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 1 7 10 71
Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis 0 0 0 23 3 11 15 93
Bayesian Semi-parametric Expected Shortfall Forecasting in Financial M arkets 0 0 0 18 0 4 7 91
Bayesian time-varying quantile forecasting for Value-at-Risk in financial markets 1 1 2 46 1 8 15 146
Employing Bayesian Forecasting of Value-at-Risk to Determine an Appropriate Model for Risk Management 0 0 0 72 1 5 8 130
Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range 0 0 0 87 1 9 20 153
Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range 0 0 0 84 0 8 16 276
Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range 0 0 0 56 0 1 5 170
Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intraday Range 0 0 0 63 0 8 14 189
Forecasting and Backtesting Gradient Allocations of Expected Shortfall 0 0 0 0 1 4 10 13
Semi-parametric Expected Shortfall Forecasting 1 1 1 55 1 6 10 86
Statistical Estimation of Portfolios for Dependent Financial Returns 0 0 1 2 1 1 2 22
Tail risk forecasting with semi-parametric regression models by incorporating overnight information 0 0 0 8 0 6 6 27
The sixth special issue on computational econometrics 0 0 0 0 0 0 0 0
Total Working Papers 2 2 4 563 10 78 138 1,467

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 1 8 14 176
A Bayesian conditional autoregressive geometric process model for range data 0 0 1 15 0 1 3 70
A Bayesian threshold nonlinearity test for financial time series 0 0 0 133 1 5 7 425
A unified approach to estimating population size for a births only model 0 0 0 1 0 0 3 30
An empirical evaluation of fat-tailed distributions in modeling financial time series 0 0 0 2 0 2 4 42
Asymmetric Return and Volatility Responses to Composite News from Stock Markets 0 0 0 11 0 2 9 80
Asymmetric response and interaction of U.S. and local news in financial markets 0 0 0 1 0 2 4 11
Asymmetric responses of international stock markets to trading volume 0 0 0 11 0 4 6 52
Asymmetrical reaction to US stock-return news: evidence from major stock markets based on a double-threshold model 0 0 0 78 0 8 11 295
BAYESIAN INFERENCE OF THRESHOLD AUTOREGRESSIVE MODELS 1 5 6 28 2 11 19 53
Bayesian Assessment of Dynamic Quantile Forecasts 0 0 0 2 0 9 11 22
Bayesian Expected Shortfall Forecasting Incorporating the Intraday Range 0 0 1 15 4 6 12 42
Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis 0 0 0 0 0 5 11 54
Bayesian Time-Varying Quantile Forecasting for Value-at-Risk in Financial Markets 0 0 0 69 0 4 11 225
Bayesian Time-Varying Quantile Forecasting for Value-at-Risk in Financial Markets 0 0 6 27 0 4 19 83
Bayesian Unit Root Test in Double Threshold Heteroskedastic Models 0 0 0 14 2 6 12 71
Bayesian causal effects in quantiles: Accounting for heteroscedasticity 0 0 0 30 1 3 5 137
Bayesian causality test for integer-valued time series models with applications to climate and crime data 0 0 1 34 0 2 5 98
Bayesian estimation of realized GARCH-type models with application to financial tail risk management 1 1 4 11 8 38 53 76
Bayesian estimation of smoothly mixing time-varying parameter GARCH models 0 1 1 11 1 6 11 61
Bayesian inference of multiple structural change models with asymmetric GARCH errors 0 0 0 2 0 0 4 16
Bayesian inference of nonlinear hysteretic integer-valued GARCH models for disease counts 0 0 0 8 0 2 4 35
Bayesian modeling and forecasting of Value‐at‐Risk via threshold realized volatility 0 0 1 11 0 5 15 43
Bayesian modeling of spatial integer-valued time series 0 0 1 1 3 7 18 22
Bayesian non‐linear quantile effects on modelling realized kernels 0 0 0 0 0 0 2 2
Bayesian quantile forecasting via the realized hysteretic GARCH model 0 0 0 9 0 2 4 28
Bayesian subset selection for threshold autoregressive moving-average models 0 0 0 14 0 3 5 77
Best subset selection of autoregressive models with exogenous variables and generalized autoregressive conditional heteroscedasticity errors 0 0 0 51 0 6 7 213
Bias may be unintentional but it's still there 0 0 0 1 0 2 3 4
Bivariate asymmetric GARCH models with heavy tails and dynamic conditional correlations 0 0 0 12 3 7 10 51
Classification in segmented regression problems 0 0 0 24 0 2 4 125
Comparison of nonnested asymmetric heteroskedastic models 0 0 0 28 0 3 7 84
Detection of additive outliers in bilinear time series 0 0 0 10 0 1 3 49
Estimating the Number of HIV-infected gay sauna patrons in Taipei area 0 0 0 2 3 5 9 94
Evidence of Stock Returns and Abnormal Trading Volume: A Threshold Quantile Regression Approach 0 0 1 14 0 6 12 68
Evidence of Stock Returns and Abnormal Trading Volume: A Threshold Quantile Regression Approach 0 0 1 7 5 11 19 44
Falling and explosive, dormant, and rising markets via multiple‐regime financial time series models 0 0 0 1 0 6 9 17
Forecasting Value-at-Risk using nonlinear regression quantiles and the intra-day range 0 0 1 39 1 9 15 195
Forecasting and backtesting gradient allocations of expected shortfall 0 0 0 0 1 7 11 11
Forecasting volatility with asymmetric smooth transition dynamic range models 0 0 0 27 1 14 23 118
Generalized Poisson autoregressive models for time series of counts 0 1 2 35 1 4 9 99
High-dimensional data analysis and visualisation 0 0 1 2 1 7 10 13
How Strong is the Relationship Among Gold and USD Exchange Rates? Analytics Based on Structural Change Models 0 1 4 27 4 14 23 103
Improving Quantile Forecasts via Realized Double Hysteretic GARCH Model in Stock Markets 0 0 2 2 0 4 12 13
Incorporating volatility in tolerance intervals for pair-trading strategy and backtesting 0 0 0 0 0 3 9 16
Inferences of default risk and borrower characteristics on P2P lending 0 1 4 25 0 5 11 75
Integer-valued transfer function models for counts that show zero inflation 0 0 4 6 1 3 17 26
Long-term dependence with asymmetric conditional heteroscedasticity in stock returns 0 0 0 5 1 2 4 26
Markov switching integer‐valued generalized auto‐regressive conditional heteroscedastic models for dengue counts 1 1 2 17 2 8 17 65
Model selection of a switching mechanism for financial time series 0 0 0 1 1 1 4 8
Modelling financial time series with threshold nonlinearity in returns and trading volume 0 0 0 2 0 3 3 11
Multi-asset pair-trading strategy: A statistical learning approach 0 0 9 64 3 7 31 159
Multi-regime nonlinear capital asset pricing models 0 0 0 7 0 4 5 54
Nonparametric tolerance limits for pair trading 0 0 2 12 1 7 13 56
On Asymmetric Market Model with Heteroskedasticity and Quantile Regression 0 0 0 11 0 3 5 58
On Fisher’s dispersion test for integer-valued autoregressive Poisson models with applications 0 0 0 0 0 3 3 5
On a Bivariate Hysteretic AR-GARCH Model with Conditional Asymmetry in Correlations 0 0 1 1 0 2 3 15
On a threshold heteroscedastic model 0 0 0 71 0 3 7 185
On the Selection of Subset Bilinear Time Series Models: a Genetic Algorithm Approach 0 0 0 0 0 2 3 6
Optimal dynamic hedging via copula-threshold-GARCH models 0 1 1 16 3 10 16 90
Pair trading based on quantile forecasting of smooth transition GARCH models 1 2 6 74 2 9 27 198
Predicting failure risk using financial ratios: Quantile hazard model approach 0 0 0 11 0 5 6 94
Public opinion concerning governments’ response to the COVID-19 pandemic 0 0 0 1 1 4 5 9
Quantile forecasting based on a bivariate hysteretic autoregressive model with GARCH errors and time ‐varying correlations 0 0 0 3 0 1 5 15
Quantile three-factor model with heteroskedasticity, skewness, and leptokurtosis 1 1 1 1 1 3 7 8
Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity 0 0 0 15 0 3 7 80
Smooth Transition Quantile Capital Asset Pricing Models with Heteroscedasticity 0 0 0 18 1 5 7 140
Structural time series modelling for weekly forecasting of enterovirus outpatient, inpatient, and emergency department visits 0 0 0 0 0 2 4 4
Subset threshold autoregression 0 0 0 28 0 4 8 191
Tail risk forecasting of realized volatility CAViaR models 0 3 7 21 1 9 32 68
Tail risk forecasting with semiparametric regression models by incorporating overnight information 0 0 0 1 0 7 11 13
Testing for nonlinearity in mean and volatility for heteroskedastic models 0 0 0 4 0 1 5 33
The Impact of News-Based and Twitter-Based Economic Uncertainty on Realized Volatility: Asymmetric Effect with Threshold Quantile ARX Model 1 1 1 1 2 2 4 4
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 1 1 4 0 6 8 39
The impact of structural breaks on the integration of the ASEAN-5 stock markets 0 0 0 10 0 3 3 53
Threshold variable selection of asymmetric stochastic volatility models 0 0 1 10 1 5 9 47
Volatility forecasting using threshold heteroskedastic models of the intra-day range 0 0 2 55 1 5 11 191
Volatility forecasting with double Markov switching GARCH models 0 1 2 80 1 6 12 215
Total Journal Articles 6 21 78 1,470 66 399 790 5,884

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 2 2
Total Chapters 0 0 0 0 0 1 2 2

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Statistics updated 2026-04-09