Access Statistics for Cathy W. S. Chen

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Bayesian Assessment of Dynamic Quantile Forecasts 0 0 0 49 4 7 7 68
Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis 0 0 0 23 3 6 7 85
Bayesian Semi-parametric Expected Shortfall Forecasting in Financial M arkets 0 0 0 18 2 4 5 89
Bayesian time-varying quantile forecasting for Value-at-Risk in financial markets 0 0 1 45 3 7 11 141
Employing Bayesian Forecasting of Value-at-Risk to Determine an Appropriate Model for Risk Management 0 0 0 72 2 2 6 127
Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range 0 0 0 84 8 15 17 276
Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range 0 0 0 87 5 10 16 149
Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range 0 0 0 56 0 1 5 169
Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intraday Range 0 0 0 63 4 10 10 185
Forecasting and Backtesting Gradient Allocations of Expected Shortfall 0 0 0 0 3 7 9 12
Semi-parametric Expected Shortfall Forecasting 0 0 0 54 4 8 8 84
Statistical Estimation of Portfolios for Dependent Financial Returns 0 0 1 2 0 0 1 21
Tail risk forecasting with semi-parametric regression models by incorporating overnight information 0 0 0 8 6 6 8 27
Total Working Papers 0 0 2 561 44 83 110 1,433

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Bayesian analysis of generalized threshold autoregressive models 0 0 0 75 7 12 19 175
A Bayesian conditional autoregressive geometric process model for range data 0 0 1 15 1 2 3 70
A Bayesian threshold nonlinearity test for financial time series 0 0 0 133 3 5 5 423
A unified approach to estimating population size for a births only model 0 0 0 1 0 1 3 30
An empirical evaluation of fat-tailed distributions in modeling financial time series 0 0 0 2 2 3 4 42
Asymmetric Return and Volatility Responses to Composite News from Stock Markets 0 0 0 11 2 6 11 80
Asymmetric response and interaction of U.S. and local news in financial markets 0 0 0 1 1 2 3 10
Asymmetric responses of international stock markets to trading volume 0 0 0 11 2 3 5 50
Asymmetrical reaction to US stock-return news: evidence from major stock markets based on a double-threshold model 0 0 0 78 7 9 10 294
BAYESIAN INFERENCE OF THRESHOLD AUTOREGRESSIVE MODELS 2 2 3 25 7 9 15 49
Bayesian Assessment of Dynamic Quantile Forecasts 0 0 0 2 7 9 9 20
Bayesian Expected Shortfall Forecasting Incorporating the Intraday Range 0 0 1 15 2 3 8 38
Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis 0 0 0 0 4 6 10 53
Bayesian Time-Varying Quantile Forecasting for Value-at-Risk in Financial Markets 0 2 6 27 2 7 18 81
Bayesian Time-Varying Quantile Forecasting for Value-at-Risk in Financial Markets 0 0 0 69 2 5 12 223
Bayesian Unit Root Test in Double Threshold Heteroskedastic Models 0 0 0 14 2 6 8 67
Bayesian causal effects in quantiles: Accounting for heteroscedasticity 0 0 0 30 1 3 3 135
Bayesian causality test for integer-valued time series models with applications to climate and crime data 0 1 1 34 1 4 5 97
Bayesian estimation of realized GARCH-type models with application to financial tail risk management 0 0 3 10 16 23 33 54
Bayesian estimation of smoothly mixing time-varying parameter GARCH models 1 1 1 11 5 8 10 60
Bayesian inference of multiple structural change models with asymmetric GARCH errors 0 0 1 2 0 2 5 16
Bayesian inference of nonlinear hysteretic integer-valued GARCH models for disease counts 0 0 0 8 2 2 4 35
Bayesian modeling and forecasting of Value‐at‐Risk via threshold realized volatility 0 0 1 11 5 12 16 43
Bayesian modeling of spatial integer-valued time series 0 0 1 1 3 7 15 18
Bayesian non‐linear quantile effects on modelling realized kernels 0 0 0 0 0 1 2 2
Bayesian quantile forecasting via the realized hysteretic GARCH model 0 0 0 9 1 1 4 27
Bayesian subset selection for threshold autoregressive moving-average models 0 0 0 14 3 3 5 77
Best subset selection of autoregressive models with exogenous variables and generalized autoregressive conditional heteroscedasticity errors 0 0 0 51 5 6 6 212
Bias may be unintentional but it's still there 0 0 0 1 2 3 3 4
Bivariate asymmetric GARCH models with heavy tails and dynamic conditional correlations 0 0 0 12 3 5 6 47
Classification in segmented regression problems 0 0 0 24 2 2 4 125
Comparison of nonnested asymmetric heteroskedastic models 0 0 0 28 2 2 6 83
Detection of additive outliers in bilinear time series 0 0 0 10 1 3 3 49
Estimating the Number of HIV-infected gay sauna patrons in Taipei area 0 0 0 2 1 3 6 90
Evidence of Stock Returns and Abnormal Trading Volume: A Threshold Quantile Regression Approach 0 0 1 14 2 4 8 64
Evidence of Stock Returns and Abnormal Trading Volume: A Threshold Quantile Regression Approach 0 1 1 7 3 7 12 36
Falling and explosive, dormant, and rising markets via multiple‐regime financial time series models 0 0 0 1 3 5 7 14
Forecasting Value-at-Risk using nonlinear regression quantiles and the intra-day range 0 0 1 39 6 10 13 192
Forecasting volatility with asymmetric smooth transition dynamic range models 0 0 0 27 2 6 11 106
Generalized Poisson autoregressive models for time series of counts 0 1 1 34 0 3 6 95
High-dimensional data analysis and visualisation 0 0 1 2 6 8 9 12
How Strong is the Relationship Among Gold and USD Exchange Rates? Analytics Based on Structural Change Models 0 1 3 26 6 8 15 95
Improving Quantile Forecasts via Realized Double Hysteretic GARCH Model in Stock Markets 0 0 2 2 4 6 13 13
Incorporating volatility in tolerance intervals for pair-trading strategy and backtesting 0 0 0 0 3 7 12 16
Inferences of default risk and borrower characteristics on P2P lending 1 2 4 25 4 6 11 74
Integer-valued transfer function models for counts that show zero inflation 0 0 4 6 2 2 16 25
Long-term dependence with asymmetric conditional heteroscedasticity in stock returns 0 0 0 5 1 3 5 25
Markov switching integer‐valued generalized auto‐regressive conditional heteroscedastic models for dengue counts 0 0 1 16 5 7 15 62
Model selection of a switching mechanism for financial time series 0 0 0 1 0 2 3 7
Modelling financial time series with threshold nonlinearity in returns and trading volume 0 0 0 2 3 3 4 11
Multi-asset pair-trading strategy: A statistical learning approach 0 1 11 64 3 10 32 155
Multi-regime nonlinear capital asset pricing models 0 0 0 7 2 2 3 52
Nonparametric tolerance limits for pair trading 0 1 2 12 5 8 12 54
On Asymmetric Market Model with Heteroskedasticity and Quantile Regression 0 0 0 11 2 4 5 57
On Fisher’s dispersion test for integer-valued autoregressive Poisson models with applications 0 0 0 0 2 2 2 4
On a Bivariate Hysteretic AR-GARCH Model with Conditional Asymmetry in Correlations 0 0 1 1 1 1 2 14
On a threshold heteroscedastic model 0 0 0 71 3 6 7 185
On the Selection of Subset Bilinear Time Series Models: a Genetic Algorithm Approach 0 0 0 0 1 2 2 5
Optimal dynamic hedging via copula-threshold-GARCH models 1 1 1 16 4 6 10 84
Pair trading based on quantile forecasting of smooth transition GARCH models 1 1 6 73 6 14 29 195
Predicting failure risk using financial ratios: Quantile hazard model approach 0 0 0 11 2 2 3 91
Public opinion concerning governments’ response to the COVID-19 pandemic 0 0 0 1 2 3 3 7
Quantile forecasting based on a bivariate hysteretic autoregressive model with GARCH errors and time ‐varying correlations 0 0 0 3 1 4 5 15
Quantile three-factor model with heteroskedasticity, skewness, and leptokurtosis 0 0 0 0 2 4 6 7
Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity 0 0 0 15 2 4 7 79
Smooth Transition Quantile Capital Asset Pricing Models with Heteroscedasticity 0 0 0 18 3 4 5 138
Structural time series modelling for weekly forecasting of enterovirus outpatient, inpatient, and emergency department visits 0 0 0 0 1 2 3 3
Subset threshold autoregression 0 0 0 28 4 7 8 191
Tail risk forecasting of realized volatility CAViaR models 3 3 8 21 7 18 32 66
Tail risk forecasting with semiparametric regression models by incorporating overnight information 0 0 0 1 5 9 9 11
Testing for nonlinearity in mean and volatility for heteroskedastic models 0 0 0 4 0 3 4 32
The asymmetric reactions of mean and volatility of stock returns to domestic and international information based on a four-regime double-threshold GARCH model 1 1 1 4 5 6 7 38
The impact of structural breaks on the integration of the ASEAN-5 stock markets 0 0 0 10 2 2 3 52
Threshold variable selection of asymmetric stochastic volatility models 0 0 1 10 3 5 7 45
Volatility forecasting using threshold heteroskedastic models of the intra-day range 0 1 2 55 4 7 12 190
Volatility forecasting with double Markov switching GARCH models 0 1 1 79 3 9 9 212
Total Journal Articles 10 21 72 1,459 229 409 666 5,708

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Bayesian model selection for heteroskedastic models 0 0 0 0 1 2 2 2
Total Chapters 0 0 0 0 1 2 2 2

logo

LogEc Home

Top Working Papers
Top Journal Articles
Top Books
Top Chapters
Top Software Items

Top Authors

Top Working Paper series and Journals

About LogEc

Authors with papers registered in the RePEc Author Service.

Register yourself as an author or register more papers in the RePEc Author Service.

Authors with no registered papers

RePEc
LogEc provides access and usage statistics for services based on the RePEc data set.

Örebro UniversityLogEc is hosted by the Örebro University School of Business.

Questions or comments? Please see our explanation of how the statistics are collected or e-mail

Statistics updated 2026-02-12