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 2 57
Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis 0 0 0 19 0 1 5 64
Bayesian Semi-parametric Expected Shortfall Forecasting in Financial M arkets 0 0 1 18 1 3 11 76
Bayesian time-varying quantile forecasting for Value-at-Risk in financial markets 0 0 1 38 1 1 5 113
Employing Bayesian Forecasting of Value-at-Risk to Determine an Appropriate Model for Risk Management 2 2 7 64 3 6 25 79
Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range 0 0 1 85 2 2 15 113
Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range 0 0 2 84 2 3 11 254
Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range 0 0 1 52 3 4 17 138
Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intraday Range 0 0 1 62 3 6 17 169
Semi-parametric Expected Shortfall Forecasting 0 0 0 53 0 1 3 68
Statistical Estimation of Portfolios for Dependent Financial Returns 0 0 0 0 0 0 1 18
Total Working Papers 2 2 14 524 15 27 112 1,149


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 1 74 1 1 6 150
A Bayesian conditional autoregressive geometric process model for range data 0 0 0 10 0 1 5 56
A Bayesian threshold nonlinearity test for financial time series 0 0 0 131 2 2 5 404
A unified approach to estimating population size for a births only model 0 0 0 1 0 0 1 27
An empirical evaluation of fat-tailed distributions in modeling financial time series 0 0 0 2 0 0 3 31
Asymmetric Return and Volatility Responses to Composite News from Stock Markets 1 1 1 11 1 2 6 62
Asymmetric response and interaction of U.S. and local news in financial markets 0 0 0 1 0 0 1 6
Asymmetric responses of international stock markets to trading volume 0 0 0 10 0 0 3 39
Asymmetrical reaction to US stock-return news: evidence from major stock markets based on a double-threshold model 0 0 1 78 2 4 7 272
Bayesian Assessment of Dynamic Quantile Forecasts 0 0 0 2 0 0 0 9
Bayesian Expected Shortfall Forecasting Incorporating the Intraday Range 0 1 2 6 0 1 5 14
Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis 0 0 0 0 0 0 3 40
Bayesian Time-Varying Quantile Forecasting for Value-at-Risk in Financial Markets 0 0 1 14 2 2 4 39
Bayesian Time-Varying Quantile Forecasting for Value-at-Risk in Financial Markets 0 0 0 63 1 1 8 186
Bayesian Unit Root Test in Double Threshold Heteroskedastic Models 0 0 1 14 0 1 6 56
Bayesian causal effects in quantiles: Accounting for heteroscedasticity 0 0 0 27 1 1 8 122
Bayesian causality test for integer-valued time series models with applications to climate and crime data 1 3 12 17 1 7 25 48
Bayesian estimation of smoothly mixing time-varying parameter GARCH models 0 0 0 9 1 1 2 47
Bayesian modeling and forecasting of Value‐at‐Risk via threshold realized volatility 0 0 1 2 0 1 3 9
Bayesian subset selection for threshold autoregressive moving-average models 0 0 0 11 0 0 3 65
Best subset selection of autoregressive models with exogenous variables and generalized autoregressive conditional heteroscedasticity errors 0 0 0 51 1 1 7 201
Bivariate asymmetric GARCH models with heavy tails and dynamic conditional correlations 0 0 1 9 0 0 6 30
Classification in segmented regression problems 0 0 0 23 0 0 2 115
Comparison of nonnested asymmetric heteroskedastic models 0 0 0 28 1 1 6 73
Detection of additive outliers in bilinear time series 0 0 0 10 0 0 2 44
Estimating the Number of HIV-infected gay sauna patrons in Taipei area 0 0 0 2 3 3 9 73
Evidence of Stock Returns and Abnormal Trading Volume: A Threshold Quantile Regression Approach 0 0 1 9 0 2 6 37
Evidence of Stock Returns and Abnormal Trading Volume: A Threshold Quantile Regression Approach 0 1 2 2 0 1 3 3
Falling and explosive, dormant, and rising markets via multiple‐regime financial time series models 0 0 0 0 0 0 0 4
Forecasting Value-at-Risk using nonlinear regression quantiles and the intra-day range 0 0 0 34 4 4 13 145
Forecasting volatility with asymmetric smooth transition dynamic range models 1 1 2 24 1 1 8 82
Generalized Poisson autoregressive models for time series of counts 0 0 1 18 1 2 5 50
How Strong is the Relationship Among Gold and USD Exchange Rates? Analytics Based on Structural Change Models 1 1 2 11 5 6 17 53
Inferences of default risk and borrower characteristics on P2P lending 0 1 6 6 2 4 15 15
Long-term dependence with asymmetric conditional heteroscedasticity in stock returns 0 0 0 4 0 0 1 17
Markov switching integer‐valued generalized auto‐regressive conditional heteroscedastic models for dengue counts 0 0 5 5 0 2 13 13
Model selection of a switching mechanism for financial time series 0 0 0 1 0 0 0 1
Modelling financial time series with threshold nonlinearity in returns and trading volume 0 0 0 0 0 0 1 3
Multi-regime nonlinear capital asset pricing models 0 0 0 6 0 0 3 46
Nonparametric tolerance limits for pair trading 0 0 0 4 1 1 4 22
On Asymmetric Market Model with Heteroskedasticity and Quantile Regression 0 1 2 11 0 1 14 47
On a threshold heteroscedastic model 0 0 0 63 1 1 5 165
On the Selection of Subset Bilinear Time Series Models: a Genetic Algorithm Approach 0 0 0 0 0 0 0 0
Optimal dynamic hedging via copula-threshold-GARCH models 1 1 2 11 2 4 12 57
Pair trading based on quantile forecasting of smooth transition GARCH models 0 0 3 43 1 3 20 117
Predicting failure risk using financial ratios: Quantile hazard model approach 0 0 2 9 1 4 14 61
Quantile forecasting based on a bivariate hysteretic autoregressive model with GARCH errors and time ‐varying correlations 0 0 0 0 0 1 1 1
Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity 0 0 1 13 0 1 11 61
Smooth Transition Quantile Capital Asset Pricing Models with Heteroscedasticity 0 0 0 17 1 1 6 129
Subset threshold autoregression 0 0 0 26 0 0 0 173
Testing for nonlinearity in mean and volatility for heteroskedastic models 0 0 0 4 0 1 4 20
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 2 0 0 4 24
The impact of structural breaks on the integration of the ASEAN-5 stock markets 0 1 1 9 1 2 4 42
Threshold variable selection of asymmetric stochastic volatility models 0 0 1 8 0 0 3 30
Volatility forecasting using threshold heteroskedastic models of the intra-day range 1 1 2 50 1 1 3 163
Volatility forecasting with double Markov switching GARCH models 0 0 4 75 0 0 7 191
Total Journal Articles 6 13 58 1,071 39 73 333 3,990


Statistics updated 2021-01-03