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 0 0 16 77
Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis 0 0 0 23 1 1 18 97
Bayesian Semi-parametric Expected Shortfall Forecasting in Financial M arkets 0 0 0 18 0 0 7 92
Bayesian time-varying quantile forecasting for Value-at-Risk in financial markets 0 0 1 46 2 2 19 152
Employing Bayesian Forecasting of Value-at-Risk to Determine an Appropriate Model for Risk Management 0 0 0 72 0 0 8 132
Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range 0 0 0 84 1 1 19 280
Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range 0 0 0 56 1 1 7 173
Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range 0 0 0 87 1 2 21 157
Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intraday Range 0 0 0 63 0 0 15 190
Forecasting and Backtesting Gradient Allocations of Expected Shortfall 0 0 1 1 1 3 15 19
Semi-parametric Expected Shortfall Forecasting 0 0 1 55 2 2 14 90
Statistical Estimation of Portfolios for Dependent Financial Returns 0 0 1 2 0 0 5 25
Tail risk forecasting with semi-parametric regression models by incorporating overnight information 0 0 0 8 0 5 16 37
The sixth special issue on computational econometrics 0 0 0 0 1 1 2 2
Total Working Papers 0 0 4 564 10 18 182 1,523

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 0 0 16 179
A Bayesian conditional autoregressive geometric process model for range data 0 0 0 15 0 0 4 72
A Bayesian threshold nonlinearity test for financial time series 0 0 0 133 0 1 10 428
A unified approach to estimating population size for a births only model 0 0 0 1 0 0 1 30
An empirical evaluation of fat-tailed distributions in modeling financial time series 0 0 0 2 0 1 8 46
Asymmetric Return and Volatility Responses to Composite News from Stock Markets 0 0 1 12 0 1 13 85
Asymmetric response and interaction of U.S. and local news in financial markets 0 0 0 1 0 1 5 13
Asymmetric responses of international stock markets to trading volume 0 0 0 11 0 0 5 52
Asymmetrical reaction to US stock-return news: evidence from major stock markets based on a double-threshold model 0 0 0 78 0 0 13 297
BAYESIAN INFERENCE OF THRESHOLD AUTOREGRESSIVE MODELS 0 0 8 31 1 1 26 64
Bayesian Assessment of Dynamic Quantile Forecasts 0 0 0 2 0 0 11 22
Bayesian Expected Shortfall Forecasting Incorporating the Intraday Range 0 0 0 15 0 3 14 49
Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis 0 0 0 0 0 2 10 57
Bayesian Time-Varying Quantile Forecasting for Value-at-Risk in Financial Markets 1 2 4 29 1 3 15 88
Bayesian Time-Varying Quantile Forecasting for Value-at-Risk in Financial Markets 0 0 0 69 0 0 10 226
Bayesian Unit Root Test in Double Threshold Heteroskedastic Models 0 0 0 14 0 0 13 73
Bayesian causal effects in quantiles: Accounting for heteroscedasticity 0 0 0 30 0 2 10 142
Bayesian causality test for integer-valued time series models with applications to climate and crime data 0 0 1 34 1 1 9 102
Bayesian estimation of realized GARCH-type models with application to financial tail risk management 0 2 4 14 2 4 55 85
Bayesian estimation of smoothly mixing time-varying parameter GARCH models 0 0 1 11 1 1 13 63
Bayesian inference of multiple structural change models with asymmetric GARCH errors 0 0 0 2 0 1 6 18
Bayesian inference of nonlinear hysteretic integer-valued GARCH models for disease counts 0 0 1 9 0 0 6 38
Bayesian modeling and forecasting of Value‐at‐Risk via threshold realized volatility 0 0 1 11 0 1 17 46
Bayesian modeling of spatial integer-valued time series 0 0 2 3 0 0 18 28
Bayesian non‐linear quantile effects on modelling realized kernels 0 0 1 1 0 0 3 3
Bayesian quantile forecasting via the realized hysteretic GARCH model 0 0 1 10 0 0 7 32
Bayesian subset selection for threshold autoregressive moving-average models 0 0 0 14 0 0 5 78
Best subset selection of autoregressive models with exogenous variables and generalized autoregressive conditional heteroscedasticity errors 0 0 0 51 0 1 11 217
Bias may be unintentional but it's still there 0 0 0 1 0 1 9 10
Bivariate asymmetric GARCH models with heavy tails and dynamic conditional correlations 0 0 0 12 0 2 11 53
Classification in segmented regression problems 0 0 0 24 0 0 4 126
Comparison of nonnested asymmetric heteroskedastic models 0 0 0 28 0 1 11 88
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 0 0 14 100
Evidence of Stock Returns and Abnormal Trading Volume: A Threshold Quantile Regression Approach 0 0 3 9 1 4 27 56
Evidence of Stock Returns and Abnormal Trading Volume: A Threshold Quantile Regression Approach 0 0 0 14 1 1 16 74
Falling and explosive, dormant, and rising markets via multiple‐regime financial time series models 0 0 0 1 0 1 13 21
Forecasting Value-at-Risk using nonlinear regression quantiles and the intra-day range 0 0 0 39 1 2 17 199
Forecasting and backtesting gradient allocations of expected shortfall 0 0 0 0 1 1 15 15
Forecasting volatility with asymmetric smooth transition dynamic range models 0 0 0 27 0 1 24 120
Generalized Poisson autoregressive models for time series of counts 0 0 3 36 0 0 10 101
High-dimensional data analysis and visualisation 0 0 0 2 0 0 11 15
How Strong is the Relationship Among Gold and USD Exchange Rates? Analytics Based on Structural Change Models 1 3 5 30 1 10 42 129
Improving Quantile Forecasts via Realized Double Hysteretic GARCH Model in Stock Markets 1 1 2 3 1 1 12 17
Incorporating volatility in tolerance intervals for pair-trading strategy and backtesting 0 0 0 0 0 1 11 19
Inferences of default risk and borrower characteristics on P2P lending 1 1 4 27 1 3 14 81
Integer-valued transfer function models for counts that show zero inflation 2 2 2 8 3 3 13 35
Long-term dependence with asymmetric conditional heteroscedasticity in stock returns 0 0 0 5 1 1 9 31
Markov switching integer‐valued generalized auto‐regressive conditional heteroscedastic models for dengue counts 0 0 3 18 0 1 16 70
Model selection of a switching mechanism for financial time series 0 0 0 1 0 0 4 8
Modelling financial time series with threshold nonlinearity in returns and trading volume 0 0 0 2 0 2 8 16
Multi-asset pair-trading strategy: A statistical learning approach 0 0 7 67 0 1 34 174
Multi-regime nonlinear capital asset pricing models 0 0 0 7 0 2 10 59
Nonparametric tolerance limits for pair trading 0 0 1 12 1 2 15 61
On Asymmetric Market Model with Heteroskedasticity and Quantile Regression 0 0 1 12 0 0 10 63
On Fisher’s dispersion test for integer-valued autoregressive Poisson models with applications 0 0 0 0 0 0 4 6
On a Bivariate Hysteretic AR-GARCH Model with Conditional Asymmetry in Correlations 0 0 0 1 0 1 6 19
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 0 6 9
Optimal dynamic hedging via copula-threshold-GARCH models 1 1 3 18 2 2 17 94
Pair trading based on quantile forecasting of smooth transition GARCH models 0 0 4 74 0 2 34 212
Predicting failure risk using financial ratios: Quantile hazard model approach 0 0 0 11 1 1 7 96
Public opinion concerning governments’ response to the COVID-19 pandemic 0 0 0 1 0 2 10 14
Quantile forecasting based on a bivariate hysteretic autoregressive model with GARCH errors and time ‐varying correlations 0 0 0 3 1 3 7 18
Quantile three-factor model with heteroskedasticity, skewness, and leptokurtosis 1 1 2 2 1 2 9 12
Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity 0 0 0 15 0 1 11 84
Smooth Transition Quantile Capital Asset Pricing Models with Heteroscedasticity 0 0 0 18 1 1 8 141
Structural time series modelling for weekly forecasting of enterovirus outpatient, inpatient, and emergency department visits 0 0 0 0 0 2 7 7
Subset threshold autoregression 0 0 0 28 0 1 9 192
Tail risk forecasting of realized volatility CAViaR models 0 0 6 24 1 3 35 79
Tail risk forecasting with semiparametric regression models by incorporating overnight information 0 0 0 1 0 3 18 20
Testing for nonlinearity in mean and volatility for heteroskedastic models 0 0 0 4 2 4 9 38
The Impact of News-Based and Twitter-Based Economic Uncertainty on Realized Volatility: Asymmetric Effect with Threshold Quantile ARX Model 0 0 1 1 1 2 8 8
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 0 13 44
The impact of structural breaks on the integration of the ASEAN-5 stock markets 0 0 0 10 0 1 5 55
Threshold variable selection of asymmetric stochastic volatility models 0 0 0 10 0 0 10 49
Volatility forecasting using threshold heteroskedastic models of the intra-day range 0 1 2 56 0 1 15 197
Volatility forecasting with double Markov switching GARCH models 0 0 2 80 0 0 15 218
Total Journal Articles 8 14 77 1,507 28 97 987 6,220

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 0 4 4
Total Chapters 0 0 0 0 0 0 4 4

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Statistics updated 2026-10-11