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 2 2 3 63
Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis 0 0 0 23 2 2 3 81
Bayesian Semi-parametric Expected Shortfall Forecasting in Financial M arkets 0 0 0 18 1 1 2 86
Bayesian time-varying quantile forecasting for Value-at-Risk in financial markets 0 0 1 45 3 4 7 137
Employing Bayesian Forecasting of Value-at-Risk to Determine an Appropriate Model for Risk Management 0 0 0 72 0 1 4 125
Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range 0 0 0 84 2 2 4 263
Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range 0 0 0 87 4 7 10 143
Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range 0 0 0 56 1 3 6 169
Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intraday Range 0 0 0 63 3 3 3 178
Forecasting and Backtesting Gradient Allocations of Expected Shortfall 0 0 0 0 3 4 7 8
Semi-parametric Expected Shortfall Forecasting 0 0 0 54 1 1 2 77
Statistical Estimation of Portfolios for Dependent Financial Returns 0 1 1 2 0 1 1 21
Tail risk forecasting with semi-parametric regression models by incorporating overnight information 0 0 0 8 0 0 2 21
Total Working Papers 0 1 2 561 22 31 54 1,372

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 2 9 165
A Bayesian conditional autoregressive geometric process model for range data 0 1 1 15 0 1 1 68
A Bayesian threshold nonlinearity test for financial time series 0 0 0 133 1 1 1 419
A unified approach to estimating population size for a births only model 0 0 0 1 0 1 2 29
An empirical evaluation of fat-tailed distributions in modeling financial time series 0 0 0 2 1 2 2 40
Asymmetric Return and Volatility Responses to Composite News from Stock Markets 0 0 0 11 2 4 9 76
Asymmetric response and interaction of U.S. and local news in financial markets 0 0 0 1 0 0 1 8
Asymmetric responses of international stock markets to trading volume 0 0 0 11 0 0 2 47
Asymmetrical reaction to US stock-return news: evidence from major stock markets based on a double-threshold model 0 0 0 78 2 3 3 287
BAYESIAN INFERENCE OF THRESHOLD AUTOREGRESSIVE MODELS 0 0 4 23 0 3 11 40
Bayesian Assessment of Dynamic Quantile Forecasts 0 0 0 2 2 2 2 13
Bayesian Expected Shortfall Forecasting Incorporating the Intraday Range 0 0 1 15 0 1 5 35
Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis 0 0 0 0 1 1 5 48
Bayesian Time-Varying Quantile Forecasting for Value-at-Risk in Financial Markets 0 0 0 69 3 5 10 221
Bayesian Time-Varying Quantile Forecasting for Value-at-Risk in Financial Markets 1 2 6 26 2 5 15 76
Bayesian Unit Root Test in Double Threshold Heteroskedastic Models 0 0 0 14 2 4 4 63
Bayesian causal effects in quantiles: Accounting for heteroscedasticity 0 0 0 30 0 0 0 132
Bayesian causality test for integer-valued time series models with applications to climate and crime data 1 1 1 34 3 3 4 96
Bayesian estimation of realized GARCH-type models with application to financial tail risk management 0 0 5 10 4 5 18 35
Bayesian estimation of smoothly mixing time-varying parameter GARCH models 0 0 0 10 1 3 3 53
Bayesian inference of multiple structural change models with asymmetric GARCH errors 0 0 1 2 1 3 4 15
Bayesian inference of nonlinear hysteretic integer-valued GARCH models for disease counts 0 0 0 8 0 1 2 33
Bayesian modeling and forecasting of Value‐at‐Risk via threshold realized volatility 0 1 1 11 3 5 8 34
Bayesian modeling of spatial integer-valued time series 0 0 1 1 0 1 8 11
Bayesian non‐linear quantile effects on modelling realized kernels 0 0 0 0 0 1 1 1
Bayesian quantile forecasting via the realized hysteretic GARCH model 0 0 0 9 0 1 4 26
Bayesian subset selection for threshold autoregressive moving-average models 0 0 0 14 0 2 2 74
Best subset selection of autoregressive models with exogenous variables and generalized autoregressive conditional heteroscedasticity errors 0 0 0 51 0 0 0 206
Bias may be unintentional but it's still there 0 0 0 1 1 1 1 2
Bivariate asymmetric GARCH models with heavy tails and dynamic conditional correlations 0 0 0 12 1 1 2 43
Classification in segmented regression problems 0 0 0 24 0 1 2 123
Comparison of nonnested asymmetric heteroskedastic models 0 0 0 28 0 4 4 81
Detection of additive outliers in bilinear time series 0 0 0 10 2 2 2 48
Estimating the Number of HIV-infected gay sauna patrons in Taipei area 0 0 0 2 1 3 4 88
Evidence of Stock Returns and Abnormal Trading Volume: A Threshold Quantile Regression Approach 1 1 1 7 3 4 9 32
Evidence of Stock Returns and Abnormal Trading Volume: A Threshold Quantile Regression Approach 0 0 1 14 0 2 4 60
Falling and explosive, dormant, and rising markets via multiple‐regime financial time series models 0 0 0 1 1 2 3 10
Forecasting Value-at-Risk using nonlinear regression quantiles and the intra-day range 0 0 1 39 3 3 6 185
Forecasting volatility with asymmetric smooth transition dynamic range models 0 0 0 27 2 6 7 102
Generalized Poisson autoregressive models for time series of counts 0 0 0 33 1 2 5 93
High-dimensional data analysis and visualisation 0 0 2 2 1 1 3 5
How Strong is the Relationship Among Gold and USD Exchange Rates? Analytics Based on Structural Change Models 1 2 3 26 1 3 8 88
Improving Quantile Forecasts via Realized Double Hysteretic GARCH Model in Stock Markets 0 1 2 2 1 3 8 8
Incorporating volatility in tolerance intervals for pair-trading strategy and backtesting 0 0 0 0 1 2 10 10
Inferences of default risk and borrower characteristics on P2P lending 1 2 3 24 2 4 7 70
Integer-valued transfer function models for counts that show zero inflation 0 1 4 6 0 3 15 23
Long-term dependence with asymmetric conditional heteroscedasticity in stock returns 0 0 0 5 1 1 3 23
Markov switching integer‐valued generalized auto‐regressive conditional heteroscedastic models for dengue counts 0 1 2 16 1 4 11 56
Model selection of a switching mechanism for financial time series 0 0 0 1 0 1 2 5
Modelling financial time series with threshold nonlinearity in returns and trading volume 0 0 0 2 0 0 1 8
Multi-asset pair-trading strategy: A statistical learning approach 1 5 12 64 4 11 27 149
Multi-regime nonlinear capital asset pricing models 0 0 0 7 0 1 1 50
Nonparametric tolerance limits for pair trading 0 0 1 11 1 1 5 47
On Asymmetric Market Model with Heteroskedasticity and Quantile Regression 0 0 0 11 1 1 2 54
On Fisher’s dispersion test for integer-valued autoregressive Poisson models with applications 0 0 0 0 0 0 0 2
On a Bivariate Hysteretic AR-GARCH Model with Conditional Asymmetry in Correlations 0 0 1 1 0 0 1 13
On a threshold heteroscedastic model 0 0 0 71 1 2 2 180
On the Selection of Subset Bilinear Time Series Models: a Genetic Algorithm Approach 0 0 0 0 0 0 0 3
Optimal dynamic hedging via copula-threshold-GARCH models 0 0 0 15 1 2 5 79
Pair trading based on quantile forecasting of smooth transition GARCH models 0 2 6 72 3 8 22 184
Predicting failure risk using financial ratios: Quantile hazard model approach 0 0 0 11 0 0 1 89
Public opinion concerning governments’ response to the COVID-19 pandemic 0 0 0 1 0 0 0 4
Quantile forecasting based on a bivariate hysteretic autoregressive model with GARCH errors and time ‐varying correlations 0 0 0 3 1 1 2 12
Quantile three-factor model with heteroskedasticity, skewness, and leptokurtosis 0 0 0 0 1 2 4 4
Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity 0 0 0 15 1 3 4 76
Smooth Transition Quantile Capital Asset Pricing Models with Heteroscedasticity 0 0 0 18 1 2 2 135
Structural time series modelling for weekly forecasting of enterovirus outpatient, inpatient, and emergency department visits 0 0 0 0 0 1 1 1
Subset threshold autoregression 0 0 0 28 1 2 4 185
Tail risk forecasting of realized volatility CAViaR models 0 1 5 18 3 10 20 51
Tail risk forecasting with semiparametric regression models by incorporating overnight information 0 0 0 1 1 1 1 3
Testing for nonlinearity in mean and volatility for heteroskedastic models 0 0 0 4 1 1 2 30
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 1 2 2 33
The impact of structural breaks on the integration of the ASEAN-5 stock markets 0 0 0 10 0 0 1 50
Threshold variable selection of asymmetric stochastic volatility models 0 0 1 10 1 2 3 41
Volatility forecasting using threshold heteroskedastic models of the intra-day range 1 1 2 55 1 2 7 184
Volatility forecasting with double Markov switching GARCH models 1 1 1 79 3 3 3 206
Total Journal Articles 8 23 69 1,446 80 171 375 5,379

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

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Statistics updated 2025-12-06