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 61
Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis 0 0 1 23 0 1 2 79
Bayesian Semi-parametric Expected Shortfall Forecasting in Financial M arkets 0 0 0 18 0 0 1 85
Bayesian time-varying quantile forecasting for Value-at-Risk in financial markets 0 0 1 45 1 1 7 133
Employing Bayesian Forecasting of Value-at-Risk to Determine an Appropriate Model for Risk Management 0 0 0 72 1 1 3 124
Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range 0 0 0 87 0 2 3 136
Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range 0 0 0 56 0 0 3 166
Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range 0 0 0 84 0 0 2 261
Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intraday Range 0 0 0 63 0 0 0 175
Forecasting and Backtesting Gradient Allocations of Expected Shortfall 0 0 0 0 0 0 4 4
Semi-parametric Expected Shortfall Forecasting 0 0 0 54 0 0 1 76
Statistical Estimation of Portfolios for Dependent Financial Returns 0 0 0 1 0 0 0 20
Tail risk forecasting with semi-parametric regression models by incorporating overnight information 0 0 0 8 0 0 6 21
Total Working Papers 0 0 2 560 2 5 33 1,341

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 8 163
A Bayesian conditional autoregressive geometric process model for range data 0 0 0 14 0 0 0 67
A Bayesian threshold nonlinearity test for financial time series 0 0 0 133 0 0 1 418
A unified approach to estimating population size for a births only model 0 0 0 1 0 1 1 28
An empirical evaluation of fat-tailed distributions in modeling financial time series 0 0 0 2 0 0 0 38
Asymmetric Return and Volatility Responses to Composite News from Stock Markets 0 0 0 11 0 0 5 72
Asymmetric response and interaction of U.S. and local news in financial markets 0 0 0 1 1 1 1 8
Asymmetric responses of international stock markets to trading volume 0 0 0 11 0 1 2 47
Asymmetrical reaction to US stock-return news: evidence from major stock markets based on a double-threshold model 0 0 0 78 0 0 1 284
BAYESIAN INFERENCE OF THRESHOLD AUTOREGRESSIVE MODELS 0 0 8 23 1 1 13 37
Bayesian Assessment of Dynamic Quantile Forecasts 0 0 0 2 0 0 0 11
Bayesian Expected Shortfall Forecasting Incorporating the Intraday Range 0 1 1 15 0 3 4 34
Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis 0 0 0 0 0 4 4 47
Bayesian Time-Varying Quantile Forecasting for Value-at-Risk in Financial Markets 0 2 5 24 2 5 12 71
Bayesian Time-Varying Quantile Forecasting for Value-at-Risk in Financial Markets 0 0 0 69 2 2 8 216
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 0 1 30 0 0 1 132
Bayesian causality test for integer-valued time series models with applications to climate and crime data 0 0 0 33 0 0 1 93
Bayesian estimation of realized GARCH-type models with application to financial tail risk management 1 2 7 10 2 6 19 30
Bayesian estimation of smoothly mixing time-varying parameter GARCH models 0 0 0 10 0 0 0 50
Bayesian inference of multiple structural change models with asymmetric GARCH errors 0 0 1 2 0 0 1 12
Bayesian inference of nonlinear hysteretic integer-valued GARCH models for disease counts 0 0 0 8 0 0 1 32
Bayesian modeling and forecasting of Value‐at‐Risk via threshold realized volatility 0 0 1 10 1 1 4 29
Bayesian modeling of spatial integer-valued time series 0 0 1 1 1 1 7 10
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 2 9 0 1 5 25
Bayesian subset selection for threshold autoregressive moving-average models 0 0 0 14 0 0 2 72
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 0 0 0 1
Bivariate asymmetric GARCH models with heavy tails and dynamic conditional correlations 0 0 0 12 0 1 1 42
Classification in segmented regression problems 0 0 0 24 1 1 1 122
Comparison of nonnested asymmetric heteroskedastic models 0 0 0 28 0 0 0 77
Detection of additive outliers in bilinear time series 0 0 0 10 0 0 0 46
Estimating the Number of HIV-infected gay sauna patrons in Taipei area 0 0 0 2 0 0 1 85
Evidence of Stock Returns and Abnormal Trading Volume: A Threshold Quantile Regression Approach 0 1 1 14 0 1 2 58
Evidence of Stock Returns and Abnormal Trading Volume: A Threshold Quantile Regression Approach 0 0 0 6 1 3 5 28
Falling and explosive, dormant, and rising markets via multiple‐regime financial time series models 0 0 0 1 0 0 1 8
Forecasting Value-at-Risk using nonlinear regression quantiles and the intra-day range 0 0 1 39 0 0 3 182
Forecasting volatility with asymmetric smooth transition dynamic range models 0 0 0 27 0 1 1 96
Generalized Poisson autoregressive models for time series of counts 0 0 1 33 0 1 5 91
High-dimensional data analysis and visualisation 0 1 2 2 0 1 2 4
How Strong is the Relationship Among Gold and USD Exchange Rates? Analytics Based on Structural Change Models 1 1 1 24 2 4 8 85
Improving Quantile Forecasts via Realized Double Hysteretic GARCH Model in Stock Markets 0 0 1 1 2 2 5 5
Incorporating volatility in tolerance intervals for pair-trading strategy and backtesting 0 0 0 0 1 1 8 8
Inferences of default risk and borrower characteristics on P2P lending 1 1 1 22 1 1 4 66
Integer-valued transfer function models for counts that show zero inflation 1 1 4 5 1 5 13 20
Long-term dependence with asymmetric conditional heteroscedasticity in stock returns 0 0 0 5 0 0 2 22
Markov switching integer‐valued generalized auto‐regressive conditional heteroscedastic models for dengue counts 0 0 1 15 1 4 7 52
Model selection of a switching mechanism for financial time series 0 0 0 1 0 0 1 4
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 3 8 59 1 9 19 138
Multi-regime nonlinear capital asset pricing models 0 0 0 7 0 0 0 49
Nonparametric tolerance limits for pair trading 0 1 1 11 1 2 5 46
On Asymmetric Market Model with Heteroskedasticity and Quantile Regression 0 0 0 11 0 0 1 53
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 1 1 1 0 1 1 13
On a threshold heteroscedastic model 0 0 0 71 0 0 0 178
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 2 2 3 77
Pair trading based on quantile forecasting of smooth transition GARCH models 0 0 4 70 0 1 19 176
Predicting failure risk using financial ratios: Quantile hazard model approach 0 0 0 11 0 1 3 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 0 0 1 11
Quantile three-factor model with heteroskedasticity, skewness, and leptokurtosis 0 0 0 0 0 0 2 2
Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity 0 0 1 15 0 0 3 73
Smooth Transition Quantile Capital Asset Pricing Models with Heteroscedasticity 0 0 0 18 0 0 0 133
Structural time series modelling for weekly forecasting of enterovirus outpatient, inpatient, and emergency department visits 0 0 0 0 0 0 0 0
Subset threshold autoregression 0 0 0 28 0 0 2 183
Tail risk forecasting of realized volatility CAViaR models 1 1 4 17 1 1 17 41
Tail risk forecasting with semiparametric regression models by incorporating overnight information 0 0 1 1 0 0 2 2
Testing for nonlinearity in mean and volatility for heteroskedastic models 0 0 0 4 1 1 1 29
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 1 31
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 1 1 10 0 1 2 39
Volatility forecasting using threshold heteroskedastic models of the intra-day range 0 1 1 54 1 2 5 182
Volatility forecasting with double Markov switching GARCH models 0 0 0 78 0 0 2 203
Total Journal Articles 6 18 62 1,423 27 74 262 5,208

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 2025-09-05