Cathy W. S. Chen : Citation Profile

Are you Cathy W. S. Chen?

Feng Chia University

13

H index

16

i10 index

485

Citations

RESEARCH PRODUCTION:

63

Articles

10

Papers

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   25 years (1997 - 2022). See details.
   Cites by year: 19
   Journals where Cathy W. S. Chen has often published
   Relations with other researchers
   Recent citing documents: 93.    Total self citations: 39 (7.44 %)

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   Permalink: http://citec.repec.org/pch735
   Updated: 2023-05-27    RAS profile: 2022-03-20    
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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)

Fiszeder, Piotr (10)

Theodoridis, Konstantinos (9)

NG, KOK HAUR (8)

Zanetti, Francesco (8)

Shang, Han Lin (7)

Paccagnini, Alessia (7)

Martinez, Andrew (7)

Thomakos, Dimitrios (7)

Rubaszek, Michał (7)

Cites to:

Bollerslev, Tim (77)

Engle, Robert (48)

Jagannathan, Ravi (44)

Chiang, Thomas (19)

Chou, Ray (16)

Diebold, Francis (16)

Teräsvirta, Timo (14)

Kohn, Robert (13)

Brooks, Chris (12)

Andersen, Torben (11)

Lin, Edward (10)

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 Economics5
The North American Journal of Economics and Finance4
Mathematics and Computers in Simulation (MATCOM)4
Physica A: Statistical Mechanics and its Applications4
Journal of Forecasting3
Journal of the Royal Statistical Society Series C3
International Journal of Forecasting3
Quantitative Finance2
Journal of Forecasting2

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 (2022 and 2021)

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

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2021Tail forecasts of inflation using time-varying parameter quantile regressions. (2021). Pfarrhofer, Michael. In: Papers. RePEc:arx:papers:2103.03632.

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2022A 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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2022First-order integer-valued autoregressive processes with Generalized Katz innovations. (2022). Casarin, Roberto ; Carallo, Giulia ; Bassetti, Federico. In: Papers. RePEc:arx:papers:2202.02029.

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2022Threshold Asymmetric Conditional Autoregressive Range (TACARR) Model. (2022). Ratnayake, Isuru ; Samaranayake, V A. In: Papers. RePEc:arx:papers:2202.03351.

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2023Bridging the Covid-19 Data and the Epidemiological Model using Time-Varying Parameter SIRD Model. (2023). Simsek, Yasin ; Cakmakli, Cem. In: Papers. RePEc:arx:papers:2301.13692.

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2021Popularity of Unit Root Tests - A Review. (2021). Akram, Vaseem ; Rath, Badri Narayan. In: Asian Economics Letters. RePEc:ayb:jrnael:46.

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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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2021Filtering the intensity of public concern from social media count data with jumps. (2021). Santagiustina, Carlo ; Iacopini, Matteo. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:184:y:2021:i:4:p:1283-1302.

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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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2022On MCMC sampling in self-exciting integer-valued threshold time series models. (2022). Dong, Xiaogang ; Zhang, Qingqing ; Yu, Xinyang ; Yang, Kai. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:169:y:2022:i:c:s0167947321002449.

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2023Modeling and inference for multivariate time series of counts based on the INGARCH scheme. (2023). Kim, Byungsoo ; Lee, Sangyeol. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:177:y:2023:i:c:s0167947322001591.

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2022Modeling tail risks of inflation using unobserved component quantile regressions. (2022). Pfarrhofer, Michael. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:143:y:2022:i:c:s016518892200197x.

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2022Asymmetric multivariate HAR models for realized covariance matrix: A study based on volatility timing strategies. (2022). Zhang, YI ; Qu, Hui. In: Economic Modelling. RePEc:eee:ecmode:v:106:y:2022:i:c:s0264999321002881.

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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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2021Using your regular contacts as collateral: The information value of call logs. (2021). He, Yunwen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001005.

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2021Can individual investors learn from experience in online P2P lending? Evidence from China. (2021). Cai, Lingfei ; Guo, Xiaoshuang ; Ge, Ruyi ; Li, Zhouping. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001406.

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2022Ownership concentration, modified audit opinion, and auditor switch: New evidence and method. (2022). Yang, Jingjing ; Muhammad, Abdul ; Hu, May. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:61:y:2022:i:c:s106294082200047x.

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2022Time-varying risk aversion and renminbi exchange rate volatility: Evidence from CARR-MIDAS model. (2022). Zhang, Huanming ; Xie, Haibin ; Wu, Xinyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:61:y:2022:i:c:s1062940822000559.

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2022Dynamic spillovers and linkages between gold, crude oil, S&P 500, and other economic and financial variables. Evidence from the USA. (2022). Bellos, Sotirios K ; Gkasis, Pavlos ; Golitsis, Petros. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:63:y:2022:i:c:s1062940822001255.

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2023How oil price and exchange rate affect stock price in China using Bayesian Quantile_on_Quantile with GARCH approach. (2023). Chang, Tsangyao. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940823000025.

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2022Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: Applications for financial risk management. (2022). , Amanda ; Thomas, . In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:151-167.

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2023Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices. (2023). Fiszeder, Piotr ; Molnar, Peter ; Fadziski, Marcin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:308-321.

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2022Hedging IMO2020 compliant fuel price exposure using futures contracts. (2022). Kavussanos, Manolis ; Bai, Xiwen. In: Energy Economics. RePEc:eee:eneeco:v:110:y:2022:i:c:s0140988322001980.

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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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2021Do currency exchange rates impact gold prices? New evidence from the ongoing COVID-19 period. (2021). Sarker, Ashutosh ; Brooks, Robert ; Tanin, Tauhidul Islam . In: International Review of Financial Analysis. RePEc:eee:finana:v:77:y:2021:i:c:s1057521921001988.

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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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2022Product market competition and stock return dependence. (2022). Liu, LU ; Asgharian, Hossein. In: Finance Research Letters. RePEc:eee:finlet:v:50:y:2022:i:c:s1544612322004123.

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2023Tail risk forecasting of realized volatility CAViaR models. (2023). Watanabe, Toshiaki ; Hsu, Hsiao-Yun. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322005050.

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2023A Bayesian approach for more reliable tail risk forecasts. (2023). Drovandi, Christopher ; Clements, Adam ; Li, Dan. In: Journal of Financial Stability. RePEc:eee:finsta:v:64:y:2023:i:c:s157230892200119x.

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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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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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2022Endemic-epidemic models with discrete-time serial interval distributions for infectious disease prediction. (2022). Held, Leonhard ; Bracher, Johannes. In: International Journal of Forecasting. RePEc:eee:intfor:v:38:y:2022:i:3:p:1221-1233.

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2022Forecasting: theory and practice. (2022). Shang, Han Lin ; Rubaszek, Michał ; Martinez, Andrew ; Grossi, Luigi ; Franses, Philip Hans ; Fiszeder, Piotr ; Clements, Michael ; Castle, Jennifer ; Carnevale, Claudio ; Kolassa, Stephan ; Thorarinsdottir, Thordis ; Guo, Xiaojia ; Reade, James J ; Petropoulos, Fotios ; Nikolopoulos, Konstantinos ; Koehler, Anne B ; Thomakos, Dimitrios ; Browell, Jethro ; Rapach, David E ; Modis, Theodore ; Kang, Yanfei ; Tashman, Len ; Boylan, John E ; Gunter, Ulrich ; Ramos, Patricia ; Ellison, Joanne ; Meeran, Sheik ; Richmond, Victor ; Talagala, Thiyanga S ; Bijak, Jakub ; Guidolin, Massimo ; Pinson, Pierre ; Dokumentov, Alexander ; Jeon, Jooyoung ; Bessa, Ricardo J ; Pedregal, Diego J ; de Baets, Shari ; Ziel, Florian ; Syntetos, Aris A ; Bergmeir, Christoph
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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2022Gold price and exchange rate in pre and during Covid-19 period in India: Modelling dependence using copulas. (2022). Kundu, Pradip ; Bal, Debi Prasad ; Sahu, Pritish Kumar. In: Resources Policy. RePEc:eee:jrpoli:v:79:y:2022:i:c:s0301420722005694.

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2021Portfolio Value-at-Risk and expected-shortfall using an efficient simulation approach based on Gaussian Mixture Model. (2021). Arian, Hamidreza ; Sharifi, Azin ; Sina, Seyed Mohammad. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:190:y:2021:i:c:p:1056-1079.

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2022Encoded Value-at-Risk: A machine learning approach for portfolio risk measurement. (2022). Zamani, Shiva ; Tabatabaei, Ehsan ; Moghimi, Mehrdad ; Arian, Hamid. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:202:y:2022:i:c:p:500-525.

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2023Efficiency of the financial markets during the COVID-19 crisis: Time-varying parameters of fractional stable dynamics. (2023). Garcin, Matthieu ; Ammy-Driss, Ayoub. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:609:y:2023:i:c:s0378437122008937.

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2022Covid-19 impact on Cryptocurrencies market using Multivariate Time Series Models. (2022). , Jennifer ; Nitithumbundit, Thanakorn. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:86:y:2022:i:c:p:365-375.

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2023Integer-valued transfer function models for counts that show zero inflation. (2023). Pingal, Aljo Clair ; Liu, Feng-Chi. In: Statistics & Probability Letters. RePEc:eee:stapro:v:193:y:2023:i:c:s0167715222002140.

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2021Project Portfolio Construction Using Extreme Value Theory. (2021). Tabasi, Hamed ; Yousefi, Vahidreza ; Tamoaitien, Jolanta. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:2:p:855-:d:481501.

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2022A Novel Interval Energy-Forecasting Method for Sustainable Building Management Based on Deep Learning. (2022). Duan, Yun. In: Sustainability. RePEc:gam:jsusta:v:14:y:2022:i:14:p:8584-:d:861963.

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2022The Role of GARCH Effect on the Prediction of Air Pollution. (2022). Huang, Ming-Hsiang ; Hsueh, Hsiu-Wen ; Yao, Kai-Chao ; Wu, Tsung-Che. In: Sustainability. RePEc:gam:jsusta:v:14:y:2022:i:8:p:4459-:d:789825.

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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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2022Market Risk and Volatility Weighted Historical Simulation After Basel III. (2022). Firouzi, Hassan Omidi ; Laurent, Jean-Paul. In: Working Papers. RePEc:hal:wpaper:hal-03679434.

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2022Best Subset Selection for Double-Threshold-Variable Autoregressive Moving-Average Models: The Bayesian Approach. (2022). Zhang, Dabin ; Xia, Qiang ; Liang, Kun ; Zheng, Xiaobing. In: Computational Economics. RePEc:kap:compec:v:59:y:2022:i:3:d:10.1007_s10614-021-10124-7.

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2022Dependence and Systemic Risk Analysis Between S&P 500 Index and Sector Indexes: A Conditional Value-at-Risk Approach. (2022). Ye, Wuyi ; Jiao, Shoukun. In: Computational Economics. RePEc:kap:compec:v:59:y:2022:i:3:d:10.1007_s10614-021-10125-6.

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2021Revisiting disposition effect and momentum: a quantile regression perspective. (2021). Ahmed, Mohamed ; Doukas, John A. 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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2023What do we know about the stock markets’ reaction to regulatory announcements regarding financial institutions? Evidence from UK financial institutions. (2023). Dockery, Everton ; Kawas, Stephen. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:60:y:2023:i:1:d:10.1007_s11156-022-01088-2.

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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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2021Dynamic Cross Hedging Effectiveness between Gold and Stock Market Based on Downside Risk Measures: Evidence from Iran Emerging Capital Market. (2021). Veisizadeh, Vahid ; Tehrani, Reza. In: Journal of Money and Economy. RePEc:mbr:jmonec:v:16:y:2021:i:1:p:43-70.

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2022Nowcasting Growth using Google Trends Data: A Bayesian Structural Time Series Model. (2022). Kohns, David ; Bhattacharjee, Arnab. In: National Institute of Economic and Social Research (NIESR) Discussion Papers. RePEc:nsr:niesrd:538.

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2022Forecasting volatility during the outbreak of Russian invasion of Ukraine: application to commodities, stock indices, currencies, and cryptocurrencies. (2022). Maecka, Marta ; Fiszeder, Piotr. In: Equilibrium. Quarterly Journal of Economics and Economic Policy. RePEc:pes:ierequ:v:17:y:2022:i:4:p:939-967.

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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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2022Can Equity be Safe-haven for Investment?. (2022). Balasubramanian, G ; Kayal, Parthajit ; Sri, Janani. In: Journal of Emerging Market Finance. RePEc:sae:emffin:v:21:y:2022:i:1:p:32-63.

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2021Random coefficients integer-valued threshold autoregressive processes driven by logistic regression. (2021). Zhang, Chenhui ; Wang, Dehui ; Li, Han ; Yang, Kai. In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:105:y:2021:i:4:d:10.1007_s10182-020-00379-0.

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2022On the relationship between oil and gas markets: a new forecasting framework based on a machine learning approach. (2022). Boubaker, Sahbi ; Tissaoui, Kais ; Ftiti, Zied. In: Annals of Operations Research. RePEc:spr:annopr:v:313:y:2022:i:2:d:10.1007_s10479-020-03652-2.

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2022Predicting interest rate distributions using PCA & quantile regression. (2022). Westgaard, Sjur ; Pimentel, Rita ; Risstad, Morten. In: Digital Finance. RePEc:spr:digfin:v:4:y:2022:i:4:d:10.1007_s42521-022-00057-7.

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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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2021A Bayesian piecewise linear model for the detection of breakpoints in housing prices. (2021). Rahman, Hafizur ; Tomal, Jabed H. In: METRON. RePEc:spr:metron:v:79:y:2021:i:3:d:10.1007_s40300-021-00223-8.

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2022Quantitative modelling frontiers: a literature review on the evolution in financial and risk modelling after the financial crisis (2008–2019). (2022). Vogl, Markus. In: SN Business & Economics. RePEc:spr:snbeco:v:2:y:2022:i:12:d:10.1007_s43546-022-00359-3.

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

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2022Dependence on a collection of Poisson random variables. (2022). Nieto-Barajas, Luis E. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:31:y:2022:i:1:d:10.1007_s10260-021-00561-x.

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2022PARAMETRIC CONDITIONAL MEAN INFERENCE WITH FUNCTIONAL DATA APPLIED TO LIFETIME INCOME CURVES. (2022). Phillips, Peter ; Cho, Jin Seo. In: International Economic Review. RePEc:wly:iecrev:v:63:y:2022:i:1:p:391-456.

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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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2022If global or local investor sentiments are prone to developing an impact on stock returns, is there an industry effect?. (2022). Zhu, Tingting ; Ausloos, Marcel ; Shi, Jing. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:1:p:1309-1320.

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2022Time?varying roles of housing risk factors in state?level housing markets. (2022). Huang, Meichi. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:4:p:4660-4683.

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2023Bayesian non?linear quantile effects on modelling realized kernels. (2023). Asai, Manabu ; Dong, Manh Cuong. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:1:p:981-995.

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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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2022Forecasting realized volatility of Chinese stock market: A simple but efficient truncated approach. (2022). Wang, Yudong ; Zhang, Yaojie ; He, Mengxi ; Wen, Danyan. In: Journal of Forecasting. RePEc:wly:jforec:v:41:y:2022:i:2:p:230-251.

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2022Bayesian quantile forecasting via the realized hysteretic GARCH model. (2022). , Edward. In: Journal of Forecasting. RePEc:wly:jforec:v:41:y:2022:i:7:p:1317-1337.

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2023Cross?regional comparative study on digital finance and finance efficiency in China: The eastern and non?eastern areas. (2023). Lin, Taiyu ; Chiu, Yungho ; Yang, Jinbao ; Wang, Qian. In: Managerial and Decision Economics. RePEc:wly:mgtdec:v:44:y:2023:i:1:p:68-83.

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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.
[Full Text][Citation analysis]		article52
2009Bayesian time-varying quantile forecasting for Value-at-Risk in financial markets.(2009) In: Working Papers.
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This paper has another version. Agregated cites: 52		paper
2011Bayesian Time-Varying Quantile Forecasting for Value-at-Risk in Financial Markets.(2011) In: Journal of Business & Economic Statistics.
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This paper has another version. Agregated cites: 52		article
2016Evidence of Stock Returns and Abnormal Trading Volume: A Threshold Quantile Regression Approach In: The Japanese Economic Review.
[Full Text][Citation analysis]		article6
2016Evidence of Stock Returns and Abnormal Trading Volume: A Threshold Quantile Regression Approach.(2016) In: The Japanese Economic Review.
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This paper has another version. Agregated cites: 6		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.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		article8
2019Markov switching integer?valued generalized auto?regressive conditional heteroscedastic models for dengue counts In: Journal of the Royal Statistical Society Series C.
[Full Text][Citation analysis]		article5
2011Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range In: Working Papers in Economics.
[Full Text][Citation analysis]		paper20
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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This paper has another version. Agregated cites: 20		paper
1997Detection of additive outliers in bilinear time series In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article5
1999A unified approach to estimating population size for a births only model In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article1
2006Comparison of nonnested asymmetric heteroskedastic models In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article15
2008Volatility forecasting using threshold heteroskedastic models of the intra-day range In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article24
2009Bayesian causal effects in quantiles: Accounting for heteroscedasticity In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article14
2011Classification in segmented regression problems In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article1
2012A Bayesian conditional autoregressive geometric process model for range data In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article8
2014Bayesian estimation of smoothly mixing time-varying parameter GARCH models In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article0
2016Generalized Poisson autoregressive models for time series of counts In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article12
2017Pair trading based on quantile forecasting of smooth transition GARCH models In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]		article3
2018Predicting failure risk using financial ratios: Quantile hazard model approach In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]		article2
2019Inferences of default risk and borrower characteristics on P2P lending In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]		article6
2021Multi-asset pair-trading strategy: A statistical learning approach In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]		article0
2017Nonparametric tolerance limits for pair trading In: Finance Research Letters.
[Full Text][Citation analysis]		article1
2006On a threshold heteroscedastic model In: International Journal of Forecasting.
[Full Text][Citation analysis]		article21
2012Forecasting volatility with asymmetric smooth transition dynamic range models In: International Journal of Forecasting.
[Full Text][Citation analysis]		article15
2003Asymmetrical reaction to US stock-return news: evidence from major stock markets based on a double-threshold model In: Journal of Economics and Business.
[Full Text][Citation analysis]		article42
2008An empirical evaluation of fat-tailed distributions in modeling financial time series In: Mathematics and Computers in Simulation (MATCOM).
[Full Text][Citation analysis]		article4
2008Testing for nonlinearity in mean and volatility for heteroskedastic models In: Mathematics and Computers in Simulation (MATCOM).
[Full Text][Citation analysis]		article1
2009Optimal dynamic hedging via copula-threshold-GARCH models In: Mathematics and Computers in Simulation (MATCOM).
[Full Text][Citation analysis]		article30
2009The impact of structural breaks on the integration of the ASEAN-5 stock markets In: Mathematics and Computers in Simulation (MATCOM).
[Full Text][Citation analysis]		article7
2005Long-term dependence with asymmetric conditional heteroscedasticity in stock returns In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]		article2
2006Asymmetric responses of international stock markets to trading volume In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]		article11
2006Estimating the Number of HIV-infected gay sauna patrons in Taipei area In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]		article0
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.
[Full Text][Citation analysis]		article6
1998A Bayesian analysis of generalized threshold autoregressive models In: Statistics & Probability Letters.
[Full Text][Citation analysis]		article24
2015Employing Bayesian Forecasting of Value-at-Risk to Determine an Appropriate Model for Risk Management In: Discussion paper series.
[Full Text][Citation analysis]		paper0
2003Subset threshold autoregression In: Journal of Forecasting.
[Full Text][Citation analysis]		article13
2005A Bayesian threshold nonlinearity test for financial time series In: Journal of Forecasting.
[Full Text][Citation analysis]		article17
2009Volatility forecasting with double Markov switching GARCH models In: Journal of Forecasting.
[Full Text][Citation analysis]		article21
2012Smooth Transition Quantile Capital Asset Pricing Models with Heteroscedasticity In: Computational Economics.
[Full Text][Citation analysis]		article6
2013Bayesian Unit Root Test in Double Threshold Heteroskedastic Models In: Computational Economics.
[Full Text][Citation analysis]		article4
2017On Asymmetric Market Model with Heteroskedasticity and Quantile Regression In: Computational Economics.
[Full Text][Citation analysis]		article1
2019How Strong is the Relationship Among Gold and USD Exchange Rates? Analytics Based on Structural Change Models In: Computational Economics.
[Full Text][Citation analysis]		article3
2021On a Bivariate Hysteretic AR-GARCH Model with Conditional Asymmetry in Correlations In: Computational Economics.
[Full Text][Citation analysis]		article0
2007Asymmetric Return and Volatility Responses to Composite News from Stock Markets In: Multinational Finance Journal.
[Full Text][Citation analysis]		article4
2006Bias may be unintentional but its still there In: Nature.
[Full Text][Citation analysis]		article0
2016Bayesian Expected Shortfall Forecasting Incorporating the Intraday Range In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]		article8
2022Public opinion concerning governments’ response to the COVID-19 pandemic In: PLOS ONE.
[Full Text][Citation analysis]		article0
2001On the Selection of Subset Bilinear Time Series Models: a Genetic Algorithm Approach In: Computational Statistics.
[Full Text][Citation analysis]		article2
2011Bayesian subset selection for threshold autoregressive moving-average models In: Computational Statistics.
[Full Text][Citation analysis]		article5
2013Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity In: Computational Statistics.
[Full Text][Citation analysis]		article3
2013Threshold variable selection of asymmetric stochastic volatility models In: Computational Statistics.
[Full Text][Citation analysis]		article3
2021Bayesian inference of nonlinear hysteretic integer-valued GARCH models for disease counts In: Computational Statistics.
[Full Text][Citation analysis]		article2
2021Bayesian inference of multiple structural change models with asymmetric GARCH errors In: Statistical Methods & Applications.
[Full Text][Citation analysis]		article0
2014Semi-parametric Expected Shortfall Forecasting In: Working Papers.
[Full Text][Citation analysis]		paper2
2014Bayesian Assessment of Dynamic Quantile Forecasts In: Working Papers.
[Full Text][Citation analysis]		paper1
2016Bayesian Assessment of Dynamic Quantile Forecasts.(2016) In: Journal of Forecasting.
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This paper has another version. Agregated cites: 1		article
2011Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis In: Working Papers.
[Full Text][Citation analysis]		paper20
2012Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis.(2012) In: Journal of Forecasting.
[Citation analysis]
This paper has another version. Agregated cites: 20		article
2012Bayesian Semi-parametric Expected Shortfall Forecasting in Financial M arkets In: Working Papers.
[Full Text][Citation analysis]		paper3
2017On Fisher’s dispersion test for integer-valued autoregressive Poisson models with applications In: Communications in Statistics - Theory and Methods.
[Full Text][Citation analysis]		article1
2011Multi-regime nonlinear capital asset pricing models In: Quantitative Finance.
[Full Text][Citation analysis]		article3
2014Bivariate asymmetric GARCH models with heavy tails and dynamic conditional correlations In: Quantitative Finance.
[Full Text][Citation analysis]		article4
2012Statistical Estimation of Portfolios for Dependent Financial Returns In: ULB Institutional Repository.
[Full Text][Citation analysis]		paper0
2005Asymmetric response and interaction of U.S. and local news in financial markets In: Applied Stochastic Models in Business and Industry.
[Full Text][Citation analysis]		article2
2007Modelling financial time series with threshold nonlinearity in returns and trading volume In: Applied Stochastic Models in Business and Industry.
[Full Text][Citation analysis]		article1
2010Falling and explosive, dormant, and rising markets via multiple?regime financial time series models In: Applied Stochastic Models in Business and Industry.
[Full Text][Citation analysis]		article1
2016Model selection of a switching mechanism for financial time series In: Applied Stochastic Models in Business and Industry.
[Full Text][Citation analysis]		article0
2019Bayesian modeling and forecasting of Value?at?Risk via threshold realized volatility In: Applied Stochastic Models in Business and Industry.
[Full Text][Citation analysis]		article2
2019Quantile forecasting based on a bivariate hysteretic autoregressive model with GARCH errors and time ?varying correlations In: Applied Stochastic Models in Business and Industry.
[Full Text][Citation analysis]		article2

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated April, 29 2023. Contact: CitEc Team