Cindy S.H. Wang

National Tsing Hua University - College of Technology Management

101, Section 2 Kuang Fu Road

Hsinchu, Taiwan 300

China

Catholic University of Louvain (UCL)

Place Montesquieu, 3

Louvain-la-Neuve, 1348

Belgium

SCHOLARLY PAPERS

5

DOWNLOADS

259

SSRN CITATIONS

3

CROSSREF CITATIONS

0

Scholarly Papers (5)

1.

The Real Time Monitoring Test for Realized Volatility

CAFE Research Paper No. 13.02
Number of pages: 29 Posted: 20 Aug 2013 Last Revised: 26 Aug 2013
Cindy S.H. Wang, Cindy S.H. Wang and Cheng Hsiao
Catholic University of Louvain (UCL)National Tsing Hua University - College of Technology Management and University of Southern California - Department of Economics
Downloads 67 (422,054)

Abstract:

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CUSUM of squares tests, long memory, structural change, real time monitoring

2.

Forecasting a Long Memory Process Subject to Structural Breaks

CAFE Research Paper No. 13.01
Number of pages: 37 Posted: 20 Aug 2013 Last Revised: 26 Aug 2013
Cindy S.H. Wang, Cindy S.H. Wang, Luc Bauwens and Cheng Hsiao
Catholic University of Louvain (UCL)National Tsing Hua University - College of Technology Management, Université catholique de Louvain and University of Southern California - Department of Economics
Downloads 58 (453,515)
Citation 2

Abstract:

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forecasting, long memory process, structural break, HAR model

3.

Market Integration, Systemic Risk and Diagnostic Tests in Large Mixed Panels

Number of pages: 50 Posted: 07 Jan 2019
Cindy S.H. Wang, Cindy S.H. Wang, Cheng Hsiao and Hao-Hsiang Yang
Catholic University of Louvain (UCL)National Tsing Hua University - College of Technology Management, University of Southern California - Department of Economics and National Tsing Hua University
Downloads 56 (461,032)

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autoregressive (AR) approximation, cross sectional dependence, diagnostic tests, CD and Schott tests, market integration and systemic risk

4.

Exchange Rate Risk in the U.S. Stock Market: A Pooled Panel Data Regression Approach

Number of pages: 40 Posted: 25 Jun 2019
Cheng-Few Lee, Cindy S.H. Wang, Cindy S.H. Wang and Andrew Y.M. Xie
Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics, Catholic University of Louvain (UCL)National Tsing Hua University - College of Technology Management and affiliation not provided to SSRN
Downloads 53 (472,533)
Citation 1

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Panel data analysis, Error cross-sectional dependency, Exchange rate exposure, Capital flows, Common factors, Risk management

5.

On Same-Realization Prediction in the Multivariate Long Memory Process with the VAR Procedure

Number of pages: 38 Posted: 06 May 2019
Wen-Jen Tsay, Cindy S.H. Wang and Cindy S.H. Wang
Academia Sinica - Institute of Economics and Catholic University of Louvain (UCL)National Tsing Hua University - College of Technology Management
Downloads 25 (614,042)

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multivariate long memory process; realized volatility; VAR approximation; VIX index; HAR-class models