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 1 16 77
Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis 0 0 0 23 0 0 17 96
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 0 0 17 150
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 87 1 1 20 156
Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range 0 0 0 56 0 0 6 172
Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range 0 0 0 84 0 0 18 279
Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intraday Range 0 0 0 63 0 1 15 190
Forecasting and Backtesting Gradient Allocations of Expected Shortfall 0 0 1 1 1 2 14 18
Semi-parametric Expected Shortfall Forecasting 0 0 1 55 0 0 12 88
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 3 5 16 37
The sixth special issue on computational econometrics 0 0 0 0 0 0 1 1
Total Working Papers 0 0 4 564 5 10 172 1,513

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 1 15 0 0 5 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 2 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 1 1 13 85
Asymmetric response and interaction of U.S. and local news in financial markets 0 0 0 1 1 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 2 8 31 0 2 26 63
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 1 4 15 49
Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis 0 0 0 0 2 2 10 57
Bayesian Time-Varying Quantile Forecasting for Value-at-Risk in Financial Markets 1 1 4 28 2 3 16 87
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 14 73
Bayesian causal effects in quantiles: Accounting for heteroscedasticity 0 0 0 30 2 3 10 142
Bayesian causality test for integer-valued time series models with applications to climate and crime data 0 0 1 34 0 0 8 101
Bayesian estimation of realized GARCH-type models with application to financial tail risk management 2 2 4 14 2 2 53 83
Bayesian estimation of smoothly mixing time-varying parameter GARCH models 0 0 1 11 0 0 12 62
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 1 1 9 0 1 6 38
Bayesian modeling and forecasting of Value‐at‐Risk via threshold realized volatility 0 0 1 11 0 2 17 46
Bayesian modeling of spatial integer-valued time series 0 1 2 3 0 3 18 28
Bayesian non‐linear quantile effects on modelling realized kernels 0 1 1 1 0 1 3 3
Bayesian quantile forecasting via the realized hysteretic GARCH model 0 1 1 10 0 1 7 32
Bayesian subset selection for threshold autoregressive moving-average models 0 0 0 14 0 0 6 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 1 15 100
Evidence of Stock Returns and Abnormal Trading Volume: A Threshold Quantile Regression Approach 0 0 3 9 3 3 27 55
Evidence of Stock Returns and Abnormal Trading Volume: A Threshold Quantile Regression Approach 0 0 0 14 0 1 15 73
Falling and explosive, dormant, and rising markets via multiple‐regime financial time series models 0 0 0 1 1 1 13 21
Forecasting Value-at-Risk using nonlinear regression quantiles and the intra-day range 0 0 0 39 1 1 16 198
Forecasting and backtesting gradient allocations of expected shortfall 0 0 0 0 0 0 14 14
Forecasting volatility with asymmetric smooth transition dynamic range models 0 0 0 27 1 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 0 2 5 29 4 20 43 128
Improving Quantile Forecasts via Realized Double Hysteretic GARCH Model in Stock Markets 0 0 1 2 0 0 11 16
Incorporating volatility in tolerance intervals for pair-trading strategy and backtesting 0 0 0 0 1 1 11 19
Inferences of default risk and borrower characteristics on P2P lending 0 0 4 26 1 3 14 80
Integer-valued transfer function models for counts that show zero inflation 0 0 1 6 0 1 12 32
Long-term dependence with asymmetric conditional heteroscedasticity in stock returns 0 0 0 5 0 1 8 30
Markov switching integer‐valued generalized auto‐regressive conditional heteroscedastic models for dengue counts 0 1 3 18 1 2 18 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 1 2 8 16
Multi-asset pair-trading strategy: A statistical learning approach 0 1 8 67 1 3 36 174
Multi-regime nonlinear capital asset pricing models 0 0 0 7 1 2 10 59
Nonparametric tolerance limits for pair trading 0 0 1 12 0 1 14 60
On Asymmetric Market Model with Heteroskedasticity and Quantile Regression 0 0 1 12 0 1 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 0 0 2 17 0 0 15 92
Pair trading based on quantile forecasting of smooth transition GARCH models 0 0 4 74 1 6 36 212
Predicting failure risk using financial ratios: Quantile hazard model approach 0 0 0 11 0 0 6 95
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 2 6 17
Quantile three-factor model with heteroskedasticity, skewness, and leptokurtosis 0 0 1 1 0 1 9 11
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 0 0 7 140
Structural time series modelling for weekly forecasting of enterovirus outpatient, inpatient, and emergency department visits 0 0 0 0 1 2 7 7
Subset threshold autoregression 0 0 0 28 0 1 9 192
Tail risk forecasting of realized volatility CAViaR models 0 1 7 24 1 4 37 78
Tail risk forecasting with semiparametric regression models by incorporating overnight information 0 0 0 1 2 3 18 20
Testing for nonlinearity in mean and volatility for heteroskedastic models 0 0 0 4 1 2 7 36
The Impact of News-Based and Twitter-Based Economic Uncertainty on Realized Volatility: Asymmetric Effect with Threshold Quantile ARX Model 0 0 1 1 0 1 7 7
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 1 1 2 56 1 1 15 197
Volatility forecasting with double Markov switching GARCH models 0 0 2 80 0 0 15 218
Total Journal Articles 4 15 76 1,499 35 107 984 6,192

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 4 4
Total Chapters 0 0 0 0 0 1 4 4

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

Since October 2025, abstract view statistics are potentially heavily influenced by traffic from AI bots and tools that we could not eliminate despite our best efforts.

Statistics updated 2026-09-10