IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to follow this author to save this software component or follow this series

Citations of

Cathy W. S. Chen

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. 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 775, Kyoto University, Institute of Economic Research.
    2. Cathy Chen & Feng-Chi Liu & Mike So, 2013. "Threshold variable selection of asymmetric stochastic volatility models," Computational Statistics, Springer, vol. 28(6), pages 2415-2447, December.
    3. Pilar Abad & Sonia Benito & Miguel Angel Sánchez Granero & Carmen López, 2013. "A Capital Adequacy Buffer Model," Documentos de Trabajo del ICAE 2013-40, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    4. Mauro Bernardi & Leopoldo Catania & Lea Petrella, 2014. "Are news important to predict large losses?," Papers 1410.6898, arXiv.org, revised Oct 2014.

  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," Documentos de Trabajo del ICAE 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, vol. 29(1), pages 28-42.

  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. Huarng, Kun-Huang & Yu, Tiffany Hui-Kuang, 2014. "A new quantile regression forecasting model," Journal of Business Research, Elsevier, vol. 67(5), pages 779-784.
    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 EI 2011-17, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    3. Cathy Chen & Richard Gerlach, 2013. "Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity," Computational Statistics, Springer, vol. 28(3), pages 1103-1131, June.
    4. Liu, Xiaochun, 2013. "Markov-Switching Quantile Autoregression," MPRA Paper 55800, University Library of Munich, Germany.
    5. Alhamzawi, Rahim & Yu, Keming, 2013. "Conjugate priors and variable selection for Bayesian quantile regression," Computational Statistics & Data Analysis, Elsevier, vol. 64(C), pages 209-219.
    6. Yuta Kurose & Yasuhiro Omori, 2012. "Bayesian Analysis of Time-Varying Quantiles Using a Smoothing Spline," CIRJE F-Series CIRJE-F-845, CIRJE, Faculty of Economics, University of Tokyo.
    7. Mauro Bernardi & Ghislaine Gayraud & Lea Petrella, 2013. "Bayesian inference for CoVaR," Papers 1306.2834, arXiv.org, revised Nov 2013.
    8. 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., vol. 32(6), pages 534-550, 09.

Articles

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

    Cited by:

    1. Vahid Nassiri & Ignace Loris, 2014. "An efficient algorithm for structured sparse quantile regression," Computational Statistics, Springer, vol. 29(5), pages 1321-1343, October.
    2. Cathy Chen & Simon Lin & Philip Yu, 2012. "Smooth Transition Quantile Capital Asset Pricing Models with Heteroscedasticity," Computational Economics, Society for Computational Economics, vol. 40(1), pages 19-48, June.

  2. 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., vol. 31(8), pages 661-687, December.
    See citations under working paper version above.
  3. 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, vol. 28(3), pages 557-574.
    See citations under working paper version above.
  4. 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, vol. 28(2), pages 384-399.

    Cited by:

    1. 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] 138, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
    2. 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, vol. 76(C), pages 194-209.

  5. Cathy Chen & Simon Lin & Philip Yu, 2012. "Smooth Transition Quantile Capital Asset Pricing Models with Heteroscedasticity," 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, vol. 28(3), pages 1103-1131, June.

  6. Cathy W. S. Chen & Richard H. Gerlach & Ann M. H. Lin, 2011. "Multi-regime nonlinear capital asset pricing models," Quantitative Finance, Taylor & Francis Journals, vol. 11(9), pages 1421-1438, April.

    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, vol. 40(1), pages 19-48, June.

  7. 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, vol. 29(4), pages 481-492.
    See citations under working paper version above.
  8. 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, vol. 55(7), pages 2276-2287, July.

    Cited by:

    1. Shiow-Lan Gau & Jean Dieu Tapsoba & Shen-Ming Lee, 2014. "Bayesian approach for mixture models with grouped data," Computational Statistics, Springer, vol. 29(5), pages 1025-1043, October.

  9. Cathy Chen & Feng Liu & Richard Gerlach, 2011. "Bayesian subset selection for threshold autoregressive moving-average models," Computational Statistics, 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, vol. 31(2), pages 151-164, April.

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

    Cited by:

    1. Serra, Teresa, 2011. "Volatility Spillovers between Food and Energy Markets, A Semiparametric Approach," 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland 115997, European Association of Agricultural Economists.
    2. 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, vol. 4(1), pages 1-28.
    3. Penikas, H., 2010. "Financial Applications of Copula-Models," Journal of the New Economic Association, New Economic Association, issue 7, pages 24-44.
    4. 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, vol. 29(6), pages 2298-2309.
    5. Chia-Hsun Hsieh & Shian-Chang Huang, 2012. "Time-Varying Dependency and Structural Changes in Currency Markets," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 48(2), pages 94-127, March.
    6. Jin Zhang & Dietmar Maringer, 2010. "Asset Pair-Copula Selection with Downside Risk Minimization," Working Papers 037, COMISEF.
    7. 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, vol. 19(2), pages 211-218, April.
    8. Allen, David E. & Gao, Jiti & McAleer, Michael, 2009. "Modelling and managing financial risk: An overview," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(8), pages 2521-2524.
    9. Chang, Kuang-Liang, 2014. "The symmetrical and positive relationship between crude oil and nominal exchange rate returns," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 266-284.
    10. Penikas, Henry, 2011. "Copula-Based Price Risk Hedging Models," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 22(2), pages 3-21.
    11. Serra, Teresa & Gil, Jose Maria, 2012. "Biodiesel as a motor fuel price stabilization mechanism," 2012 Conference, August 18-24, 2012, Foz do Iguacu, Brazil 126056, International Association of Agricultural Economists.
    12. Serra, Teresa & Gil, Jose Maria, 2012. "Price volatility in food markets: can stock building mitigate price fluctuations?," 2012 Conference, August 18-24, 2012, Foz do Iguacu, Brazil 126055, International Association of Agricultural Economists.
    13. 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, vol. 7(3), pages 249-268, December.
    14. 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, vol. 390(23), pages 4260-4272.
    15. 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, vol. 27(C), pages 514-528.
    16. 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, vol. 4(1), pages 107-121.

  11. 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., vol. 28(8), pages 681-697.

    Cited by:

    1. Liu, Qingfu & Wong, Ieokhou & An, Yunbi & Zhang, Jinqing, 2014. "Asymmetric Information and Volatility Forecasting in Commodity Futures Markets," Pacific-Basin Finance Journal, Elsevier, vol. 26(C), pages 79-97.
    2. 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, vol. 34(1), pages 294-306.
    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. Cifter, Atilla, 2012. "Volatility Forecasting with Asymmetric Normal Mixture Garch Model: Evidence from South Africa," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 127-142, June.
    5. Ardia, David & Hoogerheide, Lennart F., 2010. "Efficient Bayesian estimation and combination of GARCH-type models," MPRA Paper 22919, University Library of Munich, Germany.
    6. Michael Funke & Chang Shu & Xiaoqiang Cheng & Sercan Eraslan, 2015. "Assessing the CNH-CNY pricing differential: role of fundamentals, contagion and policy," BIS Working Papers 492, Bank for International Settlements.

  12. 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, 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, vol. 80(10), pages 2026-2032.
    2. 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, vol. 23(4), pages 476-485.
    3. Allen, David E. & Gao, Jiti & McAleer, Michael, 2009. "Modelling and managing financial risk: An overview," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(8), pages 2521-2524.

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

    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, vol. 40(1), pages 19-48, June.
    2. Cathy Chen & Richard Gerlach, 2013. "Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity," Computational Statistics, Springer, vol. 28(3), pages 1103-1131, June.
    3. Massimiliano Caporin & Loriana Pelizzon & Francesco Ravazzolo & Roberto Rigobon, 2012. "Measuring Sovereign Contagion in Europe," Working Papers 0009, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    4. 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 2014-02, Department of Economics, University of Konstanz.
    5. Vahid Nassiri & Ignace Loris, 2014. "An efficient algorithm for structured sparse quantile regression," Computational Statistics, Springer, vol. 29(5), pages 1321-1343, October.

  14. 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, vol. 52(6), pages 2990-3010, February.

    Cited by:

    1. 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, vol. 56(11), pages 3006-3019.
    2. S. Bordignon & D. Raggi, 2010. "Long memory and nonlinearities in realized volatility: a Markov switching approach," Working Papers 694, Dipartimento Scienze Economiche, Universita' di Bologna.
    3. 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 11/22, University of Canterbury, Department of Economics and Finance.
    4. Amélie Charles, 2010. "The day-of-the week effects on the volatility: The role of the asymmetry," Post-Print hal-00771136, HAL.
    5. Tsiotas, Georgios, 2012. "On generalised asymmetric stochastic volatility models," Computational Statistics & Data Analysis, Elsevier, vol. 56(1), pages 151-172, January.
    6. Chen, Qian & Gerlach, Richard H., 2013. "The two-sided Weibull distribution and forecasting financial tail risk," International Journal of Forecasting, Elsevier, vol. 29(4), pages 527-540.
    7. Borovkova, Svetlana & Permana, Ferry J., 2009. "Implied volatility in oil markets," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2022-2039, April.

  15. 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, 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, 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 2012/47, European University Institute.

  16. 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, 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, vol. 83(C), pages 56-79.

  17. 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, vol. 11(3-4), pages 179-210, September.

    Cited by:

    1. Aityan, Sergey K. & Ivanov-Schitz, Alexey K. & Izotov, Sergey S., 2010. "Time-shift asymmetric correlation analysis of global stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(5), pages 590-605, December.

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

    Cited by:

    1. Amendola, Alessandra & Storti, Giuseppe, 2008. "A GMM procedure for combining volatility forecasts," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 3047-3060, February.
    2. Cathy Chen & Richard Gerlach, 2013. "Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity," Computational Statistics, Springer, vol. 28(3), pages 1103-1131, June.
    3. Cathy Chen & Simon Lin & Philip Yu, 2012. "Smooth Transition Quantile Capital Asset Pricing Models with Heteroscedasticity," Computational Economics, Society for Computational Economics, vol. 40(1), pages 19-48, June.
    4. Amélie Charles, 2010. "The day-of-the week effects on the volatility: The role of the asymmetry," Post-Print hal-00771136, HAL.
    5. Perez-Alonso, Alicia, 2007. "A bootstrap approach to test the conditional symmetry in time series models," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3484-3504, April.
    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, vol. 79(3), pages 489-499.
    7. 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, vol. 28(2), pages 384-399.
    8. Ardia, David & Hoogerheide, Lennart F., 2010. "Efficient Bayesian estimation and combination of GARCH-type models," MPRA Paper 22919, University Library of Munich, Germany.
    9. Cathy Chen & Feng-Chi Liu & Mike So, 2013. "Threshold variable selection of asymmetric stochastic volatility models," Computational Statistics, Springer, vol. 28(6), pages 2415-2447, December.
    10. 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, vol. 52(6), pages 2990-3010, February.

  19. 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, vol. 366(C), pages 401-418.

    Cited by:

    1. 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, vol. 390(23), pages 4317-4324.
    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, vol. 79(3), pages 458-474.
    3. Piotr Wdowinski & Marta Malecka, 2010. "Asymmetry in Volatility: A Comparison of Developed and Transition Stock Markets," CESifo Working Paper Series 2974, CESifo Group Munich.
    4. 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, vol. 391(22), pages 5546-5556.

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

    Cited by:

    1. 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, vol. 55(7), pages 2276-2287, July.
    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," Documentos de Trabajo del ICAE 2011-16, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    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, vol. 79(3), pages 458-474.
    4. 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, vol. 76(C), pages 194-209.
    5. 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, vol. 56(11), pages 3498-3516.
    6. 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, vol. 52(6), pages 2990-3010, February.
    7. Gerlach, Richard & Tuyl, Frank, 2006. "MCMC methods for comparing stochastic volatility and GARCH models," International Journal of Forecasting, Elsevier, vol. 22(1), pages 91-107.
    8. 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, vol. 76(C), pages 43-60.
    9. 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, vol. 80(2), pages 327-340.
    10. 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, vol. 71(C), pages 568-587.
    11. 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, vol. 55(5-6), pages 487-502.
    12. 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, vol. 79(3), pages 489-499.
    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, vol. 77(1), pages 96-108.
    14. 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, vol. 28(2), pages 384-399.
    15. So, Mike K.P. & Choi, C.Y., 2008. "A multivariate threshold stochastic volatility model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(3), pages 306-317.

  21. 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, vol. 360(2), pages 422-444.

    Cited by:

    1. Bartosz Gębka, 2012. "The Dynamic Relation Between Returns, Trading Volume, And Volatility: Lessons From Spillovers Between Asia And The United States," Bulletin of Economic Research, Wiley Blackwell, vol. 64(1), pages 65-90, 01.
    2. Ralf Brüggemann & Markus Glaser & Stefan Schaarschmidt & Sandra Stankiewicz, 2014. "The Stock Return - Trading Volume Relationship in European Countries: Evidence from Asymmetric Impulse Responses," Working Paper Series of the Department of Economics, University of Konstanz 2014-24, Department of Economics, University of Konstanz.
    3. 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, vol. 55(9), pages 2590-2604, September.
    4. Vespignani, Joaquin L., 2012. "Modelling asymmetric consumer demand response: Evidence from scanner data," MPRA Paper 55601, University Library of Munich, Germany.
    5. Zolotoy, L., 2008. "Empirical essays on the information transfer between and the informational efficiency of stock markets," Other publications TiSEM 2a2652c6-1060-4622-8721-8, Tilburg University, School of Economics and Management.

  22. 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, vol. 55(2), pages 201-224.

    Cited by:

    1. Søren Johansen & Marco Riani & Anthony C. Atkinson, 2012. "The Selection of ARIMA Models with or without Regressors," CREATES Research Papers 2012-46, School of Economics and Management, University of Aarhus.
    2. 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, vol. 80(2), pages 327-340.

  23. 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., 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, vol. 77(1), pages 96-108.
    2. 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, vol. 55(5-6), pages 487-502.
    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 H. & Tai, Amanda P.J., 2008. "Testing for nonlinearity in mean and volatility for heteroskedastic models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(3), pages 489-499.
    5. Cathy Chen & Simon Lin & Philip Yu, 2012. "Smooth Transition Quantile Capital Asset Pricing Models with Heteroscedasticity," Computational Economics, Society for Computational Economics, vol. 40(1), pages 19-48, June.
    6. Chen, Cathy W.S. & Gerlach, Richard & So, Mike K.P., 2006. "Comparison of nonnested asymmetric heteroskedastic models," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2164-2178, December.
    7. Todd E. Clark & Francesco Ravazzolo, 2012. "The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility," Working Paper 1218, Federal Reserve Bank of Cleveland.
    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, vol. 79(8), pages 2609-2624.
    9. Cathy Chen & Feng Liu & Richard Gerlach, 2011. "Bayesian subset selection for threshold autoregressive moving-average models," Computational Statistics, Springer, vol. 26(1), pages 1-30, March.
    10. 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, vol. 55(7), pages 2276-2287, July.
    11. Chen, Cathy W.S. & Gerlach, Richard & Wei, D.C.M., 2009. "Bayesian causal effects in quantiles: Accounting for heteroscedasticity," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 1993-2007, April.
    12. 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.

  24. 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, 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 694, Dipartimento Scienze Economiche, Universita' di Bologna.

  25. 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, vol. 55(5-6), pages 487-502.

    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, vol. 28(3), pages 557-574.
    2. 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, vol. 1(3), pages 81-101, August.
    3. 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, vol. 16(4), pages 301-317, October.
    4. 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, vol. 52(6), pages 2990-3010, February.
    5. Gebka, Bartosz, 2006. "Leaders and Laggards: International Evidence on Spillovers in Returns, Variance, and Trading Volume," Working Paper Series 2006,1, European University Viadrina Frankfurt (Oder), The Postgraduate Research Programme Capital Markets and Finance in the Enlarged Europe.
    6. 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, vol. 360(2), pages 422-444.
    7. Chen, Cathy W.S. & Gerlach, Richard & Wei, D.C.M., 2009. "Bayesian causal effects in quantiles: Accounting for heteroscedasticity," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 1993-2007, April.
    8. Norbert Funke & Akimi Matsuda, 2006. "Macroeconomic News and Stock Returns in the United States and Germany," German Economic Review, Verein für Socialpolitik, vol. 7, pages 189-210, 05.
    9. 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, vol. 79(3), pages 458-474.
    10. Bartosz Gębka, 2012. "The Dynamic Relation Between Returns, Trading Volume, And Volatility: Lessons From Spillovers Between Asia And The United States," Bulletin of Economic Research, Wiley Blackwell, vol. 64(1), pages 65-90, 01.
    11. 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 2014-126, Department of Research, Ipag Business School.
    12. 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.
    13. Marcelo Cunha Medeiros & Alvaro Veiga, 2004. "Modelling multiple regimes in financial volatility with a flexible coefficient GARCH model," Textos para discussão 486, Department of Economics PUC-Rio (Brazil).
    14. Chen, Cathy W.S. & Gerlach, Richard & So, Mike K.P., 2006. "Comparison of nonnested asymmetric heteroskedastic models," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2164-2178, December.
    15. 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, vol. 7(2), pages 101-124, August.
    16. 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, vol. 35(5), pages 1239-1249, May.
    17. Cathy Chen & Shu-Yu Chen & Sangyeol Lee, 2013. "Bayesian Unit Root Test in Double Threshold Heteroskedastic Models," Computational Economics, Society for Computational Economics, vol. 42(4), pages 471-490, December.
    18. Gao, Jiti & Gijbels, Irene & Van Bellegem, Sebastien, 2008. "Nonparametric simultaneous testing for structural breaks," Journal of Econometrics, Elsevier, vol. 143(1), pages 123-142, March.
    19. 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, vol. 77(1), pages 96-108.
    20. 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, vol. 19(1), pages 46-55.
    21. 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, vol. 46(3), pages 397-412, July.
    22. 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, vol. 55(9), pages 2590-2604, September.
    23. 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, vol. 79(3), pages 489-499.

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

    Cited by:

    1. Laurent Ferrara & Dominique Guégan, 2005. "Detection of the Industrial Business Cycle using SETAR Models," Journal of Business Cycle Measurement and Analysis, OECD Publishing,Centre for International Research on Economic Tendency Surveys, vol. 2005(3), pages 353-371.
    2. Florian Huber, 2014. "Forecasting Exchange Rates using Bayesian Threshold Vector Autoregressions," Economics Bulletin, AccessEcon, vol. 34(3), pages 1687-1695.
    3. Gilles Dufrénot & Dominique Guegan & Anne Peguin-Feissolle, 2005. "Long-memory dynamics in a SETAR model - Applications to stock markets," Post-Print halshs-00179339, HAL.
    4. Giannikis, D. & Vrontos, I.D. & Dellaportas, P., 2008. "Modelling nonlinearities and heavy tails via threshold normal mixture GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 52(3), pages 1549-1571, January.
    5. 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, vol. 0(1), pages 39-61.
    6. Gilles Dufrenot & Dominique Guegan & Anne Peguin-Feissolle, 2008. "Changing-regime volatility: a fractionally integrated SETAR model," Applied Financial Economics, Taylor & Francis Journals, vol. 18(7), pages 519-526.
    7. Cathy Chen & Feng Liu & Richard Gerlach, 2011. "Bayesian subset selection for threshold autoregressive moving-average models," Computational Statistics, Springer, vol. 26(1), pages 1-30, March.

  27. 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, vol. 32(1), pages 29-46, November.

    Cited by:

    1. 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, vol. 362(2), pages 495-503.

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

    Cited by:

    1. 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, vol. 360(2), pages 422-444.
    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, vol. 0(1), pages 119-132.
    3. Barnett, Alina & Mumtaz, Haroon & Theodoridis, Konstantinos, 2012. "Forecasting UK GDP growth, inflation and interest rates under structural change: a comparison of models with time-varying parameters," Bank of England working papers 450, Bank of England.
    4. 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, vol. 55(5-6), pages 487-502.
    5. Kling, Gerhard & Gao, Lei, 2008. "Chinese institutional investors' sentiment," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(4), pages 374-387, October.
    6. Candelon Bertrand & Lieb Lenard, 2011. "Fiscal Policy in Good and Bad Times," Research Memorandum 001, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).

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

    Cited by:

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

For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Cathy W. S. Chen should log into the RePEc Author Service

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.