Cathy W. S. Chen : Citation Profile

Feng Chia University

14

H index

18

i10 index

638

Citations

RESEARCH PRODUCTION:

76

Articles

13

Papers

1

Chapters

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   30 years (1995 - 2025). See details.
   Cites by year: 21
   Journals where Cathy W. S. Chen has often published
   Relations with other researchers
   Recent citing documents: 57.    Total self citations: 54 (7.8 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pch735
   Updated: 2025-12-20    RAS profile: 2025-08-07    
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Relations with other researchers

Works with:

Asai, Manabu (2)

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:

Zanetti, Francesco (20)

Theodoridis, Konstantinos (19)

Ravazzolo, Francesco (14)

mumtaz, haroon (12)

Caporin, Massimiliano (11)

Fiszeder, Piotr (10)

Alessandri, Piergiorgio (10)

Petrella, Lea (9)

NG, KOK HAUR (8)

Grossi, Luigi (7)

Chan, Jennifer (7)

Cites to:

Bollerslev, Tim (96)

Engle, Robert (58)

Jagannathan, Ravi (46)

Hansen, Peter (26)

Diebold, Francis (25)

Andersen, Torben (22)

Chiang, Thomas (21)

Lunde, Asger (19)

Chou, Ray (17)

Shephard, Neil (15)

Lin, Edward (15)

Main data

Where Cathy W. S. Chen has published?

Journals with more than one article published# docs
Computational Statistics & Data Analysis11
Computational Statistics6
Applied Stochastic Models in Business and Industry6
Computational Economics6
Journal of Forecasting4
Mathematics and Computers in Simulation (MATCOM)4
Physica A: Statistical Mechanics and its Applications4
The North American Journal of Economics and Finance4
International Journal of Forecasting3
Journal of Forecasting3
Journal of the Royal Statistical Society Series C3
Finance Research Letters2
PLOS ONE2
Statistics & Probability Letters2
Quantitative Finance2

Working Papers Series with more than one paper published# docs
Working Papers / University of Sydney Business School, Discipline of Business Analytics5
Papers / arXiv.org2

Recent works citing Cathy W. S. Chen (2025 and 2024)

YearTitle of citing document
2024First-order integer-valued autoregressive processes with Generalized Katz innovations. (2024). Casarin, Roberto ; Carallo, Giulia ; Bassetti, Federico. In: Papers. RePEc:arx:papers:2202.02029.

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2024CAESar: Conditional Autoregressive Expected Shortfall. (2024). Mazzarisi, Piero ; Gatta, Federico ; Lillo, Fabrizio. In: Papers. RePEc:arx:papers:2407.06619.

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2024Loss-based Bayesian Sequential Prediction of Value at Risk with a Long-Memory and Non-linear Realized Volatility Model. (2024). Gerlach, Richard ; Peiris, Rangika ; Tran, Minh-Ngoc ; Wang, Chao. In: Papers. RePEc:arx:papers:2408.13588.

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2024A new GARCH model with a deterministic time-varying intercept. (2024). Teräsvirta, Timo ; Terasvirta, Timo ; Back, Alexander ; Ahlgren, Niklas. In: Papers. RePEc:arx:papers:2410.03239.

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2025Crossing penalised CAViaR. (2025). Szendrei, Tibor. In: Papers. RePEc:arx:papers:2501.10564.

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2025Using quantile time series and historical simulation to forecast financial risk multiple steps ahead. (2025). Storti, Giuseppe ; Naimoli, Antonio ; Gerlach, Richard. In: Papers. RePEc:arx:papers:2502.20978.

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2024Non-linear Dynamics of Oil Supply News Shocks. (2024). Theodoridis, Konstantinos ; mumtaz, haroon ; Miescu, Mirela. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2024/18.

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2024The Causal Effects of Global Supply Chain Disruptions on Macroeconomic Outcomes: Evidence and Theory. (2024). Zanetti, Francesco ; Fernandez-Villaverde, Jesus ; Li, Yiliang ; Bai, Xiwen. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10930.

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2024The Causal Effects of Global Supply Chain Disruptions on Macroeconomic Outcomes: Evidence and Theory. (2024). Zanetti, Francesco ; Fernandez-Villaverde, Jesus ; Li, Yiliang ; Bai, Xiwen. In: Discussion Papers. RePEc:cfm:wpaper:2405.

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2024The Causal Effects of Global Supply Chain Disruptions on Macroeconomic Outcomes: Evidence and Theory. (2024). Zanetti, Francesco ; Fernandez-Villaverde, Jesus ; Li, Yiliang ; Bai, Xiwen. In: CIGS Working Paper Series. RePEc:cnn:wpaper:24-003e.

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2024US monetary policy is more powerful in low economic growth regimes. (2024). Tornese, Tommaso ; de Santis, Roberto A. In: Working Paper Series. RePEc:ecb:ecbwps:20242919.

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2024Asymmetries in the transmission of monetary policy shocks over the business cycle: a Bayesian Quantile Factor Augmented VAR. (2024). Velasco, Sofia. In: Working Paper Series. RePEc:ecb:ecbwps:20242983.

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2025Inference on a stochastic SIR model including growth curves. (2025). de Asis, Francisco ; Prez-Romero, Gema ; Giorno, Virginia ; Albano, Giuseppina. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:212:y:2025:i:c:s0167947325001070.

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2025A score-based threshold effect test in time series models. (2025). Yang, Yaxing ; Deng, Yaping ; Wei, Shufang. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:212:y:2025:i:c:s0167947325001124.

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2024The impact of COVID-19 uncertainties on energy market volatility: Evidence from the US markets. (2024). Ghouli, Jihene ; Sharif, Taimur ; Abedin, Mohammad Zoynul ; Bouteska, Ahmed. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:84:y:2024:i:c:p:25-41.

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2024Nonlinear transmission of international financial stress. (2024). Tuzcuoglu, Kerem. In: Economic Modelling. RePEc:eee:ecmode:v:139:y:2024:i:c:s0264999324001615.

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2025Bayesian analysis for functional coefficient conditional autoregressive range model with applications. (2025). Qian, Yixin ; Wang, Bin ; Yu, Enping. In: Economic Modelling. RePEc:eee:ecmode:v:144:y:2025:i:c:s0264999324003602.

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2025Real-time GARCH@CARR: A joint model of returns, realized measure of volatility and current intraday information. (2025). Xu, Buyun ; Wu, Zhimin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:76:y:2025:i:c:s1062940825000087.

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2024Integrated nested Laplace approximations for threshold stochastic volatility models. (2024). Veiga, Helena ; de Zea, P ; Marin, Miguel J ; Rue, Hvard. In: Econometrics and Statistics. RePEc:eee:ecosta:v:30:y:2024:i:c:p:15-35.

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2025Energy supply shocks’ nonlinearities on output and prices. (2025). Tornese, Tommaso ; de Santis, Roberto A. In: European Economic Review. RePEc:eee:eecrev:v:176:y:2025:i:c:s001429212500087x.

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2024An empirical review of dynamic extreme value models for forecasting value at risk, expected shortfall and expectile. (2024). Herrera, Rodrigo ; Candia, Claudio. In: Journal of Empirical Finance. RePEc:eee:empfin:v:77:y:2024:i:c:s0927539824000239.

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2024Understanding crypto-asset exposure: An investigation of its impact on performance and stock sensitivity among listed companies. (2024). Soski, Tomasz ; Kara, Marta ; Mercik, Aleksander. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000024.

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2024Diversification, hedging, and safe-haven characteristics of cryptocurrencies: A structural change approach. (2024). Cheng, Po-Keng ; Yang, Yiwen ; Hsu, Shu-Han. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924001431.

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2024How does tail risk spill over between Chinese and the US stock markets? An empirical study based on multilayer network. (2024). Feng, Yusen ; Mo, Tingcheng ; Li, Kelong ; Xie, Chi ; Ouyang, Yingbo. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pc:s1057521924004472.

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2024Generalized Poisson difference autoregressive processes. (2024). Casarin, Roberto ; Carallo, Giulia ; Robert, Christian P. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:4:p:1359-1390.

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2024A Bayesian Dirichlet auto-regressive moving average model for forecasting lead times. (2024). Weiss, Robert E ; Brusch, Kai Thomas ; Katz, Harrison. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:4:p:1556-1567.

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2024Politeness matters: The role of polite languages in online peer-to-peer lending. (2024). Wang, Shaoda ; Liao, Junyun ; Ye, Dezhu. In: Journal of Business Research. RePEc:eee:jbrese:v:171:y:2024:i:c:s0148296323007531.

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2025Learning about tail risk: Machine learning and combination with regularization in market risk management. (2025). Wang, Jianzhou ; Lu, Helen ; Zhang, Dongxue ; Xing, Qianyi. In: Omega. RePEc:eee:jomega:v:133:y:2025:i:c:s0305048324002135.

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2024Forecasting Chinese stock market volatility with high-frequency intraday and current return information. (2024). Wang, Yuyao ; Han, Yang ; Wu, Xinyu ; Zhao, AN. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:86:y:2024:i:c:s0927538x24002099.

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2025On the time-varying responses of Fintech stock returns to geopolitical, financial and market sentiment shocks. (2025). SAADAOUI, Zied ; Boufateh, Talel ; Jiao, Zhilun. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:101:y:2025:i:c:s1062976924001571.

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2024Natural gas volatility prediction via a novel combination of GARCH-MIDAS and one-class SVM. (2024). Wang, Xing ; Liang, Chao. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:98:y:2024:i:c:s1062976924001339.

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2025Dynamic asymmetric tail dependence structure among multi-asset classes for portfolio management: Dynamic skew-t copula approach. (2025). Ito, Kakeru. In: International Review of Economics & Finance. RePEc:eee:reveco:v:97:y:2025:i:c:s1059056024007160.

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2024CAViaR models for Value-at-Risk and Expected Shortfall with long range dependency features. (2024). Oberoi, Jaideep ; Mitrodima, Gelly. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:120880.

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2024Forecasting Forex Market Volatility Using Deep Learning Models and Complexity Measures. (2024). Alexandridis, Alex ; Potirakis, Stelios M ; Zitis, Pavlos I. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:12:p:557-:d:1542974.

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2025On Regime Switching Models. (2025). Tan, Zhenni ; Wu, Yuehua. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:7:p:1128-:d:1623629.

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2024The Causal Effects of Global Supply Chain Disruptions on Macroeconomic Outcomes: Evidence and Theory. (2024). Zanetti, Francesco ; Fernandez-Villaverde, Jesus ; Li, Yiliang ; Bai, Xiwen. In: Economics Series Working Papers. RePEc:oxf:wpaper:1033.

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2024Climate Risks and Forecastability of US Inflation: Evidence from Dynamic Quantile Model Averaging. (2024). GUPTA, RANGAN ; Cepni, Oguzhan ; Fu, Shengjie ; Luo, Jiawen. In: Working Papers. RePEc:pre:wpaper:202420.

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2024Zero-modified count time series modeling with an application to influenza cases. (2024). Ravishanker, Nalini ; Conceio, Katiane S ; Andrade, Marinho G. In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:108:y:2024:i:3:d:10.1007_s10182-023-00488-6.

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2025Volatility forecasting: a new GARCH-type model for fuzzy sets-valued time series. (2025). Dai, Xingyu ; Cerqueti, Roy ; Wang, Qunwei ; Xiao, Ling. In: Annals of Operations Research. RePEc:spr:annopr:v:348:y:2025:i:1:d:10.1007_s10479-023-05746-z.

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2025Revisiting housing asset pricing: uncertainty and business-cycle factors in US state-level housing markets. (2025). Huang, Meichi. In: The Annals of Regional Science. RePEc:spr:anresc:v:74:y:2025:i:1:d:10.1007_s00168-025-01366-6.

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2024Robust estimation for the one-parameter exponential family integer-valued GARCH(1,1) models based on a modified Tukey’s biweight function. (2024). Zhu, Fukang ; Xiong, Lanyu. In: Computational Statistics. RePEc:spr:compst:v:39:y:2024:i:2:d:10.1007_s00180-022-01293-6.

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2024Bayesian log-linear beta-negative binomial integer-valued Garch model. (2024). Yu, Keming ; Chu, Yuanqi. In: Computational Statistics. RePEc:spr:compst:v:39:y:2024:i:3:d:10.1007_s00180-023-01386-w.

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2024A pth-order random coefficients mixed binomial autoregressive process with explanatory variables. (2024). Liu, Zijian ; Dong, Xiaogang ; Wang, Wenshan ; Yang, Kai. In: Computational Statistics. RePEc:spr:compst:v:39:y:2024:i:5:d:10.1007_s00180-023-01396-8.

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2024Holding the economy by the tail: analysis of short- and long-run macroeconomic risks. (2024). Libich, Jan ; Franta, Michal. In: Empirical Economics. RePEc:spr:empeco:v:66:y:2024:i:4:d:10.1007_s00181-023-02514-7.

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2025A new Bayesian method for estimation of value at risk and conditional value at risk. (2025). Sanjun, Eva L ; Pizarro, Mario M ; Parra, Isabel M ; Martn, Jacinto. In: Empirical Economics. RePEc:spr:empeco:v:68:y:2025:i:3:d:10.1007_s00181-024-02664-2.

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2024Optimal portfolio selection with volatility information for a high frequency rebalancing algorithm. (2024). Soylu, Pinar Kaya ; Baci, Mahmut. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-023-00590-3.

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2024Topic Analysis of Social Media Posts during the COVID-19 Pandemic: Evidence from Tweets in Turkish. (2024). Tulai, Horia ; Akgller, Mer ; Batrancea, Larissa M ; Masca, Ema Speranta ; Balci, Mehmet Ali ; Morar, Ioan Dan ; Rus, Mircea-Iosif. In: Journal of the Knowledge Economy. RePEc:spr:jknowl:v:15:y:2024:i:3:d:10.1007_s13132-023-01565-6.

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2025Bayesian estimation of first-order integer generalized autoregressive models based on the negative binomial thinning operator. (2025). Lu, Feilong ; Li, Ping. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:34:y:2025:i:4:d:10.1007_s10260-025-00792-2.

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2025Weighted forecasts from SETARs with single- and multiple thresholds. (2025). Gooijer, Jan G. ; de Gooijer, Jan G ; Niglio, Marcella. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:34:y:2025:i:4:d:10.1007_s10260-025-00799-9.

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2024On the existence of stationary threshold bilinear processes. (2024). Cavicchioli, Maddalena ; Zemmouri, Imane ; Ghezal, Ahmed. In: Statistical Papers. RePEc:spr:stpapr:v:65:y:2024:i:6:d:10.1007_s00362-024-01539-z.

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2024A new integer-valued threshold autoregressive process based on modified negative binomial operator driven by explanatory variables. (2024). Wang, Dehui ; Cheng, Jianhua ; Fan, Yixuan. In: Statistical Papers. RePEc:spr:stpapr:v:65:y:2024:i:9:d:10.1007_s00362-024-01605-6.

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2024Local influence analysis in the softplus INGARCH model. (2024). Liu, Shuangzhe ; Su, Zhonghao ; Zhu, Fukang. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:33:y:2024:i:3:d:10.1007_s11749-024-00930-0.

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2025Mixed causal-noncausal count process. (2025). Lu, Yang ; Pei, Jian ; Zhu, Fukang. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:34:y:2025:i:2:d:10.1007_s11749-024-00960-8.

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2024The Influence of Defense Industry Development Act on the Smooth Transition Dynamics of Stock Volatilities of Defense Industry. (2024). Su, Yi-Kai ; Tzeng, Kae-Yih ; Tseng, Chun-Jan ; Lin, Cheng-Hsien. In: Advances in Management and Applied Economics. RePEc:spt:admaec:v:14:y:2024:i:3:f:14_3_7.

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2025Forecasting Markov switching vector autoregressions: Evidence from simulation and application. (2025). Cavicchioli, Maddalena. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:1:p:136-152.

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2025Forecasting Expected Shortfall and Value‐at‐Risk With Cross‐Sectional Aggregation. (2025). Wang, Yongqiao. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:2:p:391-423.

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2025Measuring the Impact of Transition Risk on Financial Markets: A Joint VaR‐ES Approach. (2025). Garciajorcano, Laura ; Sanchismarco, Lidia. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:6:p:1907-1945.

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Cathy W. S. Chen is editor of

Journal
Journal of Economics and Management

Works by Cathy W. S. Chen:

YearTitleTypeCited
2024Forecasting and Backtesting Gradient Allocations of Expected Shortfall In: Papers.
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2024Tail risk forecasting with semi-parametric regression models by incorporating overnight information In: Papers.
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2024Tail risk forecasting with semiparametric regression models by incorporating overnight information.(2024) In: Journal of Forecasting.
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This paper has nother version. Agregated cites: 0		article
2011Bayesian Time-Varying Quantile Forecasting for Value-at-Risk in Financial Markets In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article60
2009Bayesian time-varying quantile forecasting for Value-at-Risk in financial markets.(2009) In: Working Papers.
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This paper has nother version. Agregated cites: 60		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 nother version. Agregated cites: 60		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 nother 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]		article6
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]		article12
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]		article8
1995BAYESIAN INFERENCE OF THRESHOLD AUTOREGRESSIVE MODELS In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article84
2011Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range In: Working Papers in Economics.
[Full Text][Citation analysis]		paper24
2012Forecasting Value-at-Risk using nonlinear regression quantiles and the intra-day range.(2012) In: International Journal of Forecasting.
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2011Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intraday Range.(2011) In: Econometric Institute Research Papers.
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2011Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range.(2011) In: KIER Working Papers.
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2011Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range.(2011) In: Documentos de Trabajo del ICAE.
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This paper has nother version. Agregated cites: 24		paper
2023Quantile three-factor model with heteroskedasticity, skewness, and leptokurtosis In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article1
2023Bayesian modeling of spatial integer-valued time series In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article1
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]		article27
2009Bayesian causal effects in quantiles: Accounting for heteroscedasticity In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article13
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]		article1
2016Generalized Poisson autoregressive models for time series of counts In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article18
2017Pair trading based on quantile forecasting of smooth transition GARCH models In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]		article4
2018Predicting failure risk using financial ratios: Quantile hazard model approach In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]		article3
2019Inferences of default risk and borrower characteristics on P2P lending In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]		article7
2021Multi-asset pair-trading strategy: A statistical learning approach In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]		article1
2023Bayesian estimation of realized GARCH-type models with application to financial tail risk management In: Econometrics and Statistics.
[Full Text][Citation analysis]		article0
2017Nonparametric tolerance limits for pair trading In: Finance Research Letters.
[Full Text][Citation analysis]		article1
2023Tail risk forecasting of realized volatility CAViaR models In: Finance Research Letters.
[Full Text][Citation analysis]		article7
2006On a threshold heteroscedastic model In: International Journal of Forecasting.
[Full Text][Citation analysis]		article19
2012Forecasting volatility with asymmetric smooth transition dynamic range models In: International Journal of Forecasting.
[Full Text][Citation analysis]		article17
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]		article45
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]		article31
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]		article8
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]		article12
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]		article7
2023Integer-valued transfer function models for counts that show zero inflation In: Statistics & Probability Letters.
[Full Text][Citation analysis]		article0
1998A Bayesian analysis of generalized threshold autoregressive models In: Statistics & Probability Letters.
[Full Text][Citation analysis]		article24
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2003Subset threshold autoregression In: Journal of Forecasting.
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2005A Bayesian threshold nonlinearity test for financial time series In: Journal of Forecasting.
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2009Volatility forecasting with double Markov switching GARCH models In: Journal of Forecasting.
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2012Smooth Transition Quantile Capital Asset Pricing Models with Heteroscedasticity In: Computational Economics.
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2013Bayesian Unit Root Test in Double Threshold Heteroskedastic Models In: Computational Economics.
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2017On Asymmetric Market Model with Heteroskedasticity and Quantile Regression In: Computational Economics.
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2019How Strong is the Relationship Among Gold and USD Exchange Rates? Analytics Based on Structural Change Models In: Computational Economics.
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2021On a Bivariate Hysteretic AR-GARCH Model with Conditional Asymmetry in Correlations In: Computational Economics.
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2024Improving Quantile Forecasts via Realized Double Hysteretic GARCH Model in Stock Markets In: Computational Economics.
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2007Asymmetric Return and Volatility Responses to Composite News from Stock Markets In: Multinational Finance Journal.
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2006Bias may be unintentional but its still there In: Nature.
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2016Bayesian Expected Shortfall Forecasting Incorporating the Intraday Range In: Journal of Financial Econometrics.
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2025Structural time series modelling for weekly forecasting of enterovirus outpatient, inpatient, and emergency department visits In: PLOS ONE.
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2001On the Selection of Subset Bilinear Time Series Models: a Genetic Algorithm Approach In: Computational Statistics.
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2011Bayesian subset selection for threshold autoregressive moving-average models In: Computational Statistics.
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2013Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity In: Computational Statistics.
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2013Threshold variable selection of asymmetric stochastic volatility models In: Computational Statistics.
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2021Bayesian inference of nonlinear hysteretic integer-valued GARCH models for disease counts In: Computational Statistics.
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2014Semi-parametric Expected Shortfall Forecasting In: Working Papers.
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2014Bayesian Assessment of Dynamic Quantile Forecasts In: Working Papers.
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2016Bayesian Assessment of Dynamic Quantile Forecasts.(2016) In: Journal of Forecasting.
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2011Multi-regime nonlinear capital asset pricing models In: Quantitative Finance.
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2014Bivariate asymmetric GARCH models with heavy tails and dynamic conditional correlations In: Quantitative Finance.
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2005Asymmetric response and interaction of U.S. and local news in financial markets In: Applied Stochastic Models in Business and Industry.
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2007Modelling financial time series with threshold nonlinearity in returns and trading volume In: Applied Stochastic Models in Business and Industry.
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2010Falling and explosive, dormant, and rising markets via multiple‐regime financial time series models In: Applied Stochastic Models in Business and Industry.
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2016Model selection of a switching mechanism for financial time series In: Applied Stochastic Models in Business and Industry.
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2019Bayesian modeling and forecasting of Value‐at‐Risk via threshold realized volatility In: Applied Stochastic Models in Business and Industry.
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2019Quantile forecasting based on a bivariate hysteretic autoregressive model with GARCH errors and time ‐varying correlations In: Applied Stochastic Models in Business and Industry.
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2023Bayesian non‐linear quantile effects on modelling realized kernels In: International Journal of Finance & Economics.
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