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 1 6 15 76
Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis 0 0 0 23 3 6 18 96
Bayesian Semi-parametric Expected Shortfall Forecasting in Financial M arkets 0 0 0 18 1 1 7 92
Bayesian time-varying quantile forecasting for Value-at-Risk in financial markets 0 1 1 46 1 5 18 150
Employing Bayesian Forecasting of Value-at-Risk to Determine an Appropriate Model for Risk Management 0 0 0 72 1 3 9 132
Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range 0 0 0 84 1 3 18 279
Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range 0 0 0 56 0 2 6 172
Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range 0 0 0 87 1 3 21 155
Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intraday Range 0 0 0 63 0 0 14 189
Forecasting and Backtesting Gradient Allocations of Expected Shortfall 1 1 1 1 1 4 12 16
Semi-parametric Expected Shortfall Forecasting 0 1 1 55 1 3 12 88
Statistical Estimation of Portfolios for Dependent Financial Returns 0 0 1 2 0 4 5 25
Tail risk forecasting with semi-parametric regression models by incorporating overnight information 0 0 0 8 0 5 11 32
The sixth special issue on computational econometrics 0 0 0 0 0 1 1 1
Total Working Papers 1 3 4 564 11 46 167 1,503

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 2 4 16 179
A Bayesian conditional autoregressive geometric process model for range data 0 0 1 15 2 2 5 72
A Bayesian threshold nonlinearity test for financial time series 0 0 0 133 0 3 9 427
A unified approach to estimating population size for a births only model 0 0 0 1 0 0 3 30
An empirical evaluation of fat-tailed distributions in modeling financial time series 0 0 0 2 1 3 7 45
Asymmetric Return and Volatility Responses to Composite News from Stock Markets 0 1 1 12 2 4 12 84
Asymmetric response and interaction of U.S. and local news in financial markets 0 0 0 1 0 1 5 12
Asymmetric responses of international stock markets to trading volume 0 0 0 11 0 0 6 52
Asymmetrical reaction to US stock-return news: evidence from major stock markets based on a double-threshold model 0 0 0 78 0 2 13 297
BAYESIAN INFERENCE OF THRESHOLD AUTOREGRESSIVE MODELS 0 2 6 29 1 10 25 61
Bayesian Assessment of Dynamic Quantile Forecasts 0 0 0 2 0 0 11 22
Bayesian Expected Shortfall Forecasting Incorporating the Intraday Range 0 0 1 15 1 7 14 45
Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis 0 0 0 0 1 1 12 55
Bayesian Time-Varying Quantile Forecasting for Value-at-Risk in Financial Markets 0 0 5 27 0 1 18 84
Bayesian Time-Varying Quantile Forecasting for Value-at-Risk in Financial Markets 0 0 0 69 0 1 12 226
Bayesian Unit Root Test in Double Threshold Heteroskedastic Models 0 0 0 14 1 4 14 73
Bayesian causal effects in quantiles: Accounting for heteroscedasticity 0 0 0 30 0 3 7 139
Bayesian causality test for integer-valued time series models with applications to climate and crime data 0 0 1 34 0 3 8 101
Bayesian estimation of realized GARCH-type models with application to financial tail risk management 0 2 4 12 2 13 57 81
Bayesian estimation of smoothly mixing time-varying parameter GARCH models 0 0 1 11 0 2 12 62
Bayesian inference of multiple structural change models with asymmetric GARCH errors 0 0 0 2 0 1 5 17
Bayesian inference of nonlinear hysteretic integer-valued GARCH models for disease counts 0 0 0 8 0 2 5 37
Bayesian modeling and forecasting of Value‐at‐Risk via threshold realized volatility 0 0 1 11 0 1 16 44
Bayesian modeling of spatial integer-valued time series 1 1 1 2 1 6 16 25
Bayesian non‐linear quantile effects on modelling realized kernels 0 0 0 0 0 0 2 2
Bayesian quantile forecasting via the realized hysteretic GARCH model 0 0 0 9 0 3 7 31
Bayesian subset selection for threshold autoregressive moving-average models 0 0 0 14 0 1 6 78
Best subset selection of autoregressive models with exogenous variables and generalized autoregressive conditional heteroscedasticity errors 0 0 0 51 1 3 10 216
Bias may be unintentional but it's still there 0 0 0 1 0 5 8 9
Bivariate asymmetric GARCH models with heavy tails and dynamic conditional correlations 0 0 0 12 0 3 10 51
Classification in segmented regression problems 0 0 0 24 0 1 5 126
Comparison of nonnested asymmetric heteroskedastic models 0 0 0 28 1 3 10 87
Detection of additive outliers in bilinear time series 0 0 0 10 0 0 3 49
Estimating the Number of HIV-infected gay sauna patrons in Taipei area 0 0 0 2 1 8 14 99
Evidence of Stock Returns and Abnormal Trading Volume: A Threshold Quantile Regression Approach 2 2 3 9 3 13 27 52
Evidence of Stock Returns and Abnormal Trading Volume: A Threshold Quantile Regression Approach 0 0 1 14 0 4 15 72
Falling and explosive, dormant, and rising markets via multiple‐regime financial time series models 0 0 0 1 0 3 12 20
Forecasting Value-at-Risk using nonlinear regression quantiles and the intra-day range 0 0 0 39 0 3 15 197
Forecasting and backtesting gradient allocations of expected shortfall 0 0 0 0 1 4 14 14
Forecasting volatility with asymmetric smooth transition dynamic range models 0 0 0 27 0 2 24 119
Generalized Poisson autoregressive models for time series of counts 0 1 3 36 0 3 11 101
High-dimensional data analysis and visualisation 0 0 1 2 1 3 12 15
How Strong is the Relationship Among Gold and USD Exchange Rates? Analytics Based on Structural Change Models 0 0 4 27 0 9 27 108
Improving Quantile Forecasts via Realized Double Hysteretic GARCH Model in Stock Markets 0 0 1 2 0 3 13 16
Incorporating volatility in tolerance intervals for pair-trading strategy and backtesting 0 0 0 0 1 2 11 18
Inferences of default risk and borrower characteristics on P2P lending 0 1 5 26 0 2 12 77
Integer-valued transfer function models for counts that show zero inflation 0 0 2 6 1 6 16 31
Long-term dependence with asymmetric conditional heteroscedasticity in stock returns 0 0 0 5 0 4 7 29
Markov switching integer‐valued generalized auto‐regressive conditional heteroscedastic models for dengue counts 0 1 2 17 0 5 20 68
Model selection of a switching mechanism for financial time series 0 0 0 1 0 1 4 8
Modelling financial time series with threshold nonlinearity in returns and trading volume 0 0 0 2 2 3 6 14
Multi-asset pair-trading strategy: A statistical learning approach 1 2 10 66 3 15 42 171
Multi-regime nonlinear capital asset pricing models 0 0 0 7 0 3 8 57
Nonparametric tolerance limits for pair trading 0 0 2 12 0 4 15 59
On Asymmetric Market Model with Heteroskedasticity and Quantile Regression 1 1 1 12 2 4 9 62
On Fisher’s dispersion test for integer-valued autoregressive Poisson models with applications 0 0 0 0 1 1 4 6
On a Bivariate Hysteretic AR-GARCH Model with Conditional Asymmetry in Correlations 0 0 1 1 0 3 6 18
On a threshold heteroscedastic model 0 0 0 71 0 0 7 185
On the Selection of Subset Bilinear Time Series Models: a Genetic Algorithm Approach 0 0 0 0 0 3 6 9
Optimal dynamic hedging via copula-threshold-GARCH models 0 1 2 17 0 5 17 92
Pair trading based on quantile forecasting of smooth transition GARCH models 0 1 4 74 0 10 31 206
Predicting failure risk using financial ratios: Quantile hazard model approach 0 0 0 11 0 1 7 95
Public opinion concerning governments’ response to the COVID-19 pandemic 0 0 0 1 0 4 8 12
Quantile forecasting based on a bivariate hysteretic autoregressive model with GARCH errors and time ‐varying correlations 0 0 0 3 0 0 4 15
Quantile three-factor model with heteroskedasticity, skewness, and leptokurtosis 0 1 1 1 0 3 8 10
Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity 0 0 0 15 1 3 10 83
Smooth Transition Quantile Capital Asset Pricing Models with Heteroscedasticity 0 0 0 18 0 1 7 140
Structural time series modelling for weekly forecasting of enterovirus outpatient, inpatient, and emergency department visits 0 0 0 0 0 1 5 5
Subset threshold autoregression 0 0 0 28 0 0 8 191
Tail risk forecasting of realized volatility CAViaR models 2 2 7 23 2 7 34 74
Tail risk forecasting with semiparametric regression models by incorporating overnight information 0 0 0 1 1 4 15 17
Testing for nonlinearity in mean and volatility for heteroskedastic models 0 0 0 4 1 1 6 34
The Impact of News-Based and Twitter-Based Economic Uncertainty on Realized Volatility: Asymmetric Effect with Threshold Quantile ARX Model 0 1 1 1 0 4 6 6
The asymmetric reactions of mean and volatility of stock returns to domestic and international information based on a four-regime double-threshold GARCH model 0 0 1 4 0 5 13 44
The impact of structural breaks on the integration of the ASEAN-5 stock markets 0 0 0 10 0 1 4 54
Threshold variable selection of asymmetric stochastic volatility models 0 0 1 10 1 3 11 49
Volatility forecasting using threshold heteroskedastic models of the intra-day range 0 0 2 55 2 6 16 196
Volatility forecasting with double Markov switching GARCH models 0 0 2 80 2 4 15 218
Total Journal Articles 7 20 79 1,484 42 267 951 6,085

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 0 1 3 3
Total Chapters 0 0 0 0 0 1 3 3

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Statistics updated 2026-06-04