Edward M.H. Lin

Graduate Institute of Applied Statistics, Feng Chia University

100 Wen Hwa Road

Taichung, 407

Taiwan

SCHOLARLY PAPERS

5

DOWNLOADS

615

SSRN CITATIONS
Rank 34,153

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Top 34,153

in Total Papers Citations

5

CROSSREF CITATIONS

14

Scholarly Papers (5)

1.

Volatility Forecasting with Double Markov Switching GARCH Models

Number of pages: 21 Posted: 27 May 2009
Cathy W. S. Chen, Mike K. P. So and Edward M.H. Lin
Feng Chia University - Department of Statistics, Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics & Operations Management and Graduate Institute of Applied Statistics, Feng Chia University
Downloads 233 (138,283)
Citation 1

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heteroscedastic models, Markov chain Monte Carlo, regime-switching models, value at risk, volatility

2.

Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis

Journal of Forecasting, Forthcoming
Number of pages: 34 Posted: 21 Apr 2011 Last Revised: 27 Jan 2015
Cathy W. S. Chen, Richard H. Gerlach, Edward M.H. Lin and Wayne
Feng Chia University - Department of Statistics, University of Sydney, Graduate Institute of Applied Statistics, Feng Chia University and Feng Chia University - Graduate Institute of Statistics & Actuarial Science
Downloads 169 (185,899)
Citation 1

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EGARCH Model, Generalized Error Distribution, Markov Chain Monte Carlo Method, Value-at-Risk, Skewed Student-t, Market Risk Charge, Global Financial Crisis

3.

Volatility Forecasting Using Threshold Heteroskedastic Models of the Intra-day Range

Number of pages: 25 Posted: 28 May 2009
Cathy W. S. Chen, Richard H. Gerlach and Edward M.H. Lin
Feng Chia University - Department of Statistics, University of Sydney and Graduate Institute of Applied Statistics, Feng Chia University
Downloads 116 (251,196)
Citation 1

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size and sign asymmetry, volatility model, conditional autoregressive range (CARR) model, threshold variable, Bayes

4.

Bayesian Estimation for Parsimonious Threshold Autoregressive Models in R

The Newsletter of the R Project
Number of pages: 8 Posted: 27 May 2009 Last Revised: 21 Aug 2009
Feng Chia University - Department of Statistics, Graduate Institute of Applied Statistics, Feng Chia University, Feng Chia University - Department of Statistics and University of Sydney
Downloads 97 (284,219)
Citation 2

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Asymmetry; MCMC method; two-regime SETAR model; BAYSTAR package

5.

Forecasting Volatility with Asymmetric Smooth Transition Dynamic Range Models

International Journal of Forecasting, Vol. 28, No. 2, 2012
Posted: 11 May 2012
Edward M.H. Lin, Cathy W. S. Chen and Richard H. Gerlach
Graduate Institute of Applied Statistics, Feng Chia University, Feng Chia University - Department of Statistics and University of Sydney

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smooth transition, volatility model, threshold variable, Bayesian inference, MCMC methods