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Publications

by members of

Feng Chia University → College of Business

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. This page is updated in the first days of each month.
| Working papers | Journal articles | Chapters |

Working papers

2024

  1. Takaaki Koike & Cathy W. S. Chen & Edward M. H. Lin, 2024, "Forecasting and Backtesting Gradient Allocations of Expected Shortfall," Papers, arXiv.org, number 2401.11701, Jan, revised Jun 2024.
  2. Cathy W. S. Chen & Takaaki Koike & Wei-Hsuan Shau, 2024, "Tail risk forecasting with semi-parametric regression models by incorporating overnight information," Papers, arXiv.org, number 2402.07134, Feb.

2015

  1. CHEN, Cathy W.S. & WENG, Monica M.C. & WATANABE, Toshiaki & 渡部, 渡部, 2015, "Employing Bayesian Forecasting of Value-at-Risk to Determine an Appropriate Model for Risk Management," Discussion paper series, Hitotsubashi Institute for Advanced Study, Hitotsubashi University, number HIAS-E-16, Dec.

2014

  1. Chen, Cathy W.S. & Gerlach, Richard, 2014, "Semi-parametric Expected Shortfall Forecasting," Working Papers, University of Sydney Business School, Discipline of Business Analytics, number 2014_02, Apr.
  2. Chen, Cathy W.S. & Gerlach, Richard & Lin, Edward M.H., 2014, "Bayesian Assessment of Dynamic Quantile Forecasts," Working Papers, University of Sydney Business School, Discipline of Business Analytics, number 2014-04, Sep.

2013

  1. Chu, Hsun & Lai, Ching-Chong & Cheng, Chu-Chuan, 2013, "Tax Havens, Growth, and Welfare," MPRA Paper, University Library of Munich, Germany, number 52878, Sep, revised Sep 2013.
  2. Jakob Madsen & Eric Yan, 2013, "The First Great Divergence and the Evolution of Cross-Country Income Inequality during the Last Millennium: the Role of Institutions and Culture," Monash Economics Working Papers, Monash University, Department of Economics, number 14-13, May.

2012

  1. David Belsley & Cathy W.S. Chen & Christian Francq & Giampiero Gallo & Lynda Khalaf & Erricos John Kontoghiorghes & Herman van Dijk, 2012, "The sixth special issue on computational econometrics," Post-Print, HAL, number hal-05431349, Nov, DOI: 10.1016/J.CSDA.2012.04.005.
  2. Chen, Cathy W.S. & Gerlach, Richard & Lin, Liou-Yan, 2012, "Bayesian Semi-parametric Expected Shortfall Forecasting in Financial M arkets," Working Papers, University of Sydney Business School, Discipline of Business Analytics, number 12 BAWP, Jan.
  3. Cathy Chen & Junichi Hirukawa & Hiroshi Shiraishi & Kenichiro Tamaki & Masanobu Taniguchi & David Veredas, 2012, "Statistical Estimation of Portfolios for Dependent Financial Returns," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/136659.

2011

  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," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 11/22, May.
  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, University of Sydney Business School, Discipline of Business Analytics, number 03/2011, Mar.

2009

  1. 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, University of Sydney Business School, Discipline of Business Analytics, number 9 OMEWP, Aug.

Journal articles

2025

  1. Koike, Takaaki & Chen, Cathy W.S. & Lin, Edward M.H., 2025, "Forecasting and backtesting gradient allocations of expected shortfall," Insurance: Mathematics and Economics, Elsevier, volume 124, issue C, DOI: 10.1016/j.insmatheco.2025.103130.
  2. Qing Bai & Cathy W. S. Chen & Shaonan Tian, 2025, "The Impact of News-Based and Twitter-Based Economic Uncertainty on Realized Volatility: Asymmetric Effect with Threshold Quantile ARX Model," Computational Economics, Springer;Society for Computational Economics, volume 66, issue 5, pages 4275-4302, November, DOI: 10.1007/s10614-024-10818-8.
  3. Cathy WS Chen & Leon L Hsieh & Betty XY Chu, 2025, "Structural time series modelling for weekly forecasting of enterovirus outpatient, inpatient, and emergency department visits," PLOS ONE, Public Library of Science, volume 20, issue 5, pages 1-16, May, DOI: 10.1371/journal.pone.0323070.
  4. Yan, Eric & Okafor, Luke & Chao, Chi-Chur, 2025, "Welfare and productivity of the Chinese regional economy under forced technology transfer in the post-intervention period of the Green Credit Policy," Journal of Asian Economics, Elsevier, volume 96, issue C, DOI: 10.1016/j.asieco.2024.101847.
  5. Mita Bhattacharya & Eric Yan, 2025, "Press freedom and stringency measures: the role of energy consumption during COVID-19 lockdowns," Empirical Economics, Springer, volume 68, issue 6, pages 2515-2547, June, DOI: 10.1007/s00181-025-02722-3.

2024

  1. Cathy W. S. Chen & Cindy T. H. Chien, 2024, "Improving Quantile Forecasts via Realized Double Hysteretic GARCH Model in Stock Markets," Computational Economics, Springer;Society for Computational Economics, volume 64, issue 6, pages 3447-3471, December, DOI: 10.1007/s10614-024-10563-y.
  2. Cathy W. S. Chen & Rosaria Lombardo & Enrico Ripamonti, 2024, "High-dimensional data analysis and visualisation," Computational Statistics, Springer, volume 39, issue 1, pages 1-2, February, DOI: 10.1007/s00180-023-01428-3.
  3. Cathy W. S. Chen & Takaaki Koike & Wei‐Hsuan Shau, 2024, "Tail risk forecasting with semiparametric regression models by incorporating overnight information," Journal of Forecasting, John Wiley & Sons, Ltd., volume 43, issue 5, pages 1492-1512, August, DOI: 10.1002/for.3090.
  4. Ya-Chi Lin, 2024, "Taiwan’s Electricity Demand Under the COVID-19 and Supply Chain Disruption," Emerging Markets Finance and Trade, Taylor & Francis Journals, volume 60, issue 4, pages 688-703, March, DOI: 10.1080/1540496X.2023.2247141.
  5. Szu-Hsien Ho & Luke Okafor & Eric Yan, 2024, "Health System Performance, Disaster Response And Political Identities During The Covid-19 Pandemic: Theoretical And Empirical Evidence," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., volume 69, issue 05, pages 1743-1763, September, DOI: 10.1142/S0217590824420013.

2023

  1. Wang, Kai Y.K. & Chen, Cathy W.S. & So, Mike K.P., 2023, "Quantile three-factor model with heteroskedasticity, skewness, and leptokurtosis," Computational Statistics & Data Analysis, Elsevier, volume 182, issue C, DOI: 10.1016/j.csda.2023.107702.
  2. Chen, Cathy W.S. & Chen, Chun-Shu & Hsiung, Mo-Hua, 2023, "Bayesian modeling of spatial integer-valued time series," Computational Statistics & Data Analysis, Elsevier, volume 188, issue C, DOI: 10.1016/j.csda.2023.107827.
  3. Chen, Cathy W.S. & Watanabe, Toshiaki & Lin, Edward M.H., 2023, "Bayesian estimation of realized GARCH-type models with application to financial tail risk management," Econometrics and Statistics, Elsevier, volume 28, issue C, pages 30-46, DOI: 10.1016/j.ecosta.2021.03.006.
  4. Chen, Cathy W.S. & Hsu, Hsiao-Yun & Watanabe, Toshiaki, 2023, "Tail risk forecasting of realized volatility CAViaR models," Finance Research Letters, Elsevier, volume 51, issue C, DOI: 10.1016/j.frl.2022.103326.
  5. Chen, Cathy W.S. & Liu, Feng-Chi & Pingal, Aljo Clair, 2023, "Integer-valued transfer function models for counts that show zero inflation," Statistics & Probability Letters, Elsevier, volume 193, issue C, DOI: 10.1016/j.spl.2022.109701.
  6. Manh Cuong Dong & Cathy W. S. Chen & Manabu Asai, 2023, "Bayesian non‐linear quantile effects on modelling realized kernels," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 28, issue 1, pages 981-995, January, DOI: 10.1002/ijfe.2459.

2022

  1. Cathy W S Chen & Tsai-Hung Fan, 2022, "Public opinion concerning governments’ response to the COVID-19 pandemic," PLOS ONE, Public Library of Science, volume 17, issue 3, pages 1-10, March, DOI: 10.1371/journal.pone.0260062.
  2. Cathy W. S. Chen & Edward M. H. Lin & Tara F. J. Huang, 2022, "Bayesian quantile forecasting via the realized hysteretic GARCH model," Journal of Forecasting, John Wiley & Sons, Ltd., volume 41, issue 7, pages 1317-1337, November, DOI: 10.1002/for.2876.
  3. Ho, Tai-kuang & Lin, Ya-chi & Yeh, Kuo-chun, 2022, "The Borchardt Hypothesis: A Cliometric Reassessment of Germany’s Debt and Crisis during 1930–1932," The Journal of Economic History, Cambridge University Press, volume 82, issue 3, pages 691-726, September.
  4. Ya-Chi Lin & Chan-Hui Lin & Shin-Hui Chen & Kuo-Chun Yeh, 2022, "Youth’s Overseas Employment and Entrepreneurship: The Case of Taiwan," Emerging Markets Finance and Trade, Taylor & Francis Journals, volume 58, issue 6, pages 1667-1676, May, DOI: 10.1080/1540496X.2021.1917362.
  5. Okafor, Luke & Yan, Eric, 2022, "Covid-19 vaccines, rules, deaths, and tourism recovery," Annals of Tourism Research, Elsevier, volume 95, issue C, DOI: 10.1016/j.annals.2022.103424.

2021

  1. Lin, Tsai-Yu & Chen, Cathy W.S. & Syu, Fong-Yi, 2021, "Multi-asset pair-trading strategy: A statistical learning approach," The North American Journal of Economics and Finance, Elsevier, volume 55, issue C, DOI: 10.1016/j.najef.2020.101295.
  2. Cathy W. S. Chen & Hong Than-Thi & Manabu Asai, 2021, "On a Bivariate Hysteretic AR-GARCH Model with Conditional Asymmetry in Correlations," Computational Economics, Springer;Society for Computational Economics, volume 58, issue 2, pages 413-433, August, DOI: 10.1007/s10614-020-10034-0.
  3. Cathy W. S. Chen & Sangyeol Lee & K. Khamthong, 2021, "Bayesian inference of nonlinear hysteretic integer-valued GARCH models for disease counts," Computational Statistics, Springer, volume 36, issue 1, pages 261-281, March, DOI: 10.1007/s00180-020-01018-7.
  4. Cathy W. S. Chen & Bonny Lee, 2021, "Bayesian inference of multiple structural change models with asymmetric GARCH errors," Statistical Methods & Applications, Springer;Società Italiana di Statistica, volume 30, issue 3, pages 1053-1078, September, DOI: 10.1007/s10260-020-00549-z.
  5. Tai‐kuang Ho & Ya‐chi Lin & Kuo‐chun Yeh, 2021, "The case for starting a new exchange rate after debt settlement: Reexamining alternatives to Argentina’s exchange rate policy in 2001–2002," Review of International Economics, Wiley Blackwell, volume 29, issue 3, pages 641-662, August, DOI: 10.1111/roie.12525.
  6. Ho, Tai-kuang & Lin, Ya-chi & Yeh, Kuo-chun, 2021, "Alternative Monetary Policies Under Keynesian Animal Spirits," Macroeconomic Dynamics, Cambridge University Press, volume 25, issue 1, pages 213-239, January.
  7. Yan, Eric & Feng, Qu & Ng, Yew-Kwang, 2021, "Do we need ramsey taxation? Our existing taxes are largely corrective," Economic Modelling, Elsevier, volume 94, issue C, pages 526-538, DOI: 10.1016/j.econmod.2020.03.031.
  8. Bhattacharya, Mita & Inekwe, John & Yan, Eric, 2021, "Dynamics of energy poverty: Evidence from nonparametric estimates across the ASEAN+6 region," Energy Economics, Elsevier, volume 103, issue C, DOI: 10.1016/j.eneco.2021.105549.

2020

  1. Jhwueng, Dwueng-Chwuan, 2020, "Modeling rate of adaptive trait evolution using Cox–Ingersoll–Ross process: An Approximate Bayesian Computation approach," Computational Statistics & Data Analysis, Elsevier, volume 145, issue C, DOI: 10.1016/j.csda.2020.106924.
  2. Shen-Ming Lee & T. Martin Lukusa & Chin-Shang Li, 2020, "Estimation of a zero-inflated Poisson regression model with missing covariates via nonparametric multiple imputation methods," Computational Statistics, Springer, volume 35, issue 2, pages 725-754, June, DOI: 10.1007/s00180-019-00930-x.
  3. Yan, Eric, 2020, "Do state-owned enterprises influence technological development?," Economics Letters, Elsevier, volume 193, issue C, DOI: 10.1016/j.econlet.2020.109306.

2019

  1. Cathy W. S. Chen & Khemmanant Khamthong & Sangyeol Lee, 2019, "Markov switching integer‐valued generalized auto‐regressive conditional heteroscedastic models for dengue counts," Journal of the Royal Statistical Society Series C, Royal Statistical Society, volume 68, issue 4, pages 963-983, August, DOI: 10.1111/rssc.12344.
  2. Chen, Cathy W.S. & Dong, Manh Cuong & Liu, Nathan & Sriboonchitta, Songsak, 2019, "Inferences of default risk and borrower characteristics on P2P lending," The North American Journal of Economics and Finance, Elsevier, volume 50, issue C, DOI: 10.1016/j.najef.2019.101013.
  3. Manh Cuong Dong & Cathy W. S. Chen & Sangyoel Lee & Songsak Sriboonchitta, 2019, "How Strong is the Relationship Among Gold and USD Exchange Rates? Analytics Based on Structural Change Models," Computational Economics, Springer;Society for Computational Economics, volume 53, issue 1, pages 343-366, January, DOI: 10.1007/s10614-017-9743-z.
  4. Cathy W.S. Chen & Toshiaki Watanabe, 2019, "Bayesian modeling and forecasting of Value‐at‐Risk via threshold realized volatility," Applied Stochastic Models in Business and Industry, John Wiley & Sons, volume 35, issue 3, pages 747-765, May, DOI: 10.1002/asmb.2395.
  5. Cathy W.S. Chen & Hong Than‐Thi & Mike K.P. So & Songsak Sriboonchitta, 2019, "Quantile forecasting based on a bivariate hysteretic autoregressive model with GARCH errors and time ‐varying correlations," Applied Stochastic Models in Business and Industry, John Wiley & Sons, volume 35, issue 6, pages 1301-1321, November, DOI: 10.1002/asmb.2479.

2018

  1. Dong, Manh Cuong & Tian, Shaonan & Chen, Cathy W.S., 2018, "Predicting failure risk using financial ratios: Quantile hazard model approach," The North American Journal of Economics and Finance, Elsevier, volume 44, issue C, pages 204-220, DOI: 10.1016/j.najef.2018.01.005.
  2. Shu-Hui Hsieh & Shen-Ming Lee & Su-Hao Tu, 2018, "Randomized response techniques for a multi-level attribute using a single sensitive question," Statistical Papers, Springer, volume 59, issue 1, pages 291-306, March, DOI: 10.1007/s00362-016-0764-9.

2017

  1. Cathy W. S. Chen & Sangyeol Lee, 2017, "Bayesian causality test for integer-valued time series models with applications to climate and crime data," Journal of the Royal Statistical Society Series C, Royal Statistical Society, volume 66, issue 4, pages 797-814, August.
  2. Chen, Cathy W.S. & Wang, Zona & Sriboonchitta, Songsak & Lee, Sangyeol, 2017, "Pair trading based on quantile forecasting of smooth transition GARCH models," The North American Journal of Economics and Finance, Elsevier, volume 39, issue C, pages 38-55, DOI: 10.1016/j.najef.2016.10.015.
  3. Chen, Cathy W.S. & Lin, Tsai-Yu, 2017, "Nonparametric tolerance limits for pair trading," Finance Research Letters, Elsevier, volume 21, issue C, pages 1-9, DOI: 10.1016/j.frl.2016.11.002.
  4. Cathy W. S. Chen & Muyi Li & Nga T. H. Nguyen & Songsak Sriboonchitta, 2017, "On Asymmetric Market Model with Heteroskedasticity and Quantile Regression," Computational Economics, Springer;Society for Computational Economics, volume 49, issue 1, pages 155-174, January, DOI: 10.1007/s10614-015-9550-3.
  5. Sangyeol Lee & Siyun Park & Cathy W. S. Chen, 2017, "On Fisher’s dispersion test for integer-valued autoregressive Poisson models with applications," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, volume 46, issue 20, pages 9985-9994, October, DOI: 10.1080/03610926.2016.1228970.
  6. Ya-Chi Lin & Kuo-Chun Yeh, 2017, "Measuring the end of the European financial crisis," The Economics of Transition, The European Bank for Reconstruction and Development, volume 25, issue 4, pages 663-680, October.

2016

  1. Cathy W.S. Chen & Mike K.P. So & Thomas C. Chiang, 2016, "Evidence of Stock Returns and Abnormal Trading Volume: A Threshold Quantile Regression Approach," The Japanese Economic Review, Japanese Economic Association, volume 67, issue 1, pages 96-124, March.
  2. Chen, Cathy W.S. & Lee, Sangyeol, 2016, "Generalized Poisson autoregressive models for time series of counts," Computational Statistics & Data Analysis, Elsevier, volume 99, issue C, pages 51-67, DOI: 10.1016/j.csda.2016.01.009.
  3. Richard Gerlach & Cathy W. S. Chen, 2016, "Bayesian Expected Shortfall Forecasting Incorporating the Intraday Range," Journal of Financial Econometrics, Oxford University Press, volume 14, issue 1, pages 128-158.
  4. Buu‐Chau Truong & Cathy W. S. Chen & Mike K. P. So, 2016, "Model selection of a switching mechanism for financial time series," Applied Stochastic Models in Business and Industry, John Wiley & Sons, volume 32, issue 6, pages 836-851, November, DOI: 10.1002/asmb.2205.
  5. Richard Gerlach & Cathy W. S. Chen & Edward M. H. Lin, 2016, "Bayesian Assessment of Dynamic Quantile Forecasts," Journal of Forecasting, John Wiley & Sons, Ltd., volume 35, issue 8, pages 751-764, December.
  6. D.-C. Jhwueng & V. Maroulas, 2016, "Adaptive trait evolution in random environment," Journal of Applied Statistics, Taylor & Francis Journals, volume 43, issue 12, pages 2310-2324, September, DOI: 10.1080/02664763.2016.1140729.
  7. Shu-Hui Hsieh & Shen-Ming Lee & Chin-Shang Li & Su-Hao Tu, 2016, "An alternative to unrelated randomized response techniques with logistic regression analysis," Statistical Methods & Applications, Springer;Società Italiana di Statistica, volume 25, issue 4, pages 601-621, November, DOI: 10.1007/s10260-016-0351-1.
  8. T. Martin Lukusa & Shen-Ming Lee & Chin-Shang Li, 2016, "Semiparametric estimation of a zero-inflated Poisson regression model with missing covariates," Metrika: International Journal for Theoretical and Applied Statistics, Springer, volume 79, issue 4, pages 457-483, May, DOI: 10.1007/s00184-015-0563-7.
  9. Shen‐Ming Lee & Wen‐Han Hwang & Jean de Dieu Tapsoba, 2016, "Estimation in closed capture–recapture models when covariates are missing at random," Biometrics, The International Biometric Society, volume 72, issue 4, pages 1294-1304, December, DOI: 10.1111/biom.12498.
  10. Ya-Chi Lin & Kuo-Chun Yeh, 2016, "The Impact of 2007/08 Financial Crisis on the Stability and Enlargement of the EMU," Review of Development Economics, Wiley Blackwell, volume 20, issue 2, pages 624-634, May.

2015

  1. Hsun Chu & Chu-Chuan Cheng & Yu-Bong Lai, 2015, "A political economy of tax havens," International Tax and Public Finance, Springer;International Institute of Public Finance, volume 22, issue 6, pages 956-976, December, DOI: 10.1007/s10797-014-9338-8.
  2. Hsun Chu & Ching-Chong Lai & Chu-Chuan Cheng, 2015, "Tax Havens, Growth, and Welfare," Journal of Public Economic Theory, Association for Public Economic Theory, volume 17, issue 6, pages 802-823, December.
  3. Wang, Wan-Lun, 2015, "Mixtures of common t-factor analyzers for modeling high-dimensional data with missing values," Computational Statistics & Data Analysis, Elsevier, volume 83, issue C, pages 223-235, DOI: 10.1016/j.csda.2014.10.007.
  4. Wan-Lun Wang & Tsung-I Lin, 2015, "Robust model-based clustering via mixtures of skew-t distributions with missing information," Advances in Data Analysis and Classification, Springer;German Classification Society - Gesellschaft für Klassifikation (GfKl);Japanese Classification Society (JCS);Classification and Data Analysis Group of the Italian Statistical Society (CLADAG);International Federation of Classification Societies (IFCS), volume 9, issue 4, pages 423-445, December, DOI: 10.1007/s11634-015-0221-y.

2014

  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, volume 76, issue C, pages 194-209, DOI: 10.1016/j.csda.2013.09.019.
  2. S.T. Boris Choy & Cathy W.S. Chen & Edward M.H. Lin, 2014, "Bivariate asymmetric GARCH models with heavy tails and dynamic conditional correlations," Quantitative Finance, Taylor & Francis Journals, volume 14, issue 7, pages 1297-1313, July, DOI: 10.1080/14697688.2012.683878.
  3. Jhwueng Dwueng-Chwuan & Huzurbazar Snehalata & O’Meara Brian C. & Liu Liang, 2014, "Investigating the performance of AIC in selecting phylogenetic models," Statistical Applications in Genetics and Molecular Biology, De Gruyter, volume 13, issue 4, pages 459-475, August, DOI: 10.1515/sagmb-2013-0048.
  4. Shiow-Lan Gau & Jean Dieu Tapsoba & Shen-Ming Lee, 2014, "Bayesian approach for mixture models with grouped data," Computational Statistics, Springer, volume 29, issue 5, pages 1025-1043, October, DOI: 10.1007/s00180-013-0478-6.

2013

  1. Cathy Chen & Shu-Yu Chen & Sangyeol Lee, 2013, "Bayesian Unit Root Test in Double Threshold Heteroskedastic Models," Computational Economics, Springer;Society for Computational Economics, volume 42, issue 4, pages 471-490, December, DOI: 10.1007/s10614-012-9354-7.
  2. Cathy Chen & Richard Gerlach, 2013, "Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity," Computational Statistics, Springer, volume 28, issue 3, pages 1103-1131, June, DOI: 10.1007/s00180-012-0346-9.
  3. Cathy Chen & Feng-Chi Liu & Mike So, 2013, "Threshold variable selection of asymmetric stochastic volatility models," Computational Statistics, Springer, volume 28, issue 6, pages 2415-2447, December, DOI: 10.1007/s00180-013-0412-y.
  4. Dwueng-Chwuan Jhwueng, 2013, "Assessing the Goodness of Fit of Phylogenetic Comparative Methods: A Meta-Analysis and Simulation Study," PLOS ONE, Public Library of Science, volume 8, issue 6, pages 1-12, June, DOI: 10.1371/journal.pone.0067001.
  5. Hsieh, Shu-Hui & Li, Chin-Shang & Lee, Shen-Ming, 2013, "Logistic regression with outcome and covariates missing separately or simultaneously," Computational Statistics & Data Analysis, Elsevier, volume 66, issue C, pages 32-54, DOI: 10.1016/j.csda.2013.03.007.
  6. Wan-Lun Wang & Tsung-I Lin, 2013, "An efficient ECM algorithm for maximum likelihood estimation in mixtures of t-factor analyzers," Computational Statistics, Springer, volume 28, issue 2, pages 751-769, April, DOI: 10.1007/s00180-012-0327-z.
  7. Wang, Wan-Lun, 2013, "Mixtures of common factor analyzers for high-dimensional data with missing information," Journal of Multivariate Analysis, Elsevier, volume 117, issue C, pages 120-133, DOI: 10.1016/j.jmva.2013.02.003.
  8. Jakob B. Madsen & Eric Yan, 2013, "The first Great Divergence and the evolution of cross-country income inequality during the last millennium: the role of institutions and culture," Applied Economics, Taylor & Francis Journals, volume 45, issue 33, pages 4641-4650, November, DOI: 10.1080/00036846.2013.795283.

2012

  1. Cheng, Chu-Chuan & Lai, Yu-Bong, 2012, "Does a stricter enforcement policy protect the environment? A political economy perspective," Resource and Energy Economics, Elsevier, volume 34, issue 4, pages 431-441, DOI: 10.1016/j.reseneeco.2012.04.003.
  2. 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, volume 56, issue 11, pages 3006-3019, DOI: 10.1016/j.csda.2011.01.006.
  3. 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, volume 28, issue 2, pages 384-399, DOI: 10.1016/j.ijforecast.2011.09.002.
  4. 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, volume 28, issue 3, pages 557-574, DOI: 10.1016/j.ijforecast.2011.12.004.
  5. Cathy Chen & Simon Lin & Philip Yu, 2012, "Smooth Transition Quantile Capital Asset Pricing Models with Heteroscedasticity," Computational Economics, Springer;Society for Computational Economics, volume 40, issue 1, pages 19-48, June, DOI: 10.1007/s10614-011-9266-y.
  6. 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., volume 31, issue 8, pages 661-687, December.
  7. R. Tucker Gilman & Scott L. Nuismer & Dwueng-Chwuan Jhwueng, 2012, "Coevolution in multidimensional trait space favours escape from parasites and pathogens," Nature, Nature, volume 483, issue 7389, pages 328-330, March, DOI: 10.1038/nature10853.
  8. Shen-Ming Lee & Chin-Shang Li & Shu-Hui Hsieh & Li-Hui Huang, 2012, "Semiparametric estimation of logistic regression model with missing covariates and outcome," Metrika: International Journal for Theoretical and Applied Statistics, Springer, volume 75, issue 5, pages 621-653, July, DOI: 10.1007/s00184-011-0345-9.
  9. Wang, Wan-Lun & Fan, Tsai-Hung, 2012, "Bayesian analysis of multivariate t linear mixed models using a combination of IBF and Gibbs samplers," Journal of Multivariate Analysis, Elsevier, volume 105, issue 1, pages 300-310, DOI: 10.1016/j.jmva.2011.10.006.

2011

  1. 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, volume 29, issue 4, pages 481-492.
  2. 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, volume 55, issue 7, pages 2276-2287, July.
  3. Cathy Chen & Feng Liu & Richard Gerlach, 2011, "Bayesian subset selection for threshold autoregressive moving-average models," Computational Statistics, Springer, volume 26, issue 1, pages 1-30, March, DOI: 10.1007/s00180-010-0198-0.
  4. Cathy W. S. Chen & Richard H. Gerlach & Ann M. H. Lin, 2011, "Multi-regime nonlinear capital asset pricing models," Quantitative Finance, Taylor & Francis Journals, volume 11, issue 9, pages 1421-1438, April, DOI: 10.1080/14697680902968013.
  5. S. Hsieh & S. Lee & P. Shen & M. Liu, 2011, "Conditional likelihood estimation and efficiency comparisons in proportional odds model with missing covariates," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, volume 63, issue 5, pages 887-921, October, DOI: 10.1007/s10463-009-0266-9.
  6. Shen-Ming Lee & Mei-Jih Gee & Shu-Hui Hsieh, 2011, "Semiparametric Methods in the Proportional Odds Model for Ordinal Response Data with Missing Covariates," Biometrics, The International Biometric Society, volume 67, issue 3, pages 788-798, September.

2010

  1. Cathy W. S. Chen & Richard H. Gerlach & Ann M. H. Lin, 2010, "Falling and explosive, dormant, and rising markets via multiple‐regime financial time series models," Applied Stochastic Models in Business and Industry, John Wiley & Sons, volume 26, issue 1, pages 28-49, January, DOI: 10.1002/asmb.765.
  2. Wang, Wan-Lun & Fan, Tsai-Hung, 2010, "ECM-based maximum likelihood inference for multivariate linear mixed models with autoregressive errors," Computational Statistics & Data Analysis, Elsevier, volume 54, issue 5, pages 1328-1341, May.

2009

  1. Chen, Cathy W.S. & Gerlach, Richard & Wei, D.C.M., 2009, "Bayesian causal effects in quantiles: Accounting for heteroscedasticity," Computational Statistics & Data Analysis, Elsevier, volume 53, issue 6, pages 1993-2007, April.
  2. Lai, YiHao & Chen, Cathy W.S. & Gerlach, Richard, 2009, "Optimal dynamic hedging via copula-threshold-GARCH models," Mathematics and Computers in Simulation (MATCOM), Elsevier, volume 79, issue 8, pages 2609-2624, DOI: 10.1016/j.matcom.2008.12.010.
  3. 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, volume 79, issue 8, pages 2654-2664, DOI: 10.1016/j.matcom.2008.12.012.
  4. 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., volume 28, issue 8, pages 681-697, DOI: 10.1002/for.1119.
  5. Hsieh, S.H. & Lee, S.M. & Shen, P.S., 2009, "Semiparametric analysis of randomized response data with missing covariates in logistic regression," Computational Statistics & Data Analysis, Elsevier, volume 53, issue 7, pages 2673-2692, May.

2008

  1. 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, volume 52, issue 6, pages 2990-3010, February.
  2. 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, volume 77, issue 1, pages 96-108, DOI: 10.1016/j.matcom.2007.02.008.
  3. 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, volume 79, issue 3, pages 489-499, DOI: 10.1016/j.matcom.2008.01.044.

2007

  1. Thomas C. Chiang & Cathy W.S. Chen & Mike K.P. So, 2007, "Asymmetric Return and Volatility Responses to Composite News from Stock Markets," Multinational Finance Journal, Multinational Finance Journal, volume 11, issue 3-4, pages 179-210, September.
  2. Mike K. P. So & Cathy W. S. Chen & Thomas C. Chiang & Doris S. Y. Lin, 2007, "Modelling financial time series with threshold nonlinearity in returns and trading volume," Applied Stochastic Models in Business and Industry, John Wiley & Sons, volume 23, issue 4, pages 319-338, July, DOI: 10.1002/asmb.674.

2006

  1. 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, volume 55, issue 2, pages 201-224, April, DOI: 10.1111/j.1467-9876.2006.00535.x.
  2. Chen, Cathy W.S. & Gerlach, Richard & So, Mike K.P., 2006, "Comparison of nonnested asymmetric heteroskedastic models," Computational Statistics & Data Analysis, Elsevier, volume 51, issue 4, pages 2164-2178, December.
  3. Chen, Cathy W.S. & So, Mike K.P., 2006, "On a threshold heteroscedastic model," International Journal of Forecasting, Elsevier, volume 22, issue 1, pages 73-89.
  4. 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, volume 360, issue 2, pages 422-444, DOI: 10.1016/j.physa.2005.06.045.
  5. Hsieh, Ying-Hen & Chen, Cathy W.S. & Lee, Shen-Ming & Chen, Yi-Ming A. & Wu, Shiow-Ing & Lai, Shu-Fen & Chang, An-Lung, 2006, "Estimating the Number of HIV-infected gay sauna patrons in Taipei area," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 362, issue 2, pages 495-503, DOI: 10.1016/j.physa.2005.08.068.
  6. 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, volume 366, issue C, pages 401-418, DOI: 10.1016/j.physa.2005.10.021.
  7. Cathy W. S. Chen & Ying-Hen Hsieh, 2006, "Bias may be unintentional but it's still there," Nature, Nature, volume 439, issue 7072, pages 18-18, January, DOI: 10.1038/439018d.

2005

  1. 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, volume 353, issue C, pages 413-424, DOI: 10.1016/j.physa.2005.02.009.
  2. 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., volume 24, issue 1, pages 61-75, DOI: 10.1002/for.939.
  3. Cathy W. S. Chen & Mike K. P. So & Richard H. Gerlach, 2005, "Asymmetric response and interaction of U.S. and local news in financial markets," Applied Stochastic Models in Business and Industry, John Wiley & Sons, volume 21, issue 3, pages 273-288, May, DOI: 10.1002/asmb.600.
  4. Wen-Hsien Liu & Ya-Chi Lin, 2005, "Foreign patent rights and high-tech exports: evidence from Taiwan," Applied Economics, Taylor & Francis Journals, volume 37, issue 13, pages 1543-1555, DOI: 10.1080/00036840500173155.

2003

  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, volume 55, issue 5-6, pages 487-502.
  2. Cathy W. S. Chen & Mike K. P. So, 2003, "Subset threshold autoregression," Journal of Forecasting, John Wiley & Sons, Ltd., volume 22, issue 1, pages 49-66, DOI: 10.1002/for.859.
  3. Lee, Ching-Yung & Lee, Shen-Ming & Gee, Mei-Jih, 2003, "Estimating survival rates using an extended ricker's two-release method," Computational Statistics & Data Analysis, Elsevier, volume 42, issue 1-2, pages 123-137, February.

2001

  1. Cathy W. S. Chen & Tsai-Hung Cherng & Berlin Wu, 2001, "On the Selection of Subset Bilinear Time Series Models: a Genetic Algorithm Approach," Computational Statistics, Springer, volume 16, issue 4, pages 505-517, December, DOI: 10.1007/s180-001-8327-9.

1999

  1. Chen, Cathy W. S. & Lee, Shen-Ming & Hsieh, Ying-Hen & Ungchusak, Kumnuan, 1999, "A unified approach to estimating population size for a births only model," Computational Statistics & Data Analysis, Elsevier, volume 32, issue 1, pages 29-46, November.

1998

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

1997

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

1995

  1. Cathy W. S. Chen & Jack C. Lee, 1995, "Bayesian Inference Of Threshold Autoregressive Models," Journal of Time Series Analysis, Wiley Blackwell, volume 16, issue 5, pages 483-492, September, DOI: 10.1111/j.1467-9892.1995.tb00248.x.

Chapters

2024

  1. Mita Bhattacharya & Eric Yan, 2024, "Green Finance and Sustainable Development in India: Current Status and Challenges Beyond the COVID-19 Period," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 2, in: Sabri Boubaker & Thai-Ha Le, "Green Finance and Sustainable Development Goals".

2008

  1. Cathy W.S. Chen & Richard Gerlach & Mike K.P. So, 2008, "Bayesian model selection for heteroskedastic models," Advances in Econometrics, Emerald Group Publishing Limited, "Bayesian Econometrics", DOI: 10.1016/S0731-9053(08)23018-5.

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