52-53:y:2019:i::s1042444x19300751.

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2019Dynamic hedging using the realized minimum-variance hedge ratio approach – Examination of the CSI 300 index futures. (2019). Sun, Pengfei ; Zhang, YI ; Wang, Tianyang ; Qu, Hui. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:57:y:2019:i:c:s0927538x1830101x.

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2019A Generalized Error Distribution Copula-based method for portfolios risk assessment. (2019). Cerqueti, Roy ; Giacalone, Massimiliano ; Panarello, Demetrio. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:524:y:2019:i:c:p:687-695.

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2019Modeling the joint dynamic value at risk of the volatility index, oil price, and exchange rate. (2019). Yang, Lu ; Zeng, Yu-Feng ; Chen, Wang ; Hu, Shichao ; Peng, Wei. In: International Review of Economics & Finance. RePEc:eee:reveco:v:59:y:2019:i:c:p:137-149.

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2019Stock return distribution and predictability: Evidence from over a century of daily data on the DJIA index. (2019). Gebka, Bartosz ; Wohar, Mark E. In: International Review of Economics & Finance. RePEc:eee:reveco:v:60:y:2019:i:c:p:1-25.

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2019Empirical analysis of intertemporal relations between downside risks and expected returns—Evidence from Asian markets. (2019). Chiang, Thomas C. In: Research in International Business and Finance. RePEc:eee:riibaf:v:47:y:2019:i:c:p:264-278.

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2020Contagion risk between the shipping freight and stock markets: Evidence from the recent US-China trade war. (2020). Li, Kevin X ; Gong, Yuting ; Shi, Wenming ; Chen, Shu-Ling. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:136:y:2020:i:c:s1366554519310609.

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2019Forecasting Oil Price Volatility in the Era of Big Data: A Text Mining for VaR Approach. (2019). He, Ling-Yun ; Wang, Zi-Jie ; Liu, Li-Na ; Zhao, Lu-Tao. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:14:p:3892-:d:249220.

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2020Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics. (2020). Garcin, Matthieu ; Ammy-Driss, Ayoub. In: Working Papers. RePEc:hal:wpaper:hal-02903655.

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2019State Dependence in Labor Market Fluctuations: Evidence, Theory, and Policy Implications. (2019). Zanetti, Francesco ; Theodoridis, Konstantinos ; Pizzinelli, Carlo. In: IMES Discussion Paper Series. RePEc:ime:imedps:19-e-03.

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2020Bridging the COVID-19 Data and the Epidemiological Model using Time Varying Parameter SIRD Model. (2020). Simsek, Yasin ; Cakmakli, Cem . In: Koç University-TUSIAD Economic Research Forum Working Papers. RePEc:koc:wpaper:2013.

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2020State Dependence in Labor Market Fluctuations. (2020). Zanetti, Francesco ; Theodoridis, Konstantinos ; Pizzinelli, Carlo. In: Economics Series Working Papers. RePEc:oxf:wpaper:902.

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2020Bridging the COVID-19 Data and the Epidemiological Model using Time Varying Parameter SIRD Model. (2020). Simsek, Yasin ; Cakmakli, Cem . In: Working Paper series. RePEc:rim:rimwps:20-23.

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2019CUSUM test for general nonlinear integer-valued GARCH models: comparison study. (2019). Lee, Sangyeol. In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:71:y:2019:i:5:d:10.1007_s10463-018-0676-7.

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2020Bayesian forecasting of multivariate time series: scalability, structure uncertainty and decisions. (2020). West, Mike. In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:72:y:2020:i:1:d:10.1007_s10463-019-00741-3.

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2020A dominance approach for comparing the performance of VaR forecasting models. (2020). Novales, Alfonso ; Garcia-Jorcano, Laura. In: Computational Statistics. RePEc:spr:compst:v:35:y:2020:i:3:d:10.1007_s00180-020-00990-4.

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2019Modeling overdispersed or underdispersed count data with generalized Poisson integer-valued autoregressive processes. (2019). Yang, Kai ; Diao, Yajing ; Li, Han ; Wang, Dehui ; Kang, Yao. In: Metrika: International Journal for Theoretical and Applied Statistics. RePEc:spr:metrik:v:82:y:2019:i:7:d:10.1007_s00184-019-00714-9.

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2020Mean targeting estimator for the integer-valued GARCH(1, 1) model. (2020). Li, QI ; Zhu, Fukang. In: Statistical Papers. RePEc:spr:stpapr:v:61:y:2020:i:2:d:10.1007_s00362-017-0958-9.

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2020The Impact of COVID-19 Pandemic on the Smooth Transition Dynamics of Broad-based Indices Volatilities in Taiwan. (2020). Su, Yi-Kai ; Chen, Chun-Ming ; Liu, Day-Yang. In: Journal of Applied Finance & Banking. RePEc:spt:apfiba:v:10:y:2020:i:5:f:10_5_14.

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2019A dominance approach for comparing the performance of VaR forecasting models. (2019). Novales, Alfonso ; Garcia-Jorcano, Laura. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1923.

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2019Volatility specifications versus probability distributions in VaR forecasting. (2019). Novales, Alfonso ; Garcia-Jorcano, Laura. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1926.

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2020STATE DEPENDENCE IN LABOR MARKET FLUCTUATIONS. (2020). Zanetti, Francesco ; Theodoridis, Konstantinos ; Pizzinelli, Carlo. In: International Economic Review. RePEc:wly:iecrev:v:61:y:2020:i:3:p:1027-1072.

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2020The impact of digital finance on financial efficiency. (2020). Chiu, yung-ho ; Lin, Taiyu ; Yang, Jinbao ; Wang, Qian. In: Managerial and Decision Economics. RePEc:wly:mgtdec:v:41:y:2020:i:7:p:1225-1236.

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2020The impact of uncertainty and certainty shocks. (2020). Schuler, Yves S. In: Discussion Papers. RePEc:zbw:bubdps:142020.

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Cathy W. S. Chen is editor of


Journal
Journal of Economics and Management

Works by Cathy W. S. Chen:


YearTitleTypeCited
2011Bayesian Time-Varying Quantile Forecasting for Value-at-Risk in Financial Markets In: Journal of Business & Economic Statistics.
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article40
2009Bayesian time-varying quantile forecasting for Value-at-Risk in financial markets.(2009) In: Working Papers.
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2011Bayesian Time-Varying Quantile Forecasting for Value-at-Risk in Financial Markets.(2011) In: Journal of Business & Economic Statistics.
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2016Evidence of Stock Returns and Abnormal Trading Volume: A Threshold Quantile Regression Approach In: The Japanese Economic Review.
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article4
2016Evidence of Stock Returns and Abnormal Trading Volume: A Threshold Quantile Regression Approach.(2016) In: The Japanese Economic Review.
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article
2006Best subset selection of autoregressive models with exogenous variables and generalized autoregressive conditional heteroscedasticity errors In: Journal of the Royal Statistical Society Series C.
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article5
2017Bayesian causality test for integer-valued time series models with applications to climate and crime data In: Journal of the Royal Statistical Society Series C.
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article4
2019Markov switching integer‐valued generalized auto‐regressive conditional heteroscedastic models for dengue counts In: Journal of the Royal Statistical Society Series C.
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article0
2011Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range In: Working Papers in Economics.
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2012Forecasting Value-at-Risk using nonlinear regression quantiles and the intra-day range.(2012) In: International Journal of Forecasting.
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article
2011Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intraday Range.(2011) In: Econometric Institute Research Papers.
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2011Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range.(2011) In: KIER Working Papers.
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2011Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range.(2011) In: Documentos de Trabajo del ICAE.
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paper
1997Detection of additive outliers in bilinear time series In: Computational Statistics & Data Analysis.
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1999A unified approach to estimating population size for a births only model In: Computational Statistics & Data Analysis.
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article1
2006Comparison of nonnested asymmetric heteroskedastic models In: Computational Statistics & Data Analysis.
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article14
2008Volatility forecasting using threshold heteroskedastic models of the intra-day range In: Computational Statistics & Data Analysis.
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article16
2009Bayesian causal effects in quantiles: Accounting for heteroscedasticity In: Computational Statistics & Data Analysis.
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article12
2011Classification in segmented regression problems In: Computational Statistics & Data Analysis.
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article1
2012A Bayesian conditional autoregressive geometric process model for range data In: Computational Statistics & Data Analysis.
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article5
2014Bayesian estimation of smoothly mixing time-varying parameter GARCH models In: Computational Statistics & Data Analysis.
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2016Generalized Poisson autoregressive models for time series of counts In: Computational Statistics & Data Analysis.
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article6
2017Pair trading based on quantile forecasting of smooth transition GARCH models In: The North American Journal of Economics and Finance.
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2018Predicting failure risk using financial ratios: Quantile hazard model approach In: The North American Journal of Economics and Finance.
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article1
2019Inferences of default risk and borrower characteristics on P2P lending In: The North American Journal of Economics and Finance.
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article1
2017Nonparametric tolerance limits for pair trading In: Finance Research Letters.
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article1
2006On a threshold heteroscedastic model In: International Journal of Forecasting.
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article14
2012Forecasting volatility with asymmetric smooth transition dynamic range models In: International Journal of Forecasting.
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2003Asymmetrical reaction to US stock-return news: evidence from major stock markets based on a double-threshold model In: Journal of Economics and Business.
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2008An empirical evaluation of fat-tailed distributions in modeling financial time series In: Mathematics and Computers in Simulation (MATCOM).
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2008Testing for nonlinearity in mean and volatility for heteroskedastic models In: Mathematics and Computers in Simulation (MATCOM).
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2009Optimal dynamic hedging via copula-threshold-GARCH models In: Mathematics and Computers in Simulation (MATCOM).
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2009The impact of structural breaks on the integration of the ASEAN-5 stock markets In: Mathematics and Computers in Simulation (MATCOM).
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2005Long-term dependence with asymmetric conditional heteroscedasticity in stock returns In: Physica A: Statistical Mechanics and its Applications.
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2006Asymmetric responses of international stock markets to trading volume In: Physica A: Statistical Mechanics and its Applications.
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2006Estimating the Number of HIV-infected gay sauna patrons in Taipei area In: Physica A: Statistical Mechanics and its Applications.
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2006The asymmetric reactions of mean and volatility of stock returns to domestic and international information based on a four-regime double-threshold GARCH model In: Physica A: Statistical Mechanics and its Applications.
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1998A Bayesian analysis of generalized threshold autoregressive models In: Statistics & Probability Letters.
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2015Employing Bayesian Forecasting of Value-at-Risk to Determine an Appropriate Model for Risk Management In: Discussion paper series.
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2003Subset threshold autoregression In: Journal of Forecasting.
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2005A Bayesian threshold nonlinearity test for financial time series In: Journal of Forecasting.
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2009Volatility forecasting with double Markov switching GARCH models In: Journal of Forecasting.
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2012Smooth Transition Quantile Capital Asset Pricing Models with Heteroscedasticity In: Computational Economics.
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2013Bayesian Unit Root Test in Double Threshold Heteroskedastic Models In: Computational Economics.
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2017On Asymmetric Market Model with Heteroskedasticity and Quantile Regression In: Computational Economics.
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2019How Strong is the Relationship Among Gold and USD Exchange Rates? Analytics Based on Structural Change Models In: Computational Economics.
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2007Asymmetric Return and Volatility Responses to Composite News from Stock Markets In: Multinational Finance Journal.
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2016Bayesian Expected Shortfall Forecasting Incorporating the Intraday Range In: Journal of Financial Econometrics.
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2011Bayesian subset selection for threshold autoregressive moving-average models In: Computational Statistics.
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2013Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity In: Computational Statistics.
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2013Threshold variable selection of asymmetric stochastic volatility models In: Computational Statistics.
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2014Semi-parametric Expected Shortfall Forecasting In: Working Papers.
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2014Bayesian Assessment of Dynamic Quantile Forecasts In: Working Papers.
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2016Bayesian Assessment of Dynamic Quantile Forecasts.(2016) In: Journal of Forecasting.
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2011Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis In: Working Papers.
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2012Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis.(2012) In: Journal of Forecasting.
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2012Bayesian Semi-parametric Expected Shortfall Forecasting in Financial M arkets In: Working Papers.
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2011Multi-regime nonlinear capital asset pricing models In: Quantitative Finance.
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2014Bivariate asymmetric GARCH models with heavy tails and dynamic conditional correlations In: Quantitative Finance.
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2012Statistical Estimation of Portfolios for Dependent Financial Returns In: ULB Institutional Repository.
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2005Asymmetric response and interaction of U.S. and local news in financial markets In: Applied Stochastic Models in Business and Industry.
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2007Modelling financial time series with threshold nonlinearity in returns and trading volume In: Applied Stochastic Models in Business and Industry.
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2010Falling and explosive, dormant, and rising markets via multiple‐regime financial time series models In: Applied Stochastic Models in Business and Industry.
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2016Model selection of a switching mechanism for financial time series In: Applied Stochastic Models in Business and Industry.
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2019Bayesian modeling and forecasting of Value‐at‐Risk via threshold realized volatility In: Applied Stochastic Models in Business and Industry.
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2019Quantile forecasting based on a bivariate hysteretic autoregressive model with GARCH errors and time ‐varying correlations In: Applied Stochastic Models in Business and Industry.
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