Cathy W. S. Chen

33 papers Journal 29Unranked 1

Year	Rank	Type	Title / Venue / Authors
2024	J	`jnl`	Bayesian Forecasting of Bounded Poisson Distributed Time Series. Entropy Feng-Chi Liu, Cathy W. S. Chen, Cheng-Ying Ho
2024	J	`jnl`	High-dimensional data analysis and visualisation. Comput. Stat. Cathy W. S. Chen, Rosaria Lombardo, Enrico Ripamonti
2023	J	`jnl`	Bayesian modeling of spatial integer-valued time series. Comput. Stat. Data Anal. Cathy W. S. Chen, Chun-Shu Chen, Mo-Hua Hsiung
2023	J	`jnl`	Quantile three-factor model with heteroskedasticity, skewness, and leptokurtosis. Comput. Stat. Data Anal. Kai Y. K. Wang, Cathy W. S. Chen, Mike K. P. So
2021	J	`jnl`	Bayesian inference of nonlinear hysteretic integer-valued GARCH models for disease counts. Comput. Stat. Cathy W. S. Chen, Sangyeol Lee, Khemmanant Khamthong
2021	J	`jnl`	Ordinal Time Series Forecasting of the Air Quality Index. Entropy Cathy W. S. Chen, L. M. Chiu
2019	—	`ch.`	Bayesian Modelling Structural Changes on Housing Price Dynamics. Structural Changes and their Econometric Modeling Hong Than-Thi, Manh Cuong Dong, Cathy W. S. Chen
2018	—	`ch.`	Bayesian Forecasting for Tail Risk. Predictive Econometrics and Big Data Cathy W. S. Chen, Yu-Wen Sun
2017	—	`ch.`	Structural Breaks of CAPM-type Market Model with Heteroskedasticity and Quantile Regression. Robustness in Econometrics Cathy W. S. Chen, Khemmanant Khamthong, Sangyeol Lee
2016	J	`jnl`	Generalized Poisson autoregressive models for time series of counts. Comput. Stat. Data Anal. Cathy W. S. Chen, Sangyeol Lee
2016	J	`jnl`	Local non-stationarity test in mean for Markov switching GARCH models: an approximate Bayesian approach. Comput. Stat. Cathy W. S. Chen, Sangyeol Lee, Shu-Yu Chen
2014	J	`jnl`	Bayesian estimation of smoothly mixing time-varying parameter GARCH models. Comput. Stat. Data Anal. Cathy W. S. Chen, Richard Gerlach, Edward M. H. Lin
2014	J	`jnl`	CFEnetwork: The Annals of Computational and Financial Econometrics: 2nd Issue. Comput. Stat. Data Anal. Erricos John Kontoghiorghes, Herman K. van Dijk, David A. Belsley, Tim Bollerslev, Francis X. Diebold, Jean-Marie Dufour, Robert F. Engle, Andrew Harvey, Siem Jan Koopman, Hashem Pesaran, Peter C. B. Phillips, Richard J. Smith, Mike West, Qiwei Yao, Alessandra Amendola, Monica Billio, Cathy W. S. Chen, Carl Chiarella, Ana Colubi, Manfred Deistler, Christian Francq, Marc Hallin, Eric Jacquier, Kenneth Judd, Gary Koop, Helmut Lütkepohl, James G. MacKinnon, Stefan Mittnik, Yasuhiro Omori, D. S. G. Pollock, Tommaso Proietti, Jeroen V. K. Rombouts, Olivier Scaillet, Willi Semmler, Mike K. P. So, Mark F. J. Steel, Robert Taylor, Elias Tzavalis, Jean-Michel Zakoian, H. Peter Boswijk, Alessandra Luati, John M. Maheu
2014	—	`conf`	Pairs Trading via Three-Regime Threshold Autoregressive GARCH Models. TES Cathy W. S. Chen, Max Chen, Shu-Yu Chen
2014	J	`jnl`	Special issue on Bayesian computing, methods and applications. Comput. Stat. Data Anal. Cathy W. S. Chen, David B. Dunson, Sylvia Frühwirth-Schnatter, Stephen G. Walker
2013	J	`jnl`	Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity. Comput. Stat. Cathy W. S. Chen, Richard Gerlach
2013	J	`jnl`	Threshold variable selection of asymmetric stochastic volatility models. Comput. Stat. Cathy W. S. Chen, Feng-Chi Liu, Mike K. P. So
2012	J	`jnl`	A Bayesian conditional autoregressive geometric process model for range data. Comput. Stat. Data Anal. Jennifer So-Kuen Chan, Connie P. Y. Lam, Philip L. H. Yu, S. T. Boris Choy, Cathy W. S. Chen
2012	J	`jnl`	Statistical Estimation of Portfolios for Dependent Financial Returns. Adv. Decis. Sci. Masanobu Taniguchi, Cathy W. S. Chen, Junichi Hirukawa, Hiroshi Shiraishi, Kenichiro Tamaki, David Veredas
2012	J	`jnl`	The Annals of Computational and Financial Econometrics, first issue. Comput. Stat. Data Anal. David A. Belsley, Erricos John Kontoghiorghes, Herman K. van Dijk, Luc Bauwens, Siem Jan Koopman, Michael McAleer, Alessandra Amendola, Monica Billio, Christophe Croux, Cathy W. S. Chen, Russell Davidson, Pierre Duchesne, Paolo Foschi, Christian Francq, Ana-María Fuertes, Gary Koop, Lynda Khalaf, Marc S. Paolella, D. S. G. Pollock, Esther Ruiz, Richard Paap, Tommaso Proietti, Peter Winker, Philip L. H. Yu, Jean-Michel Zakoian, Achim Zeileis
2012	J	`jnl`	The sixth special issue on computational econometrics. Comput. Stat. Data Anal. David A. Belsley, Cathy W. S. Chen, Christian Francq, Giampiero M. Gallo, Lynda Khalaf, Erricos John Kontoghiorghes, Herman K. van Dijk
2011	J	`jnl`	A comparison of estimators for regression models with change points. Stat. Comput. Cathy W. S. Chen, Jennifer So-Kuen Chan, Richard Gerlach, William Y. L. Hsieh
2011	J	`jnl`	Bayesian subset selection for threshold autoregressive moving-average models. Comput. Stat. Cathy W. S. Chen, Feng-Chi Liu, Richard Gerlach
2011	J	`jnl`	Classification in segmented regression problems. Comput. Stat. Data Anal. Cathy W. S. Chen, Jennifer So-Kuen Chan, Mike K. P. So, Kevin K. M. Lee
2009	J	`jnl`	Bayesian causal effects in quantiles: Accounting for heteroscedasticity. Comput. Stat. Data Anal. Cathy W. S. Chen, Richard Gerlach, D. C. M. Wei
2009	J	`jnl`	Optimal dynamic hedging via copula-threshold-GARCH models. Math. Comput. Simul. YiHao Lai, Cathy W. S. Chen, Richard Gerlach
2009	J	`jnl`	The impact of structural breaks on the integration of the ASEAN-5 stock markets. Math. Comput. Simul. Cathy W. S. Chen, Richard Gerlach, Nick Y. P. Cheng, Y. L. Yang
2008	J	`jnl`	An empirical evaluation of fat-tailed distributions in modeling financial time series. Math. Comput. Simul. Mike K. P. So, Cathy W. S. Chen, Jen-Yu Lee, Yi-Ping Chang
2008	J	`jnl`	Bayesian inference and model comparison for asymmetric smooth transition heteroskedastic models. Stat. Comput. Richard Gerlach, Cathy W. S. Chen
2008	J	`jnl`	Testing for nonlinearity in mean and volatility for heteroskedastic models. Math. Comput. Simul. Cathy W. S. Chen, Richard Gerlach, Amanda P. J. Tai
2008	J	`jnl`	Volatility forecasting using threshold heteroskedastic models of the intra-day range. Comput. Stat. Data Anal. Cathy W. S. Chen, Richard Gerlach, Edward M. H. Lin
2006	J	`jnl`	Comparison of nonnested asymmetric heteroskedastic models. Comput. Stat. Data Anal. Cathy W. S. Chen, Richard Gerlach, Mike K. P. So
2001	J	`jnl`	On the Selection of Subset Bilinear Time Series Models: a Genetic Algorithm Approach. Comput. Stat. Cathy W. S. Chen, Tsai-Hung Cherng, Berlin Wu