13
H index
16
i10 index
485
Citations
Feng Chia University | 13 H index 16 i10 index 485 Citations RESEARCH PRODUCTION: 63 Articles 10 Papers EDITOR: Series edited RESEARCH ACTIVITY:
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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: | Cites to: |
Working Papers Series with more than one paper published | # docs |
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Working Papers / University of Sydney Business School, Discipline of Business Analytics | 5 |
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2021 | Dynamic Quantile Function Models. (2017). Sisson, Scott A ; Gerlach, Richard H ; Peters, Gareth W ; Ye, Wilson . In: Papers. RePEc:arx:papers:1707.02587. Full description at Econpapers || Download paper |
2021 | A 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. Full description at Econpapers || Download paper |
2021 | A 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. Full description at Econpapers || Download paper |
2021 | Nonparametric Expected Shortfall Forecasting Incorporating Weighted Quantiles. (2020). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2005.04868. Full description at Econpapers || Download paper |
2021 | Horseshoe Prior Bayesian Quantile Regression. (2020). Kohns, David ; Szendrei, Tibor. In: Papers. RePEc:arx:papers:2006.07655. Full description at Econpapers || Download paper |
2021 | Bridging 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. Full description at Econpapers || Download paper |
2021 | Efficiency 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. Full description at Econpapers || Download paper |
2021 | Approximate Bayes factors for unit root testing. (2021). Alexandros, Iosifidis ; Martin, Magris. In: Papers. RePEc:arx:papers:2102.10048. Full description at Econpapers || Download paper |
2021 | Tail forecasts of inflation using time-varying parameter quantile regressions. (2021). Pfarrhofer, Michael. In: Papers. RePEc:arx:papers:2103.03632. Full description at Econpapers || Download paper |
2022 | A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting. (2021). Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:2106.00288. Full description at Econpapers || Download paper |
2021 | Stochastic volatility model with range-based correction and leverage. (2021). Kurose, Yuta. In: Papers. RePEc:arx:papers:2110.00039. Full description at Econpapers || Download paper |
2022 | First-order integer-valued autoregressive processes with Generalized Katz innovations. (2022). Casarin, Roberto ; Carallo, Giulia ; Bassetti, Federico. In: Papers. RePEc:arx:papers:2202.02029. Full description at Econpapers || Download paper |
2022 | Threshold Asymmetric Conditional Autoregressive Range (TACARR) Model. (2022). Ratnayake, Isuru ; Samaranayake, V A. In: Papers. RePEc:arx:papers:2202.03351. Full description at Econpapers || Download paper |
2023 | Bridging 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. Full description at Econpapers || Download paper |
2021 | Popularity of Unit Root Tests - A Review. (2021). Akram, Vaseem ; Rath, Badri Narayan. In: Asian Economics Letters. RePEc:ayb:jrnael:46. Full description at Econpapers || Download paper |
2021 | Efecto 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. Full description at Econpapers || Download paper |
2021 | Filtering 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. Full description at Econpapers || Download paper |
2021 | Integrated 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. Full description at Econpapers || Download paper |
2021 | How 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. Full description at Econpapers || Download paper |
2021 | How did the asset markets change after the Global Financial Crisis?. (2021). Leung, Charles ; Chang, Kuang-Liang. In: ISER Discussion Paper. RePEc:dpr:wpaper:1124. Full description at Econpapers || Download paper |
2021 | The time-varying evolution of inflation risks. (2021). Korobilis, Dimitris ; Phella, Anthoulla ; Musso, Alberto ; Landau, Bettina. In: Working Paper Series. RePEc:ecb:ecbwps:20212600. Full description at Econpapers || Download paper |
2021 | Forecasting 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. Full description at Econpapers || Download paper |
2022 | On 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. Full description at Econpapers || Download paper |
2023 | Modeling 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. Full description at Econpapers || Download paper |
2022 | Modeling 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. Full description at Econpapers || Download paper |
2022 | Asymmetric 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. Full description at Econpapers || Download paper |
2021 | Contagion 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. Full description at Econpapers || Download paper |
2021 | Using 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. Full description at Econpapers || Download paper |
2021 | Can 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. Full description at Econpapers || Download paper |
2022 | Ownership 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. Full description at Econpapers || Download paper |
2022 | Time-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. Full description at Econpapers || Download paper |
2022 | Dynamic 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. Full description at Econpapers || Download paper |
2023 | How 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. Full description at Econpapers || Download paper |
2022 | Efficient 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. Full description at Econpapers || Download paper |
2023 | Modeling 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. Full description at Econpapers || Download paper |
2022 | Hedging 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. Full description at Econpapers || Download paper |
2021 | Global 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. Full description at Econpapers || Download paper |
2021 | Do 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. Full description at Econpapers || Download paper |
2021 | Information 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. Full description at Econpapers || Download paper |
2022 | Product 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. Full description at Econpapers || Download paper |
2023 | Tail 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. Full description at Econpapers || Download paper |
2023 | A 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. Full description at Econpapers || Download paper |
2021 | Do 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. Full description at Econpapers || Download paper |
2021 | Bayesian 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. Full description at Econpapers || Download paper |
2021 | Conditional 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. Full description at Econpapers || Download paper |
2022 | Endemic-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. Full description at Econpapers || Download paper |
2022 | Forecasting: 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 |
2021 | The 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. Full description at Econpapers || Download paper |
2021 | Bayesian 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. Full description at Econpapers || Download paper |
2022 | Gold 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. Full description at Econpapers || Download paper |
2021 | Portfolio 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. Full description at Econpapers || Download paper |
2022 | Encoded 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. Full description at Econpapers || Download paper |
2023 | Efficiency 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. Full description at Econpapers || Download paper |
2022 | Covid-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. Full description at Econpapers || Download paper |
2023 | Integer-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. Full description at Econpapers || Download paper |
2022 | . Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2021 | . Full description at Econpapers || Download paper |
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2021 | Project 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. Full description at Econpapers || Download paper |
2022 | A 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. Full description at Econpapers || Download paper |
2022 | The 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. Full description at Econpapers || Download paper |
2021 | Efficiency 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. Full description at Econpapers || Download paper |
2022 | Market Risk and Volatility Weighted Historical Simulation After Basel III. (2022). Firouzi, Hassan Omidi ; Laurent, Jean-Paul. In: Working Papers. RePEc:hal:wpaper:hal-03679434. Full description at Econpapers || Download paper |
2022 | Best 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. Full description at Econpapers || Download paper |
2022 | Dependence 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. Full description at Econpapers || Download paper |
2021 | Revisiting 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. Full description at Econpapers || Download paper |
2021 | Accrual 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. Full description at Econpapers || Download paper |
2023 | What 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. Full description at Econpapers || Download paper |
2021 | Bridging 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. Full description at Econpapers || Download paper |
2021 | Dynamic 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. Full description at Econpapers || Download paper |
2022 | Nowcasting 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. Full description at Econpapers || Download paper |
2022 | Forecasting 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. Full description at Econpapers || Download paper |
2021 | The 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. Full description at Econpapers || Download paper |
2021 | Bridging 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. Full description at Econpapers || Download paper |
2022 | Can 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. Full description at Econpapers || Download paper |
2021 | Random 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. Full description at Econpapers || Download paper |
2022 | On 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. Full description at Econpapers || Download paper |
2022 | Predicting 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. Full description at Econpapers || Download paper |
2021 | Integer-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. Full description at Econpapers || Download paper |
2021 | A 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. Full description at Econpapers || Download paper |
2022 | Quantitative 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. Full description at Econpapers || Download paper |
2021 | Unified 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. Full description at Econpapers || Download paper |
2022 | Dependence 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. Full description at Econpapers || Download paper |
2022 | PARAMETRIC 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. Full description at Econpapers || Download paper |
2021 | Regime 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. Full description at Econpapers || Download paper |
2022 | If 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. Full description at Econpapers || Download paper |
2022 | Time?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. Full description at Econpapers || Download paper |
2023 | Bayesian 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. Full description at Econpapers || Download paper |
2021 | Volatility 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. Full description at Econpapers || Download paper |
2022 | Forecasting 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. Full description at Econpapers || Download paper |
2022 | Bayesian 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. Full description at Econpapers || Download paper |
2023 | Cross?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. Full description at Econpapers || Download paper |
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2011 | Bayesian Time-Varying Quantile Forecasting for Value-at-Risk in Financial Markets In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 52 |
2009 | Bayesian time-varying quantile forecasting for Value-at-Risk in financial markets.(2009) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 52 | paper | |
2011 | Bayesian Time-Varying Quantile Forecasting for Value-at-Risk in Financial Markets.(2011) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 52 | article | |
2016 | Evidence of Stock Returns and Abnormal Trading Volume: A Threshold Quantile Regression Approach In: The Japanese Economic Review. [Full Text][Citation analysis] | article | 6 |
2016 | Evidence of Stock Returns and Abnormal Trading Volume: A Threshold Quantile Regression Approach.(2016) In: The Japanese Economic Review. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | article | |
2006 | Best 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] | article | 5 |
2017 | Bayesian 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] | article | 8 |
2019 | Markov 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] | article | 5 |
2011 | Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range In: Working Papers in Economics. [Full Text][Citation analysis] | paper | 20 |
2012 | Forecasting Value-at-Risk using nonlinear regression quantiles and the intra-day range.(2012) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has another version. Agregated cites: 20 | article | |
2011 | Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intraday Range.(2011) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 20 | paper | |
2011 | Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range.(2011) In: KIER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 20 | paper | |
1997 | Detection of additive outliers in bilinear time series In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 5 |
1999 | A unified approach to estimating population size for a births only model In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 1 |
2006 | Comparison of nonnested asymmetric heteroskedastic models In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 15 |
2008 | Volatility forecasting using threshold heteroskedastic models of the intra-day range In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 24 |
2009 | Bayesian causal effects in quantiles: Accounting for heteroscedasticity In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 14 |
2011 | Classification in segmented regression problems In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 1 |
2012 | A Bayesian conditional autoregressive geometric process model for range data In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 8 |
2014 | Bayesian estimation of smoothly mixing time-varying parameter GARCH models In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 0 |
2016 | Generalized Poisson autoregressive models for time series of counts In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 12 |
2017 | Pair trading based on quantile forecasting of smooth transition GARCH models In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 3 |
2018 | Predicting failure risk using financial ratios: Quantile hazard model approach In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 2 |
2019 | Inferences of default risk and borrower characteristics on P2P lending In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 6 |
2021 | Multi-asset pair-trading strategy: A statistical learning approach In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 0 |
2017 | Nonparametric tolerance limits for pair trading In: Finance Research Letters. [Full Text][Citation analysis] | article | 1 |
2006 | On a threshold heteroscedastic model In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 21 |
2012 | Forecasting volatility with asymmetric smooth transition dynamic range models In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 15 |
2003 | Asymmetrical 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] | article | 42 |
2008 | An empirical evaluation of fat-tailed distributions in modeling financial time series In: Mathematics and Computers in Simulation (MATCOM). [Full Text][Citation analysis] | article | 4 |
2008 | Testing for nonlinearity in mean and volatility for heteroskedastic models In: Mathematics and Computers in Simulation (MATCOM). [Full Text][Citation analysis] | article | 1 |
2009 | Optimal dynamic hedging via copula-threshold-GARCH models In: Mathematics and Computers in Simulation (MATCOM). [Full Text][Citation analysis] | article | 30 |
2009 | The impact of structural breaks on the integration of the ASEAN-5 stock markets In: Mathematics and Computers in Simulation (MATCOM). [Full Text][Citation analysis] | article | 7 |
2005 | Long-term dependence with asymmetric conditional heteroscedasticity in stock returns In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 2 |
2006 | Asymmetric responses of international stock markets to trading volume In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 11 |
2006 | Estimating the Number of HIV-infected gay sauna patrons in Taipei area In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 0 |
2006 | The 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] | article | 6 |
1998 | A Bayesian analysis of generalized threshold autoregressive models In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 24 |
2015 | Employing Bayesian Forecasting of Value-at-Risk to Determine an Appropriate Model for Risk Management In: Discussion paper series. [Full Text][Citation analysis] | paper | 0 |
2003 | Subset threshold autoregression In: Journal of Forecasting. [Full Text][Citation analysis] | article | 13 |
2005 | A Bayesian threshold nonlinearity test for financial time series In: Journal of Forecasting. [Full Text][Citation analysis] | article | 17 |
2009 | Volatility forecasting with double Markov switching GARCH models In: Journal of Forecasting. [Full Text][Citation analysis] | article | 21 |
2012 | Smooth Transition Quantile Capital Asset Pricing Models with Heteroscedasticity In: Computational Economics. [Full Text][Citation analysis] | article | 6 |
2013 | Bayesian Unit Root Test in Double Threshold Heteroskedastic Models In: Computational Economics. [Full Text][Citation analysis] | article | 4 |
2017 | On Asymmetric Market Model with Heteroskedasticity and Quantile Regression In: Computational Economics. [Full Text][Citation analysis] | article | 1 |
2019 | How Strong is the Relationship Among Gold and USD Exchange Rates? Analytics Based on Structural Change Models In: Computational Economics. [Full Text][Citation analysis] | article | 3 |
2021 | On a Bivariate Hysteretic AR-GARCH Model with Conditional Asymmetry in Correlations In: Computational Economics. [Full Text][Citation analysis] | article | 0 |
2007 | Asymmetric Return and Volatility Responses to Composite News from Stock Markets In: Multinational Finance Journal. [Full Text][Citation analysis] | article | 4 |
2006 | Bias may be unintentional but its still there In: Nature. [Full Text][Citation analysis] | article | 0 |
2016 | Bayesian Expected Shortfall Forecasting Incorporating the Intraday Range In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 8 |
2022 | Public opinion concerning governments’ response to the COVID-19 pandemic In: PLOS ONE. [Full Text][Citation analysis] | article | 0 |
2001 | On the Selection of Subset Bilinear Time Series Models: a Genetic Algorithm Approach In: Computational Statistics. [Full Text][Citation analysis] | article | 2 |
2011 | Bayesian subset selection for threshold autoregressive moving-average models In: Computational Statistics. [Full Text][Citation analysis] | article | 5 |
2013 | Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity In: Computational Statistics. [Full Text][Citation analysis] | article | 3 |
2013 | Threshold variable selection of asymmetric stochastic volatility models In: Computational Statistics. [Full Text][Citation analysis] | article | 3 |
2021 | Bayesian inference of nonlinear hysteretic integer-valued GARCH models for disease counts In: Computational Statistics. [Full Text][Citation analysis] | article | 2 |
2021 | Bayesian inference of multiple structural change models with asymmetric GARCH errors In: Statistical Methods & Applications. [Full Text][Citation analysis] | article | 0 |
2014 | Semi-parametric Expected Shortfall Forecasting In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
2014 | Bayesian Assessment of Dynamic Quantile Forecasts In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
2016 | Bayesian Assessment of Dynamic Quantile Forecasts.(2016) In: Journal of Forecasting. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
2011 | Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis In: Working Papers. [Full Text][Citation analysis] | paper | 20 |
2012 | Bayesian 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 | |
2012 | Bayesian Semi-parametric Expected Shortfall Forecasting in Financial M arkets In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
2017 | On Fisher’s dispersion test for integer-valued autoregressive Poisson models with applications In: Communications in Statistics - Theory and Methods. [Full Text][Citation analysis] | article | 1 |
2011 | Multi-regime nonlinear capital asset pricing models In: Quantitative Finance. [Full Text][Citation analysis] | article | 3 |
2014 | Bivariate asymmetric GARCH models with heavy tails and dynamic conditional correlations In: Quantitative Finance. [Full Text][Citation analysis] | article | 4 |
2012 | Statistical Estimation of Portfolios for Dependent Financial Returns In: ULB Institutional Repository. [Full Text][Citation analysis] | paper | 0 |
2005 | Asymmetric response and interaction of U.S. and local news in financial markets In: Applied Stochastic Models in Business and Industry. [Full Text][Citation analysis] | article | 2 |
2007 | Modelling financial time series with threshold nonlinearity in returns and trading volume In: Applied Stochastic Models in Business and Industry. [Full Text][Citation analysis] | article | 1 |
2010 | Falling 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] | article | 1 |
2016 | Model selection of a switching mechanism for financial time series In: Applied Stochastic Models in Business and Industry. [Full Text][Citation analysis] | article | 0 |
2019 | Bayesian modeling and forecasting of Value?at?Risk via threshold realized volatility In: Applied Stochastic Models in Business and Industry. [Full Text][Citation analysis] | article | 2 |
2019 | Quantile 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] | article | 2 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated April, 29 2023. Contact: CitEc Team