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Citations of

Cathy W. S. Chen

Contents:

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Cathy W. S. Chen & Richard Gerlach & Bruce B. K. Hwang & Michael McAleer, 2011. "Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico 2011-16, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.

    Cited by:

    1. Fuertes, Ana-Maria & Olmo, Jose, 2013. "Optimally harnessing inter-day and intra-day information for daily value-at-risk prediction," International Journal of Forecasting, Elsevier, Elsevier, vol. 29(1), pages 28-42.

  2. Chen, Cathy W.S & Gerlach, Richard & Lee, Wcw & Lin, Edward M.H., 2011. "Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis," Working Papers 1 OMEWP, University of Sydney Business School, Discipline of Business Analytics.

    Cited by:

    1. Cathy W. S. Chen & Richard Gerlach & Bruce B. K. Hwang & Michael McAleer, 2011. "Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range," KIER Working Papers, Kyoto University, Institute of Economic Research 775, Kyoto University, Institute of Economic Research.
    2. Pilar Abad & Sonia Benito & Miguel Angel Sánchez Granero & Carmen López, 2013. "A Capital Adequacy Buffer Model," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico 2013-40, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.

  3. Chan, Nancy Y. C. & Chen, Cathy W.S. & Gerlach, Richard, 2009. "Bayesian time-varying quantile forecasting for Value-at-Risk in financial markets," Working Papers 01/2009, University of Sydney Business School, Discipline of Business Analytics.

    Cited by:

    1. Yuta Kurose & Yasuhiro Omori, 2012. "Bayesian Analysis of Time-Varying Quantiles Using a Smoothing Spline," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo CIRJE-F-845, CIRJE, Faculty of Economics, University of Tokyo.
    2. Cathy W. S. Chen & Richard Gerlach & Bruce B. K. Hwang & Michael McAleer, 2011. "Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range," Working Papers in Economics, University of Canterbury, Department of Economics and Finance 11/22, University of Canterbury, Department of Economics and Finance.
    3. Mauro Bernardi & Ghislaine Gayraud & Lea Petrella, 2013. "Bayesian inference for CoVaR," Papers, arXiv.org 1306.2834, arXiv.org, revised Nov 2013.
    4. Alhamzawi, Rahim & Yu, Keming, 2013. "Conjugate priors and variable selection for Bayesian quantile regression," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 64(C), pages 209-219.
    5. Richard Gerlach & Zudi Lu & Hai Huang, 2013. "Exponentially Smoothing the Skewed Laplace Distribution for Value‐at‐Risk Forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 32(6), pages 534-550, 09.
    6. Liu, Xiaochun, 2013. "Markov-Switching Quantile Autoregression," MPRA Paper 55800, University Library of Munich, Germany.
    7. Huarng, Kun-Huang & Yu, Tiffany Hui-Kuang, 2014. "A new quantile regression forecasting model," Journal of Business Research, Elsevier, Elsevier, vol. 67(5), pages 779-784.
    8. Cathy Chen & Richard Gerlach, 2013. "Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity," Computational Statistics, Springer, Springer, vol. 28(3), pages 1103-1131, June.

Articles

  1. Cathy Chen & Richard Gerlach, 2013. "Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity," Computational Statistics, Springer, Springer, vol. 28(3), pages 1103-1131, June.

    Cited by:

    1. Cathy Chen & Simon Lin & Philip Yu, 2012. "Smooth Transition Quantile Capital Asset Pricing Models with Heteroscedasticity," Computational Economics, Society for Computational Economics, Society for Computational Economics, vol. 40(1), pages 19-48, June.

  2. Lin, Edward M.H. & Chen, Cathy W.S. & Gerlach, Richard, 2012. "Forecasting volatility with asymmetric smooth transition dynamic range models," International Journal of Forecasting, Elsevier, Elsevier, vol. 28(2), pages 384-399.

    Cited by:

    1. Chen, Cathy W.S. & Gerlach, Richard & Lin, Edward M.H., 2014. "Bayesian estimation of smoothly mixing time-varying parameter GARCH models," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 76(C), pages 194-209.
    2. Leandro Maciel & Fernando Gomide & Rosangela Ballini, 2014. "An Evolving Fuzzy-Garch Approach Forfinancial Volatility Modeling And Forecasting," Anais do XL Encontro Nacional de Economia [Proceedings of the 40th Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Grad 138, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].

  3. Cathy W.S. Chen & Richard Gerlach & Edward M. H. Lin & W. C. W. Lee, 2012. "Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis," Journal of Forecasting, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 31(8), pages 661-687, December.
    See citations under working paper version above.
  4. Cathy Chen & Simon Lin & Philip Yu, 2012. "Smooth Transition Quantile Capital Asset Pricing Models with Heteroscedasticity," Computational Economics, Society for Computational Economics, Society for Computational Economics, vol. 40(1), pages 19-48, June.

    Cited by:

    1. Cathy Chen & Richard Gerlach, 2013. "Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity," Computational Statistics, Springer, Springer, vol. 28(3), pages 1103-1131, June.

  5. Chen, Cathy W.S. & Gerlach, Richard & Hwang, Bruce B.K. & McAleer, Michael, 2012. "Forecasting Value-at-Risk using nonlinear regression quantiles and the intra-day range," International Journal of Forecasting, Elsevier, Elsevier, vol. 28(3), pages 557-574.
    See citations under working paper version above.
  6. Gerlach, Richard H. & Chen, Cathy W. S. & Chan, Nancy Y. C., 2011. "Bayesian Time-Varying Quantile Forecasting for Value-at-Risk in Financial Markets," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 29(4), pages 481-492.
    See citations under working paper version above.
  7. Cathy Chen & Feng Liu & Richard Gerlach, 2011. "Bayesian subset selection for threshold autoregressive moving-average models," Computational Statistics, Springer, Springer, vol. 26(1), pages 1-30, March.

    Cited by:

    1. Jouchi Nakajima & Mike West, 2013. "Bayesian Analysis of Latent Threshold Dynamic Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 31(2), pages 151-164, April.

  8. Chen, Cathy W.S. & Gerlach, Richard & Wei, D.C.M., 2009. "Bayesian causal effects in quantiles: Accounting for heteroscedasticity," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 53(6), pages 1993-2007, April.

    Cited by:

    1. Yves S. Schüler, 2014. "Asymmetric Effects of Uncertainty over the Business Cycle: A Quantile Structural Vector Autoregressive Approach," Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz 2014-02, Department of Economics, University of Konstanz.
    2. Cathy Chen & Simon Lin & Philip Yu, 2012. "Smooth Transition Quantile Capital Asset Pricing Models with Heteroscedasticity," Computational Economics, Society for Computational Economics, Society for Computational Economics, vol. 40(1), pages 19-48, June.
    3. Massimiliano Caporin & Loriana Pelizzon & Francesco Ravazzolo & Roberto Rigobon, 2012. "Measuring sovereign contagion in Europe," Working Paper, Norges Bank 2012/05, Norges Bank.
    4. Cathy Chen & Richard Gerlach, 2013. "Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity," Computational Statistics, Springer, Springer, vol. 28(3), pages 1103-1131, June.

  9. Lai, YiHao & Chen, Cathy W.S. & Gerlach, Richard, 2009. "Optimal dynamic hedging via copula-threshold-GARCH models," Mathematics and Computers in Simulation (MATCOM), Elsevier, Elsevier, vol. 79(8), pages 2609-2624.

    Cited by:

    1. YiHao Lai, 2008. "Does Asymmetric Dependence Structure Matter? A Value-at-Risk View," International Journal of Business and Economics, College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan, College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 7(3), pages 249-268, December.
    2. Allen, David E. & Gao, Jiti & McAleer, Michael, 2009. "Modelling and managing financial risk: An overview," Mathematics and Computers in Simulation (MATCOM), Elsevier, Elsevier, vol. 79(8), pages 2521-2524.
    3. Lai, YiHao & Tseng, Jen-Ching, 2010. "The role of Chinese stock market in global stock markets: A safe haven or a hedge?," International Review of Economics & Finance, Elsevier, Elsevier, vol. 19(2), pages 211-218, April.
    4. Serra, Teresa & Gil, Jose Maria, 2012. "Biodiesel as a motor fuel price stabilization mechanism," 2012 Conference, August 18-24, 2012, Foz do Iguacu, Brazil, International Association of Agricultural Economists 126056, International Association of Agricultural Economists.
    5. Ahmed Ghorbel & Abdelwahed Trabelsi, 2012. "Optimal dynamic hedging strategy with futures oil markets via FIEGARCH-EVT copula models," International Journal of Managerial and Financial Accounting, Inderscience Enterprises Ltd, Inderscience Enterprises Ltd, vol. 4(1), pages 1-28.
    6. Jin Zhang & Dietmar Maringer, 2010. "Asset Pair-Copula Selection with Downside Risk Minimization," Working Papers, COMISEF 037, COMISEF.
    7. Zhiyuan Pan & Xianchao Sun, 2014. "Hedging Strategy Using Copula and Nonparametric Methods: Evidence from China Securities Index Futures," International Journal of Economics and Financial Issues, Econjournals, Econjournals, vol. 4(1), pages 107-121.
    8. Penikas, H., 2010. "Financial Applications of Copula-Models," Journal of the New Economic Association, New Economic Association, New Economic Association, issue 7, pages 24-44.
    9. Chang, Kuang-Liang, 2012. "The time-varying and asymmetric dependence between crude oil spot and futures markets: Evidence from the Mixture copula-based ARJI–GARCH model," Economic Modelling, Elsevier, Elsevier, vol. 29(6), pages 2298-2309.
    10. Chen, Yi-Hsuan & Tu, Anthony H., 2013. "Estimating hedged portfolio value-at-risk using the conditional copula: An illustration of model risk," International Review of Economics & Finance, Elsevier, Elsevier, vol. 27(C), pages 514-528.
    11. Penikas, Henry, 2011. "Copula-Based Price Risk Hedging Models," Applied Econometrics, Publishing House "SINERGIA PRESS", Publishing House "SINERGIA PRESS", vol. 22(2), pages 3-21.
    12. Serra, Teresa, 2011. "Volatility Spillovers between Food and Energy Markets, A Semiparametric Approach," 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland, European Association of Agricultural Economists 115997, European Association of Agricultural Economists.
    13. Wei, Yu & Wang, Yudong & Huang, Dengshi, 2011. "A copula–multifractal volatility hedging model for CSI 300 index futures," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 390(23), pages 4260-4272.

  10. Cathy W. S. Chen & Mike K. P. So & Edward M. H. Lin, 2009. "Volatility forecasting with double Markov switching GARCH models," Journal of Forecasting, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 28(8), pages 681-697.

    Cited by:

    1. David Ardia & Lennart F. Hoogerheide, 2010. "Efficient Bayesian Estimation and Combination of GARCH-Type Models," Tinbergen Institute Discussion Papers, Tinbergen Institute 10-046/4, Tinbergen Institute.
    2. Cifter, Atilla, 2012. "Volatility Forecasting with Asymmetric Normal Mixture Garch Model: Evidence from South Africa," Journal for Economic Forecasting, Institute for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 127-142, June.
    3. Pierre-Julien Trombe & Pierre Pinson & Henrik Madsen, 2012. "A General Probabilistic Forecasting Framework for Offshore Wind Power Fluctuations," Energies, MDPI, Open Access Journal, vol. 5(3), pages 621-657, March.
    4. Chang, Kuang-Liang, 2012. "Volatility regimes, asymmetric basis effects and forecasting performance: An empirical investigation of the WTI crude oil futures market," Energy Economics, Elsevier, Elsevier, vol. 34(1), pages 294-306.
    5. Liu, Qingfu & Wong, Ieokhou & An, Yunbi & Zhang, Jinqing, 2014. "Asymmetric Information and Volatility Forecasting in Commodity Futures Markets," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 26(C), pages 79-97.

  11. Chen, Cathy W.S. & Gerlach, Richard & Cheng, Nick Y.P. & Yang, Y.L., 2009. "The impact of structural breaks on the integration of the ASEAN-5 stock markets," Mathematics and Computers in Simulation (MATCOM), Elsevier, Elsevier, vol. 79(8), pages 2654-2664.

    Cited by:

    1. Qin, Ruibing & Tian, Zheng & Jin, Hao & Zhang, Xiaowei, 2010. "Strong convergence rate of robust estimator of change point," Mathematics and Computers in Simulation (MATCOM), Elsevier, Elsevier, vol. 80(10), pages 2026-2032.
    2. Allen, David E. & Gao, Jiti & McAleer, Michael, 2009. "Modelling and managing financial risk: An overview," Mathematics and Computers in Simulation (MATCOM), Elsevier, Elsevier, vol. 79(8), pages 2521-2524.
    3. Kose, Nezir & Emirmahmutoglu, Furkan & Aksoy, Sezgin, 2012. "The interest rate–inflation relationship under an inflation targeting regime: The case of Turkey," Journal of Asian Economics, Elsevier, Elsevier, vol. 23(4), pages 476-485.

  12. Chen, Cathy W.S. & Gerlach, Richard & Lin, Edward M.H., 2008. "Volatility forecasting using threshold heteroskedastic models of the intra-day range," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 52(6), pages 2990-3010, February.

    Cited by:

    1. Chen, Cathy W.S. & Gerlach, Richard & Hwang, Bruce B.K. & McAleer, Michael, 2012. "Forecasting Value-at-Risk using nonlinear regression quantiles and the intra-day range," International Journal of Forecasting, Elsevier, Elsevier, vol. 28(3), pages 557-574.
    2. Borovkova, Svetlana & Permana, Ferry J., 2009. "Implied volatility in oil markets," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 53(6), pages 2022-2039, April.
    3. Amélie Charles, 2010. "The day-of-the week effects on the volatility: The role of the asymmetry," Post-Print, HAL hal-00771136, HAL.
    4. Tsiotas, Georgios, 2012. "On generalised asymmetric stochastic volatility models," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 56(1), pages 151-172, January.
    5. S. Bordignon & D. Raggi, 2010. "Long memory and nonlinearities in realized volatility: a Markov switching approach," Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna 694, Dipartimento Scienze Economiche, Universita' di Bologna.
    6. Chan, J.S.K. & Lam, C.P.Y. & Yu, P.L.H. & Choy, S.T.B. & Chen, C.W.S., 2012. "A Bayesian conditional autoregressive geometric process model for range data," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 56(11), pages 3006-3019.
    7. Chen, Qian & Gerlach, Richard H., 2013. "The two-sided Weibull distribution and forecasting financial tail risk," International Journal of Forecasting, Elsevier, Elsevier, vol. 29(4), pages 527-540.

  13. So, Mike K.P. & Chen, Cathy W.S. & Lee, Jen-Yu & Chang, Yi-Ping, 2008. "An empirical evaluation of fat-tailed distributions in modeling financial time series," Mathematics and Computers in Simulation (MATCOM), Elsevier, Elsevier, vol. 77(1), pages 96-108.

    Cited by:

    1. Huang, Alex YiHou, 2010. "An optimization process in Value-at-Risk estimation," Review of Financial Economics, Elsevier, Elsevier, vol. 19(3), pages 109-116, August.
    2. Kostas Andriosopoulos & Nikos Nomikos, 2012. "Risk management in the energy markets and Value-at-Risk modelling: a Hybrid approach," RSCAS Working Papers, European University Institute 2012/47, European University Institute.

  14. Chen, Cathy W.S. & Gerlach, Richard H. & Tai, Amanda P.J., 2008. "Testing for nonlinearity in mean and volatility for heteroskedastic models," Mathematics and Computers in Simulation (MATCOM), Elsevier, Elsevier, vol. 79(3), pages 489-499.

    Cited by:

    1. Ledermann, Daniel & Alexander, Carol, 2012. "Further properties of random orthogonal matrix simulation," Mathematics and Computers in Simulation (MATCOM), Elsevier, Elsevier, vol. 83(C), pages 56-79.

  15. Chen, Cathy W.S. & Yang, Ming Jing & Gerlach, Richard & Jim Lo, H., 2006. "The asymmetric reactions of mean and volatility of stock returns to domestic and international information based on a four-regime double-threshold GARCH model," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 366(C), pages 401-418.

    Cited by:

    1. Piotr Wdowinski & Marta Malecka, 2010. "Asymmetry in Volatility: A Comparison of Developed and Transition Stock Markets," CESifo Working Paper Series, CESifo Group Munich 2974, CESifo Group Munich.
    2. Yang, Yung-Lieh & Chang, Chia-Lin, 2008. "A double-threshold GARCH model of stock market and currency shocks on stock returns," Mathematics and Computers in Simulation (MATCOM), Elsevier, Elsevier, vol. 79(3), pages 458-474.
    3. Wei, Yu, 2012. "Forecasting volatility of fuel oil futures in China: GARCH-type, SV or realized volatility models?," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 391(22), pages 5546-5556.
    4. Kang, Sang Hoon & Cheong, Chongcheul & Yoon, Seong-Min, 2011. "Structural changes and volatility transmission in crude oil markets," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 390(23), pages 4317-4324.

  16. Gerlach, Richard & Chen, Cathy W.S. & Lin, Doris S.Y. & Huang, Ming-Hsiang, 2006. "Asymmetric responses of international stock markets to trading volume," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 360(2), pages 422-444.

    Cited by:

    1. Zolotoy, L., 2008. "Empirical Essays on the Information Transfer Between and the Informational Efficiency of Stock Markets," Open Access publications from Tilburg University, Tilburg University urn:nbn:nl:ui:12-388097, Tilburg University.
    2. Cheng, Xixin & Li, W.K. & Yu, Philip L.H. & Zhou, Xuan & Wang, Chao & Lo, P.H., 2011. "Modeling threshold conditional heteroscedasticity with regime-dependent skewness and kurtosis," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 55(9), pages 2590-2604, September.
    3. Vespignani, Joaquin L., 2012. "Modelling asymmetric consumer demand response: Evidence from scanner data," MPRA Paper 55601, University Library of Munich, Germany.

  17. Chen, Cathy W.S. & So, Mike K.P., 2006. "On a threshold heteroscedastic model," International Journal of Forecasting, Elsevier, Elsevier, vol. 22(1), pages 73-89.

    Cited by:

    1. Yip, Iris W.H. & So, Mike K.P., 2009. "Simplified specifications of a multivariate generalized autoregressive conditional heteroscedasticity model," Mathematics and Computers in Simulation (MATCOM), Elsevier, Elsevier, vol. 80(2), pages 327-340.
    2. Chen, C.W.S. & Gerlach, R. & Hwang, B.B.K. & McAleer, M.J., 2011. "Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intraday Range," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute EI 2011-17, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    3. Yang, Yung-Lieh & Chang, Chia-Lin, 2008. "A double-threshold GARCH model of stock market and currency shocks on stock returns," Mathematics and Computers in Simulation (MATCOM), Elsevier, Elsevier, vol. 79(3), pages 458-474.
    4. Chen, Cathy W.S. & Gerlach, Richard H. & Tai, Amanda P.J., 2008. "Testing for nonlinearity in mean and volatility for heteroskedastic models," Mathematics and Computers in Simulation (MATCOM), Elsevier, Elsevier, vol. 79(3), pages 489-499.
    5. So, Mike K.P. & Chan, Raymond K.S., 2014. "Bayesian analysis of tail asymmetry based on a threshold extreme value model," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 71(C), pages 568-587.
    6. Chen, Cathy W.S. & Chan, Jennifer S.K. & So, Mike K.P. & Lee, Kevin K.M., 2011. "Classification in segmented regression problems," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 55(7), pages 2276-2287, July.
    7. Chen, Qian & Gerlach, Richard & Lu, Zudi, 2012. "Bayesian Value-at-Risk and expected shortfall forecasting via the asymmetric Laplace distribution," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 56(11), pages 3498-3516.
    8. So, Mike K.P. & Chen, Cathy W.S. & Lee, Jen-Yu & Chang, Yi-Ping, 2008. "An empirical evaluation of fat-tailed distributions in modeling financial time series," Mathematics and Computers in Simulation (MATCOM), Elsevier, Elsevier, vol. 77(1), pages 96-108.
    9. So, Mike K.P. & Choi, C.Y., 2008. "A multivariate threshold stochastic volatility model," Mathematics and Computers in Simulation (MATCOM), Elsevier, Elsevier, vol. 79(3), pages 306-317.
    10. Audrino, Francesco, 2014. "Forecasting correlations during the late-2000s financial crisis: The short-run component, the long-run component, and structural breaks," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 76(C), pages 43-60.
    11. Chen, Cathy W.S. & Gerlach, Richard & Lin, Edward M.H., 2008. "Volatility forecasting using threshold heteroskedastic models of the intra-day range," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 52(6), pages 2990-3010, February.
    12. Chen, Cathy W.S. & Gerlach, Richard & Lin, Edward M.H., 2014. "Bayesian estimation of smoothly mixing time-varying parameter GARCH models," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 76(C), pages 194-209.
    13. Lin, Edward M.H. & Chen, Cathy W.S. & Gerlach, Richard, 2012. "Forecasting volatility with asymmetric smooth transition dynamic range models," International Journal of Forecasting, Elsevier, Elsevier, vol. 28(2), pages 384-399.

  18. Mike K. P. So & Cathy W. S. Chen & Feng-Chi Liu, 2006. "Best subset selection of autoregressive models with exogenous variables and generalized autoregressive conditional heteroscedasticity errors," Journal of the Royal Statistical Society Series C, Royal Statistical Society, Royal Statistical Society, vol. 55(2), pages 201-224.

    Cited by:

    1. Yip, Iris W.H. & So, Mike K.P., 2009. "Simplified specifications of a multivariate generalized autoregressive conditional heteroscedasticity model," Mathematics and Computers in Simulation (MATCOM), Elsevier, Elsevier, vol. 80(2), pages 327-340.
    2. Søren Johansen & Marco Riani & Anthony C. Atkinson, 2012. "The Selection of ARIMA Models with or without Regressors," CREATES Research Papers, School of Economics and Management, University of Aarhus 2012-46, School of Economics and Management, University of Aarhus.

  19. Chen, Cathy W.S. & Gerlach, Richard & So, Mike K.P., 2006. "Comparison of nonnested asymmetric heteroskedastic models," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 51(4), pages 2164-2178, December.

    Cited by:

    1. Cathy Chen & Richard Gerlach, 2013. "Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity," Computational Statistics, Springer, Springer, vol. 28(3), pages 1103-1131, June.
    2. Lin, Edward M.H. & Chen, Cathy W.S. & Gerlach, Richard, 2012. "Forecasting volatility with asymmetric smooth transition dynamic range models," International Journal of Forecasting, Elsevier, Elsevier, vol. 28(2), pages 384-399.
    3. Amélie Charles, 2010. "The day-of-the week effects on the volatility: The role of the asymmetry," Post-Print, HAL hal-00771136, HAL.
    4. Alicia Pérez Alonso, 2006. "A Bootstrap Approach To Test The Conditional Symmetry In Time Series Models," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) 2006-18, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    5. Amendola, Alessandra & Storti, Giuseppe, 2008. "A GMM procedure for combining volatility forecasts," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 52(6), pages 3047-3060, February.
    6. Chen, Cathy W.S. & Gerlach, Richard H. & Tai, Amanda P.J., 2008. "Testing for nonlinearity in mean and volatility for heteroskedastic models," Mathematics and Computers in Simulation (MATCOM), Elsevier, Elsevier, vol. 79(3), pages 489-499.
    7. David Ardia & Lennart F. Hoogerheide, 2010. "Efficient Bayesian Estimation and Combination of GARCH-Type Models," Tinbergen Institute Discussion Papers, Tinbergen Institute 10-046/4, Tinbergen Institute.
    8. Cathy Chen & Simon Lin & Philip Yu, 2012. "Smooth Transition Quantile Capital Asset Pricing Models with Heteroscedasticity," Computational Economics, Society for Computational Economics, Society for Computational Economics, vol. 40(1), pages 19-48, June.
    9. Cathy Chen & Feng-Chi Liu & Mike So, 2013. "Threshold variable selection of asymmetric stochastic volatility models," Computational Statistics, Springer, Springer, vol. 28(6), pages 2415-2447, December.

  20. Chen, Cathy W.S. & Yu, Tiffany H.K., 2005. "Long-term dependence with asymmetric conditional heteroscedasticity in stock returns," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 353(C), pages 413-424.

    Cited by:

    1. S. Bordignon & D. Raggi, 2010. "Long memory and nonlinearities in realized volatility: a Markov switching approach," Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna 694, Dipartimento Scienze Economiche, Universita' di Bologna.

  21. Cathy W. S. Chen & Mike K. P. So & Ming-Tien Chen, 2005. "A Bayesian threshold nonlinearity test for financial time series," Journal of Forecasting, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 24(1), pages 61-75.

    Cited by:

    1. So, Mike K.P. & Chen, Cathy W.S. & Lee, Jen-Yu & Chang, Yi-Ping, 2008. "An empirical evaluation of fat-tailed distributions in modeling financial time series," Mathematics and Computers in Simulation (MATCOM), Elsevier, Elsevier, vol. 77(1), pages 96-108.
    2. Todd E. Clark & Francesco Ravazzolo, 2012. "The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility," Working Paper, Norges Bank 2012/09, Norges Bank.
    3. Massimiliano Caporin & Loriana Pelizzon & Francesco Ravazzolo & Roberto Rigobon, 2013. "Measuring Sovereign Contagion in Europe," NBER Working Papers 18741, National Bureau of Economic Research, Inc.
    4. Chen, Cathy W.S. & Gerlach, Richard & So, Mike K.P., 2006. "Comparison of nonnested asymmetric heteroskedastic models," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 51(4), pages 2164-2178, December.
    5. Chen, Cathy W.S. & Gerlach, Richard & Wei, D.C.M., 2009. "Bayesian causal effects in quantiles: Accounting for heteroscedasticity," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 53(6), pages 1993-2007, April.
    6. Cathy Chen & Feng Liu & Richard Gerlach, 2011. "Bayesian subset selection for threshold autoregressive moving-average models," Computational Statistics, Springer, Springer, vol. 26(1), pages 1-30, March.
    7. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2011. "Bayesian Combinations of Stock Price Predictions with an Application to the Amsterdam Exchange Index," Tinbergen Institute Discussion Papers, Tinbergen Institute 11-082/4, Tinbergen Institute.
    8. Lai, YiHao & Chen, Cathy W.S. & Gerlach, Richard, 2009. "Optimal dynamic hedging via copula-threshold-GARCH models," Mathematics and Computers in Simulation (MATCOM), Elsevier, Elsevier, vol. 79(8), pages 2609-2624.
    9. Cathy Chen & Simon Lin & Philip Yu, 2012. "Smooth Transition Quantile Capital Asset Pricing Models with Heteroscedasticity," Computational Economics, Society for Computational Economics, Society for Computational Economics, vol. 40(1), pages 19-48, June.
    10. Nonejad, Nima, 2014. "Particle Markov Chain Monte Carlo Techniques of Unobserved Component Time Series Models Using Ox," MPRA Paper 55662, University Library of Munich, Germany.
    11. Chen, Cathy W.S. & Chan, Jennifer S.K. & So, Mike K.P. & Lee, Kevin K.M., 2011. "Classification in segmented regression problems," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 55(7), pages 2276-2287, July.

  22. Chen, Cathy W. S. & Chiang, Thomas C. & So, Mike K. P., 2003. "Asymmetrical reaction to US stock-return news: evidence from major stock markets based on a double-threshold model," Journal of Economics and Business, Elsevier, Elsevier, vol. 55(5-6), pages 487-502.

    Cited by:

    1. Li, Huimin & Jeon, Bang Nam & Cho, Seong-Yeon & Chiang, Thomas C., 2008. "The impact of sovereign rating changes and financial contagion on stock market returns: Evidence from five Asian countries," Global Finance Journal, Elsevier, Elsevier, vol. 19(1), pages 46-55.
    2. Chen, Cathy W.S. & Gerlach, Richard & Wei, D.C.M., 2009. "Bayesian causal effects in quantiles: Accounting for heteroscedasticity," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 53(6), pages 1993-2007, April.
    3. Chen, Cathy W.S. & Gerlach, Richard & So, Mike K.P., 2006. "Comparison of nonnested asymmetric heteroskedastic models," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 51(4), pages 2164-2178, December.
    4. Cathy W. S. Chen & Richard Gerlach & Bruce B. K. Hwang & Michael McAleer, 2011. "Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range," KIER Working Papers, Kyoto University, Institute of Economic Research 775, Kyoto University, Institute of Economic Research.
    5. Faten Ben Slimane & Mohamed Mehanaoui & Irfan Akbar Kazi, 2013. "How Does the Financial Crisis Affect Volatility Behavior and Transmission Among European Stock Markets?," International Journal of Financial Studies, MDPI, Open Access Journal, MDPI, Open Access Journal, vol. 1(3), pages 81-101, August.
    6. Zhu, Junjun & Xie, Shiyu, 2010. "Bayesian Analysis of a Triple-Threshold GARCH Model with Application in Chinese Stock Market," MPRA Paper 28235, University Library of Munich, Germany.
    7. Norbert Funke & Akimi Matsuda, 2002. "Macroeconomic News and Stock Returns in the United States and Germany," IMF Working Papers, International Monetary Fund 02/239, International Monetary Fund.
    8. Cathy Chen & Shu-Yu Chen & Sangyeol Lee, 2013. "Bayesian Unit Root Test in Double Threshold Heteroskedastic Models," Computational Economics, Society for Computational Economics, Society for Computational Economics, vol. 42(4), pages 471-490, December.
    9. Akhtar, Shumi & Faff, Robert & Oliver, Barry & Subrahmanyam, Avanidhar, 2011. "The power of bad: The negativity bias in Australian consumer sentiment announcements on stock returns," Journal of Banking & Finance, Elsevier, Elsevier, vol. 35(5), pages 1239-1249, May.
    10. Yuan-Ming Lee & Kuan-Min Wang & T. Thanh-Binh Nguyen, 2008. "A Common-Use Proxy for Economic Performance: Application to Asymmetric Causality between the Stock Returns and Growth," International Journal of Business and Economics, College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan, College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 7(2), pages 101-124, August.
    11. Gebka, Bartosz & Serwa, Dobromil, 2006. "Are financial spillovers stable across regimes?: Evidence from the 1997 Asian crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 16(4), pages 301-317, October.
    12. Chen, Cathy W.S. & Gerlach, Richard & Lin, Edward M.H., 2008. "Volatility forecasting using threshold heteroskedastic models of the intra-day range," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 52(6), pages 2990-3010, February.
    13. Gerlach, Richard & Chen, Cathy W.S. & Lin, Doris S.Y. & Huang, Ming-Hsiang, 2006. "Asymmetric responses of international stock markets to trading volume," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 360(2), pages 422-444.
    14. Gao, Jiti & Gijbels, Irene & Van Bellegem, Sebastien, 2008. "Nonparametric simultaneous testing for structural breaks," Journal of Econometrics, Elsevier, Elsevier, vol. 143(1), pages 123-142, March.
    15. Faten Ben Slimane & Mohamed Mehanaoui & Irfan A. Kazi, 2014. "Interdependency and Spillover during the Financial Crisis of 2007 to 2009 – Evidence from High Frequency Intraday Data," Working Papers, Department of Research, Ipag Business School 2014-126, Department of Research, Ipag Business School.
    16. Bialkowski, Jedrzej & Bohl, Martin T. & Serwa, Dobromil, 2006. "Testing for financial spillovers in calm and turbulent periods," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 46(3), pages 397-412, July.
    17. Chen, Cathy W.S. & Gerlach, Richard H. & Tai, Amanda P.J., 2008. "Testing for nonlinearity in mean and volatility for heteroskedastic models," Mathematics and Computers in Simulation (MATCOM), Elsevier, Elsevier, vol. 79(3), pages 489-499.
    18. Marcelo Cunha Medeiros & Alvaro Veiga, 2004. "Modelling multiple regimes in financial volatility with a flexible coefficient GARCH model," Textos para discussão, Department of Economics PUC-Rio (Brazil) 486, Department of Economics PUC-Rio (Brazil).
    19. Gebka, Bartosz, 2006. "Leaders and Laggards: International Evidence on Spillovers in Returns, Variance, and Trading Volume," Working Paper Series, European University Viadrina Frankfurt (Oder), The Postgraduate Research Programme Capital Markets and Finance in the Enlarged Europe 2006,1, European University Viadrina Frankfurt (Oder), The Postgraduate Research Programme Capital Markets and Finance in the Enlarged Europe.
    20. Yang, Yung-Lieh & Chang, Chia-Lin, 2008. "A double-threshold GARCH model of stock market and currency shocks on stock returns," Mathematics and Computers in Simulation (MATCOM), Elsevier, Elsevier, vol. 79(3), pages 458-474.
    21. Cheng, Xixin & Li, W.K. & Yu, Philip L.H. & Zhou, Xuan & Wang, Chao & Lo, P.H., 2011. "Modeling threshold conditional heteroscedasticity with regime-dependent skewness and kurtosis," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 55(9), pages 2590-2604, September.

  23. Cathy W. S. Chen & Mike K. P. So, 2003. "Subset threshold autoregression," Journal of Forecasting, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 22(1), pages 49-66.

    Cited by:

    1. Gilles Dufrénot & Dominique Guegan & Anne Peguin-Feissolle, 2005. "Long-memory dynamics in a SETAR model - Applications to stock markets," Post-Print, HAL halshs-00179339, HAL.
    2. Ferrara, Laurent & Guégan, Dominique, 2005. "Detection of the industrial business cycle using SETAR models," MPRA Paper 4389, University Library of Munich, Germany.
    3. Cathy Chen & Feng Liu & Richard Gerlach, 2011. "Bayesian subset selection for threshold autoregressive moving-average models," Computational Statistics, Springer, Springer, vol. 26(1), pages 1-30, March.
    4. Gilles Dufrenot & Dominique Guegan & Anne Peguin-Feissolle, 2008. "Changing-regime volatility: A fractionally integrated SETAR model," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL halshs-00185369, HAL.
    5. Giannikis, D. & Vrontos, I.D. & Dellaportas, P., 2008. "Modelling nonlinearities and heavy tails via threshold normal mixture GARCH models," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 52(3), pages 1549-1571, January.
    6. Roberto Baragona & Francesco Battaglia & Domenico Cucina, 2004. "Estimating threshold subset autoregressive moving-average models by genetic algorithms," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(1), pages 39-61.
    7. Florian Huber, 2014. "Forecasting Exchange Rates using Bayesian Threshold Vector Autoregressions," Economics Bulletin, AccessEcon, vol. 34(3), pages 1687-1695.

  24. Chen, Cathy W. S., 1998. "A Bayesian analysis of generalized threshold autoregressive models," Statistics & Probability Letters, Elsevier, Elsevier, vol. 40(1), pages 15-22, September.

    Cited by:

    1. Chen, Cathy W. S. & Chiang, Thomas C. & So, Mike K. P., 2003. "Asymmetrical reaction to US stock-return news: evidence from major stock markets based on a double-threshold model," Journal of Economics and Business, Elsevier, Elsevier, vol. 55(5-6), pages 487-502.
    2. Mohamed A. Ismail & Husni A. Charif, 2003. "Bayesian inference for threshold moving average models," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(1), pages 119-132.
    3. Gerlach, Richard & Chen, Cathy W.S. & Lin, Doris S.Y. & Huang, Ming-Hsiang, 2006. "Asymmetric responses of international stock markets to trading volume," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 360(2), pages 422-444.
    4. Candelon Bertrand & Lieb Lenard, 2011. "Fiscal Policy in Good and Bad Times," Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) 001, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    5. Barnett, Alina & Mumtaz, Haroon & Theodoridis, Konstantinos, 2014. "Forecasting UK GDP growth and inflation under structural change. A comparison of models with time-varying parameters," International Journal of Forecasting, Elsevier, Elsevier, vol. 30(1), pages 129-143.
    6. Kling, Gerhard & Gao, Lei, 2008. "Chinese institutional investors' sentiment," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 18(4), pages 374-387, October.

  25. Chen, Cathy W. S., 1997. "Detection of additive outliers in bilinear time series," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 24(3), pages 283-294, May.

    Cited by:

    1. Battaglia, Francesco, 2005. "Outliers in functional autoregressive time series," Statistics & Probability Letters, Elsevier, Elsevier, vol. 72(4), pages 323-332, May.
    2. Jussi Tolvi, 2001. "Outliers in eleven Finnish macroeconomic time series," Finnish Economic Papers, Finnish Economic Association, Finnish Economic Association, vol. 14(1), pages 14-32, Spring.

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