Cathy W. S. Chen : Citation Profile


Are you Cathy W. S. Chen?

Feng Chia University

12

H index

14

i10 index

414

Citations

RESEARCH PRODUCTION:

59

Articles

10

Papers

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   24 years (1997 - 2021). See details.
   Cites by year: 17
   Journals where Cathy W. S. Chen has often published
   Relations with other researchers
   Recent citing documents: 66.    Total self citations: 37 (8.2 %)

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   Permalink: http://citec.repec.org/pch735
   Updated: 2021-11-28    RAS profile: 2021-04-03    
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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 (14)

Caporin, Massimiliano (11)

Pelizzon, Loriana (7)

Liu, Xiaochun (7)

Rigobon, Roberto (7)

Chan, Jennifer (7)

Zanetti, Francesco (7)

GUPTA, RANGAN (6)

NG, KOK HAUR (6)

Lin, Edward (6)

serra, teresa (6)

Cites to:

Bollerslev, Tim (68)

Jagannathan, Ravi (39)

Engle, Robert (38)

Chiang, Thomas (16)

Chou, Ray (16)

Granger, Clive (12)

Teräsvirta, Timo (11)

Diebold, Francis (11)

Andersen, Torben (10)

Brooks, Chris (9)

French, Kenneth (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 Statistics5
Computational Economics4
Physica A: Statistical Mechanics and its Applications4
Mathematics and Computers in Simulation (MATCOM)4
The North American Journal of Economics and Finance4
Journal of the Royal Statistical Society Series C3
Journal of Forecasting3
International Journal of Forecasting3
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 (2021 and 2020)


YearTitle of citing document
2021Dynamic 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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2021A Semi-parametric Realized Joint Value-at-Risk and Expected Shortfall Regression Framework. (2018). Chen, Qian ; Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:1807.02422.

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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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2021A 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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2021Nonparametric Expected Shortfall Forecasting Incorporating Weighted Quantiles. (2020). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2005.04868.

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2021Horseshoe Prior Bayesian Quantile Regression. (2020). Kohns, David ; Szendrei, Tibor. In: Papers. RePEc:arx:papers:2006.07655.

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2021Bridging 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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2021Efficiency 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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2020Portfolio Risk Measurement Using a Mixture Simulation Approach. (2020). Sharifi, Azin ; Sina, Seyed Mohammad ; Arian, Hamidreza. In: Papers. RePEc:arx:papers:2011.07994.

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2020If Global or Local Investor Sentiments are Prone to Developing an Impact on Stock Returns, is there an Industry Effect?. (2020). Zhu, Tingting ; Ausloos, Marcel ; Shi, Jing. In: Papers. RePEc:arx:papers:2012.12951.

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2020Filtering the intensity of public concern from social media count data with jumps. (2020). , Carlo ; Iacopini, Matteo. In: Papers. RePEc:arx:papers:2012.13267.

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2021Approximate Bayes factors for unit root testing. (2021). Alexandros, Iosifidis ; Martin, Magris. In: Papers. RePEc:arx:papers:2102.10048.

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2021A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting. (2021). Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:2106.00288.

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2021Stochastic volatility model with range-based correction and leverage. (2021). Kurose, Yuta. In: Papers. RePEc:arx:papers:2110.00039.

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2021Efecto del riesgo de tipo de cambio en la rentabilidad de los bonos soberanos en Colombia. (2021). Ardila-Dueas, Carlos David ; Vargas-Paez, Andrea Carolina. In: Borradores de Economia. RePEc:bdr:borrec:1165.

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2021Integrated nested Laplace approximations for threshold stochastic volatility models. (2021). Rue, Havard ; Lopes, Maria Helena ; de Zea, P ; Marin, Juan Miguel. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:31804.

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2021How did the asset markets change after the Global Financial Crisis?. (2021). Leung, Charles ; Ka, Charles ; Chang, Kuang-Liang. In: GRU Working Paper Series. RePEc:cth:wpaper:gru_2021_004.

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2021How did the asset markets change after the Global Financial Crisis?. (2021). Leung, Charles ; Chang, Kuang-Liang. In: ISER Discussion Paper. RePEc:dpr:wpaper:1124.

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2021The time-varying evolution of inflation risks. (2021). Korobilis, Dimitris ; Phella, Anthoulla ; Musso, Alberto ; Landau, Bettina. In: Working Paper Series. RePEc:ecb:ecbwps:20212600.

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2021Forecasting corporate financial distress in the Southeast Asian countries: A market-based approach. (2021). Vo, Duc ; Powell, Robert J ; Dinh, Dung V. In: Journal of Asian Economics. RePEc:eee:asieco:v:74:y:2021:i:c:s1049007821000221.

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2020Determinants of corporate default risk in China: The role of financial constraints. (2020). Liu, Ding ; Xu, Liao ; Ouyang, Ruolan ; Zhang, Xuan. In: Economic Modelling. RePEc:eee:ecmode:v:92:y:2020:i:c:p:87-98.

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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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2020Time-varying asymmetric volatility spillover between global markets and China’s A, B and H-shares using EGARCH and DCC-EGARCH models. (2020). Singh, Anuradha ; Powell, Robert ; Yong, J ; Do, A. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940819301342.

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2021Contagion between real estate and financial markets: A Bayesian quantile-on-quantile approach. (2021). Ravazzolo, Francesco ; GUPTA, RANGAN ; Caporin, Massimiliano. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:55:y:2021:i:c:s1062940820302291.

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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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2020Copula stochastic volatility in oil returns: Approximate Bayesian computation with volatility prediction. (2020). Galeano, Pedro ; Ausin, Concepcion M ; Virbickait, Audron. In: Energy Economics. RePEc:eee:eneeco:v:92:y:2020:i:c:s0140988320303017.

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2021Global equity market volatilities forecasting: A comparison of leverage effects, jumps, and overnight information. (2021). Wei, YU ; Ma, Feng ; Li, Yan ; Liang, Chao. In: International Review of Financial Analysis. RePEc:eee:finana:v:75:y:2021:i:c:s1057521921000922.

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2021Information disclosure and the default risk of online peer-to-peer lending platform. (2021). Su, Zhongnan ; Wang, Qian ; Chen, Xinyang. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319313716.

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2021Do protectionist trade policies integrate domestic markets? Evidence from the Canada-U.S. softwood lumber dispute. (2021). , Craig ; Guo, Jinggang. In: Forest Policy and Economics. RePEc:eee:forpol:v:130:y:2021:i:c:s1389934121001313.

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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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2021Bayesian median autoregression for robust time series forecasting. (2021). Li, Meng ; Zeng, Zijian. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:2:p:1000-1010.

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2021Conditional value-at-risk forecasts of an optimal foreign currency portfolio. (2021). Ho, Kyu ; Kim, Dongwhan. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:2:p:838-861.

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2021The children of the missed pill. (2021). Urzua, Sergio ; Sarzosa, Miguel ; Rau, Tomas. In: Journal of Health Economics. RePEc:eee:jhecon:v:79:y:2021:i:c:s0167629621000813.

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2021Bayesian multivariate quantile regression using Dependent Dirichlet Process prior. (2021). Ghosal, Subhashis ; Bhattacharya, Indrabati. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:185:y:2021:i:c:s0047259x21000415.

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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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2020Behavioral data-driven analysis with Bayesian method for risk management of financial services. (2020). Yu, Min-Teh ; Sun, Edward W. In: International Journal of Production Economics. RePEc:eee:proeco:v:228:y:2020:i:c:s0925527320301250.

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2020Geometric-Like Processes: An Overview and Some Reliability Applications. (2020). Marshall, Sarah ; Hayakawa, YU ; Chukova, Stefanka ; Arnold, Richard. In: Reliability Engineering and System Safety. RePEc:eee:reensy:v:201:y:2020:i:c:s0951832020304919.

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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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2021Efficiency 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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2020A Functional-Coefficient VAR Model for Dynamic Quantiles with Constructing Financial Network. (2020). Liu, Xiyuan ; Cai, Zongwu. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202017.

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2021On a Bivariate Hysteretic AR-GARCH Model with Conditional Asymmetry in Correlations. (2021). Asai, Manabu ; Than-Thi, Hong. In: Computational Economics. RePEc:kap:compec:v:58:y:2021:i:2:d:10.1007_s10614-020-10034-0.

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2021Revisiting disposition effect and momentum: a quantile regression perspective. (2021). Doukas, John A ; Ahmed, Mohamed S. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:56:y:2021:i:3:d:10.1007_s11156-020-00919-4.

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2021Accrual mispricing, value-at-risk, and expected stock returns. (2021). Simlai, Prodosh. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:57:y:2021:i:4:d:10.1007_s11156-021-00985-2.

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2021Bridging 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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2021The impacts of Covid-19 pandemic on the smooth transition dynamics of stock market index volatilities for the Four Asian Tigers and Japan. (2021). Su, Yi Kai ; Chun, Ming Chen ; Liu, Day Yang. In: International Journal of Research in Business and Social Science (2147-4478). RePEc:rbs:ijbrss:v:10:y:2021:i:4:p:183-194.

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2021Bridging 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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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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2020ECM Algorithm for Auto-Regressive Multivariate Skewed Variance Gamma Model with Unbounded Density. (2020). , Jennifer ; Nitithumbundit, Thanakorn. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:22:y:2020:i:3:d:10.1007_s11009-019-09762-0.

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2021Integer-valued time series model order shrinkage and selection via penalized quasi-likelihood approach. (2021). Yang, Kai ; Wang, Dehui. In: Metrika: International Journal for Theoretical and Applied Statistics. RePEc:spr:metrik:v:84:y:2021:i:5:d:10.1007_s00184-020-00799-7.

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2020Bayesian estimation for threshold autoregressive model with multiple structural breaks. (2020). Kumar, Jitendra ; Agiwal, Varun. In: METRON. RePEc:spr:metron:v:78:y:2020:i:3:d:10.1007_s40300-020-00188-0.

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2021Bayesian inference of multiple structural change models with asymmetric GARCH errors. (2021). Lee, Bonny. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:30:y:2021:i:3:d:10.1007_s10260-020-00549-z.

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2021Unified Bayesian conditional autoregressive risk measures using the skew exponential power distribution. (2021). Petrella, Lea ; Bottone, Marco ; Bernardi, Mauro. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:30:y:2021:i:3:d:10.1007_s10260-020-00550-6.

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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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2020State dependence in labour market fluctuations. (2020). Zanetti, Francesco ; Theodoridis, Konstantinos ; Pizzinelli, Carlo. In: Working Papers. RePEc:stm:wpaper:47.

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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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2021Regime switches and permanent changes in impacts of housing risk factors on MSA?level housing returns. (2021). Huang, Meichi. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:1:p:310-342.

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2021Volatility specifications versus probability distributions in VaR forecasting. (2021). Novales, Alfonso ; Garciajorcano, Laura. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:2:p:189-212.

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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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article48
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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2016Evidence of Stock Returns and Abnormal Trading Volume: A Threshold Quantile Regression Approach.(2016) In: The Japanese Economic Review.
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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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article5
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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article1
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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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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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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2006Comparison of nonnested asymmetric heteroskedastic models In: Computational Statistics & Data Analysis.
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2008Volatility forecasting using threshold heteroskedastic models of the intra-day range In: Computational Statistics & Data Analysis.
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2009Bayesian causal effects in quantiles: Accounting for heteroscedasticity In: Computational Statistics & Data Analysis.
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2011Classification in segmented regression problems In: Computational Statistics & Data Analysis.
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2012A Bayesian conditional autoregressive geometric process model for range data In: Computational Statistics & Data Analysis.
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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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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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2019Inferences of default risk and borrower characteristics on P2P lending In: The North American Journal of Economics and Finance.
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2021Multi-asset pair-trading strategy: A statistical learning approach In: The North American Journal of Economics and Finance.
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2017Nonparametric tolerance limits for pair trading In: Finance Research Letters.
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2006On a threshold heteroscedastic model In: International Journal of Forecasting.
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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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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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