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 1 60
Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis 0 0 1 22 0 0 1 77
Bayesian Semi-parametric Expected Shortfall Forecasting in Financial M arkets 0 0 0 18 0 0 0 84
Bayesian time-varying quantile forecasting for Value-at-Risk in financial markets 1 1 2 44 2 3 5 126
Employing Bayesian Forecasting of Value-at-Risk to Determine an Appropriate Model for Risk Management 0 0 0 72 0 0 1 121
Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range 0 0 0 87 0 0 0 133
Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range 0 0 0 84 0 1 1 258
Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range 0 0 0 56 0 1 3 163
Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intraday Range 0 0 0 63 0 0 2 174
Semi-parametric Expected Shortfall Forecasting 0 0 0 54 0 0 0 75
Statistical Estimation of Portfolios for Dependent Financial Returns 0 0 0 0 0 0 0 19
Total Working Papers 1 1 3 549 2 5 14 1,290


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 0 155
A Bayesian conditional autoregressive geometric process model for range data 0 0 0 13 0 0 1 66
A Bayesian threshold nonlinearity test for financial time series 0 0 0 133 0 0 0 417
A unified approach to estimating population size for a births only model 0 0 0 1 0 0 0 27
An empirical evaluation of fat-tailed distributions in modeling financial time series 0 0 0 2 0 1 1 37
Asymmetric Return and Volatility Responses to Composite News from Stock Markets 0 0 0 11 0 1 1 67
Asymmetric response and interaction of U.S. and local news in financial markets 0 0 0 1 0 0 1 7
Asymmetric responses of international stock markets to trading volume 0 0 1 11 0 0 1 45
Asymmetrical reaction to US stock-return news: evidence from major stock markets based on a double-threshold model 0 0 0 78 0 0 1 282
BAYESIAN INFERENCE OF THRESHOLD AUTOREGRESSIVE MODELS 1 1 5 13 1 2 8 21
Bayesian Assessment of Dynamic Quantile Forecasts 0 0 0 2 0 0 0 11
Bayesian Expected Shortfall Forecasting Incorporating the Intraday Range 0 1 4 14 1 3 7 30
Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis 0 0 0 0 0 0 1 43
Bayesian Time-Varying Quantile Forecasting for Value-at-Risk in Financial Markets 0 1 1 19 0 2 2 57
Bayesian Time-Varying Quantile Forecasting for Value-at-Risk in Financial Markets 0 0 3 69 0 0 6 208
Bayesian Unit Root Test in Double Threshold Heteroskedastic Models 0 0 0 14 0 0 0 59
Bayesian causal effects in quantiles: Accounting for heteroscedasticity 0 1 1 29 0 1 1 131
Bayesian causality test for integer-valued time series models with applications to climate and crime data 0 0 1 33 0 0 5 92
Bayesian estimation of realized GARCH-type models with application to financial tail risk management 0 1 3 3 3 6 9 9
Bayesian estimation of smoothly mixing time-varying parameter GARCH models 0 0 0 10 0 0 0 49
Bayesian inference of multiple structural change models with asymmetric GARCH errors 0 0 0 1 0 0 1 10
Bayesian inference of nonlinear hysteretic integer-valued GARCH models for disease counts 0 2 3 8 0 2 6 28
Bayesian modeling and forecasting of Value‐at‐Risk via threshold realized volatility 0 0 2 8 0 0 2 24
Bayesian modeling of spatial integer-valued time series 0 0 0 0 0 0 3 3
Bayesian non‐linear quantile effects on modelling realized kernels 0 0 0 0 0 0 0 0
Bayesian quantile forecasting via the realized hysteretic GARCH model 0 0 4 6 1 3 9 17
Bayesian subset selection for threshold autoregressive moving-average models 0 0 0 14 0 0 0 70
Best subset selection of autoregressive models with exogenous variables and generalized autoregressive conditional heteroscedasticity errors 0 0 0 51 0 0 0 205
Bias may be unintentional but it's still there 0 0 1 1 0 0 1 1
Bivariate asymmetric GARCH models with heavy tails and dynamic conditional correlations 0 0 0 12 0 1 1 41
Classification in segmented regression problems 0 1 1 24 0 1 1 121
Comparison of nonnested asymmetric heteroskedastic models 0 0 0 28 0 0 1 76
Detection of additive outliers in bilinear time series 0 0 0 10 0 1 1 46
Estimating the Number of HIV-infected gay sauna patrons in Taipei area 0 0 0 2 0 1 3 82
Evidence of Stock Returns and Abnormal Trading Volume: A Threshold Quantile Regression Approach 0 0 0 13 0 1 3 55
Evidence of Stock Returns and Abnormal Trading Volume: A Threshold Quantile Regression Approach 0 0 0 6 0 0 0 23
Falling and explosive, dormant, and rising markets via multiple‐regime financial time series models 0 0 0 0 0 0 1 6
Forecasting Value-at-Risk using nonlinear regression quantiles and the intra-day range 0 1 2 38 1 2 8 179
Forecasting volatility with asymmetric smooth transition dynamic range models 0 0 0 27 0 0 2 95
Generalized Poisson autoregressive models for time series of counts 0 2 6 32 0 2 14 85
How Strong is the Relationship Among Gold and USD Exchange Rates? Analytics Based on Structural Change Models 0 1 3 23 0 1 5 77
Inferences of default risk and borrower characteristics on P2P lending 0 0 1 18 0 0 3 57
Integer-valued transfer function models for counts that show zero inflation 0 0 0 1 0 0 4 6
Long-term dependence with asymmetric conditional heteroscedasticity in stock returns 0 0 1 5 0 0 1 20
Markov switching integer‐valued generalized auto‐regressive conditional heteroscedastic models for dengue counts 0 0 1 13 0 0 6 44
Model selection of a switching mechanism for financial time series 0 0 0 1 0 0 0 3
Modelling financial time series with threshold nonlinearity in returns and trading volume 0 0 1 2 0 0 2 7
Multi-asset pair-trading strategy: A statistical learning approach 0 1 8 49 0 2 21 115
Multi-regime nonlinear capital asset pricing models 0 0 0 7 0 0 0 49
Nonparametric tolerance limits for pair trading 0 2 3 10 0 2 4 41
On Asymmetric Market Model with Heteroskedasticity and Quantile Regression 0 0 0 11 0 0 3 52
On Fisher’s dispersion test for integer-valued autoregressive Poisson models with applications 0 0 0 0 0 0 1 2
On a Bivariate Hysteretic AR-GARCH Model with Conditional Asymmetry in Correlations 0 0 0 0 0 1 2 12
On a threshold heteroscedastic model 0 1 3 70 0 1 4 177
On the Selection of Subset Bilinear Time Series Models: a Genetic Algorithm Approach 0 0 0 0 0 0 1 3
Optimal dynamic hedging via copula-threshold-GARCH models 0 0 1 15 0 0 2 74
Pair trading based on quantile forecasting of smooth transition GARCH models 1 5 6 64 3 8 11 154
Predicting failure risk using financial ratios: Quantile hazard model approach 0 0 1 10 0 0 3 85
Public opinion concerning governments’ response to the COVID-19 pandemic 0 0 0 1 0 0 1 4
Quantile forecasting based on a bivariate hysteretic autoregressive model with GARCH errors and time ‐varying correlations 0 0 0 3 0 0 1 10
Quantile three-factor model with heteroskedasticity, skewness, and leptokurtosis 0 0 0 0 0 0 0 0
Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity 0 0 0 14 0 0 0 70
Smooth Transition Quantile Capital Asset Pricing Models with Heteroscedasticity 0 0 0 18 0 0 0 133
Subset threshold autoregression 0 1 1 28 1 4 4 181
Tail risk forecasting of realized volatility CAViaR models 2 5 10 13 2 5 16 24
Testing for nonlinearity in mean and volatility for heteroskedastic models 0 0 0 4 0 0 0 28
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 0 3 0 0 0 30
The impact of structural breaks on the integration of the ASEAN-5 stock markets 0 0 0 10 0 0 3 49
Threshold variable selection of asymmetric stochastic volatility models 0 0 0 9 0 0 1 36
Volatility forecasting using threshold heteroskedastic models of the intra-day range 0 0 0 53 0 0 1 177
Volatility forecasting with double Markov switching GARCH models 0 0 0 77 0 0 3 200
Total Journal Articles 4 27 78 1,344 13 54 205 4,900


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 0 0
Total Chapters 0 0 0 0 0 0 0 0


Statistics updated 2024-06-06