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Citations
Cathy W. S. Chen : Citation Profile
Feng Chia University | RESEARCH PRODUCTION: 71 Articles 10 Papers 1 Chapters EDITOR: Series edited RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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28 years (1995 - 2023). 
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:
| Cites to:
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Main data
Where Cathy W. S. Chen has published?
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Working Papers / University of Sydney Business School, Discipline of Business Analytics | 5 |
Recent works citing Cathy W. S. Chen (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 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 |
| 2023 | Microstructure and asset pricing: An insight on African frontier stock markets. (2023). Nchofoung, Tii ; Hikouatcha, Prince ; Tchoffo, Pierre Ghislain ; Bidias, Hans Patrick ; Njamen, Arsene Aurelien. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:75:y:2023:i:4:p:944-987. Full description at Econpapers || Download paper |
| 2023 | Crime, Weather and Climate Change in Australia. (2023). Smyth, Russell ; Trinh, Trong Anh ; Churchill, Sefa Awaworyi. In: The Economic Record. RePEc:bla:ecorec:v:99:y:2023:i:324:p:84-107. Full description at Econpapers || Download paper |
| 2023 | Flexible bivariate INGARCH process with a broad range of contemporaneous correlation. (2023). Ombao, Hernando ; Barretosouza, Wagner. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:44:y:2023:i:2:p:206-222. Full description at Econpapers || Download paper |
| 2023 | Probabilistic Quantile Factor Analysis. (2023). Schrder, Maximilian ; Korobilis, Dimitris. In: Working Papers. RePEc:bny:wpaper:0116. Full description at Econpapers || Download paper |
| 2023 | Energy supply shocks’ nonlinearities on output and prices. (2023). Tornese, Tommaso ; de Santis, Roberto A. In: Working Paper Series. RePEc:ecb:ecbwps:20232834. 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 |
| 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 |
| 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 |
| 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 |
| 2023 | Nowcasting growth using Google Trends data: A Bayesian Structural Time Series model. (2023). Bhattacharjee, Arnab ; Kohns, David. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1384-1412. 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 |
| 2023 | Abnormal trading volume, news and market efficiency: Evidence from the Jamaica Stock Exchange. (2023). Swidler, Steve ; Wright, Calvin. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922001908. Full description at Econpapers || Download paper |
| 2023 | Flight-to-Liquidity and Excess Stock Return: Empirical Evidence from a Dynamic Panel Model. (2023). Ur, Habib ; Ali, Asif ; Sands, John ; Arian, Adam. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:12:p:515-:d:1298848. Full description at Econpapers || Download paper |
| 2023 | A Literature Review on the Financial Determinants of Hotel Default. (2023). METAXAS, THEODORE ; Romanopoulos, Athanasios. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:7:p:323-:d:1188400. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | The Impact of Uncertainty Shocks to Consumption under Different Confidence Regimes Based on a Stochastic Uncertainty-in-Mean TVAR Model. (2023). Chen, Zhuoran ; Zhou, Xianbo. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:4:p:3032-:d:1060891. Full description at Econpapers || Download paper |
| 2023 | Hedging the Risks of MENA Stock Markets with Gold: Evidence from the Spectral Approach. (2023). Essaadi, Essahbi ; Bouri, Elie ; Ourir, Awatef. In: Computational Economics. RePEc:kap:compec:v:61:y:2023:i:1:d:10.1007_s10614-021-10204-8. 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 |
| 2023 | A covariate-driven beta-binomial integer-valued GARCH model for bounded counts with an application. (2023). Zhu, Fukang ; Li, QI ; Chen, Huaping. In: Metrika: International Journal for Theoretical and Applied Statistics. RePEc:spr:metrik:v:86:y:2023:i:7:d:10.1007_s00184-023-00894-5. Full description at Econpapers || Download paper |
| 2023 | On bivariate threshold Poisson integer-valued autoregressive processes. (2023). Wang, Dehui ; Li, Han ; Zhao, Yiwei ; Yang, Kai. In: Metrika: International Journal for Theoretical and Applied Statistics. RePEc:spr:metrik:v:86:y:2023:i:8:d:10.1007_s00184-023-00899-0. Full description at Econpapers || Download paper |
| 2023 | Review of Statistical Approaches for Modeling High-Frequency Trading Data. (2023). Ravishanker, Nalini ; Basu, Sumanta ; Karpman, Kara ; Dutta, Chiranjit. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:85:y:2023:i:1:d:10.1007_s13571-022-00280-7. Full description at Econpapers || Download paper |
| 2023 | A panel threshold VAR with stochastic volatility-in-mean model: an application to the effects of financial and uncertainty shocks in emerging economies. (2023). Soave, Gian Paulo. In: Applied Economics. RePEc:taf:applec:v:55:y:2023:i:4:p:397-431. 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 |
Cathy W. S. Chen is editor of
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| Journal of Economics and Management |
Works by Cathy W. S. Chen:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2011 | Bayesian Time-Varying Quantile Forecasting for Value-at-Risk in Financial Markets In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 53 |
| 2009 | Bayesian time-varying quantile forecasting for Value-at-Risk in financial markets.(2009) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 53 | 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 nother version. Agregated cites: 53 | 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 nother 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 | 6 |
| 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 | 9 |
| 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 |
| 1995 | BAYESIAN INFERENCE OF THRESHOLD AUTOREGRESSIVE MODELS In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 67 |
| 2011 | Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range In: Working Papers in Economics. [Full Text][Citation analysis] | paper | 22 |
| 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 nother version. Agregated cites: 22 | 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 nother version. Agregated cites: 22 | 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 nother version. Agregated cites: 22 | paper | |
| 2023 | Quantile three-factor model with heteroskedasticity, skewness, and leptokurtosis In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 0 |
| 2023 | Bayesian modeling of spatial integer-valued time series In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 0 |
| 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 | 13 |
| 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 | 3 |
| 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 |
| 2023 | Bayesian estimation of realized GARCH-type models with application to financial tail risk management In: Econometrics and Statistics. [Full Text][Citation analysis] | article | 0 |
| 2017 | Nonparametric tolerance limits for pair trading In: Finance Research Letters. [Full Text][Citation analysis] | article | 1 |
| 2023 | Tail risk forecasting of realized volatility CAViaR models In: Finance Research Letters. [Full Text][Citation analysis] | article | 0 |
| 2006 | On a threshold heteroscedastic model In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 19 |
| 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 | 31 |
| 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 | 8 |
| 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 | 7 |
| 2023 | Integer-valued transfer function models for counts that show zero inflation In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 0 |
| 1998 | A Bayesian analysis of generalized threshold autoregressive models In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 23 |
| 2008 | Bayesian model selection for heteroskedastic models In: Advances in Econometrics. [Full Text][Citation analysis] | chapter | 0 |
| 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 | 18 |
| 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 | 5 |
| 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 | 4 |
| 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 | 7 |
| 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 | 6 |
| 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 | 0 |
| 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 nother 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 nother 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 | 0 |
| 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 | 1 |
| 2023 | Bayesian non?linear quantile effects on modelling realized kernels In: International Journal of Finance & Economics. [Full Text][Citation analysis] | article | 0 |
| 2022 | Bayesian quantile forecasting via the realized hysteretic GARCH model In: Journal of Forecasting. [Full Text][Citation analysis] | article | 0 |
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