Cathy Chen

Humboldt University of Berlin

Unter den Linden 6

Berlin, AK Berlin 10099

Germany

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 38,567

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Top 38,567

in Total Papers Downloads

1,150

SSRN CITATIONS

1

CROSSREF CITATIONS

6

Scholarly Papers (10)

1.

A First Econometric Analysis of the CRIX Family

Number of pages: 47 Posted: 31 Aug 2016
Humboldt University of Berlin, Humboldt University of Berlin, Humboldt University of Berlin - Institute for Statistics and Econometrics, CoinGecko and CoinGecko
Downloads 415 (71,380)
Citation 6

Abstract:

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Index construction, CRIX, information criteria, model selection, AIC, BIC, market analysis, bitcoin, cryptocurrency

2.

Textual Sentiment, Option Characteristics, and Stock Return Predictability

IRTG 1792 Discussion Paper 2018-023
Number of pages: 54 Posted: 30 Jul 2018
Humboldt University of Berlin, University of St. Gallen - School of Economics and Political Science, Humboldt University of Berlin - Institute for Statistics and Econometrics and Lingnan (University) College, Sun Yat-sen University, Guangzhou, China.
Downloads 268 (116,348)

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investor disagreement; option markets; overnight information; stock return predictability; textual sentiment; topic model; trading-time information

3.

Dynamic Topic Modelling for Cryptocurrency Community Forums

SFB 649 Discussion Paper 2016-051
Number of pages: 22 Posted: 28 Nov 2016
University of York, NUS Business School, Humboldt University of Berlin, Humboldt University of Berlin and Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 155 (195,581)
Citation 2

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Dynamic Topic Modelling, Cryptocurrencies, Financial Risk

Industry Interdependency Dynamics in a Network Context

SFB 649 Discussion Paper 2017-012
Number of pages: 34 Posted: 29 May 2017
Ya Qian, Wolfgang K. Härdle and Cathy Chen
Humboldt University of Berlin, Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin
Downloads 55 (386,272)

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dynamic network, interdependency, general predictive model, quantile LASSO, connectedness, centrality, prediction accuracy, network-based trading strategy

Industry Interdependency Dynamics in a Network Context

SFB 649 Discussion Paper 2017-010
Number of pages: 34 Posted: 02 May 2017
Ya Qian, Wolfgang K. Härdle and Cathy Chen
Humboldt University of Berlin, Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin
Downloads 32 (480,057)
Citation 1

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dynamic network, interdependency, general predictive model, quantile LASSO, connectedness, centrality, prediction accuracy, network-based trading strategy

5.

Dynamic Credit Default Swaps Curves in a Network Topology

SFB 649 Discussion Paper 2016-059
Number of pages: 47 Posted: 04 Jan 2017
Xiu Xu, Cathy Chen and Wolfgang K. Härdle
Humboldt University of Berlin - Institute for Statistics and Econometrics, Humboldt University of Berlin and Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 61 (361,712)
Citation 3

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CDS, network, default risk, variance decomposition, risk management

6.

Copula-Based Factor Model for Credit Risk Analysis

SFB 649 Discussion Paper 2015-042
Number of pages: 27 Posted: 05 Jan 2017
National Chiao-Tung University, Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin
Downloads 49 (400,339)

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Factor Model, Conditional Factor Loading, State-Dependent Recovery Rate

7.

Tail Event Driven Networks of SIFIs

SFB 649 Discussion Paper 2017-004
Number of pages: 35 Posted: 11 Dec 2017
Humboldt University of Berlin, Humboldt University of Berlin - Institute for Statistics and Econometrics and University of Augsburg
Downloads 39 (438,006)

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Systemic Risk, Network Analysis, Network Autoregression, Tail Event

8.

Data Science & Digital Society

Number of pages: 10 Posted: 29 May 2017
Cathy Chen and Wolfgang K. Härdle
Humboldt University of Berlin and Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 39 (438,006)

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Data Science, Digital Society, social networks, herding, sentiments

9.

Adaptive Weights Clustering of Research Papers

SFB 649 Discussion Paper 2017-013
Number of pages: 17 Posted: 07 Jul 2017
Humboldt University of Berlin, Humboldt University of Berlin, Humboldt University of Berlin and Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 24 (509,973)
Citation 1

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Clustering, JEL system, Adaptive algorithm, Economic articles, Nonparametric

10.

The Integration of Credit Default Swap Markets in the Pre and Post-Subprime Crisis in Common Stochastic Trends

SFB 649 Discussion Paper 2014-038
Number of pages: 30 Posted: 05 Jan 2017
Humboldt University of Berlin, Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin
Downloads 13 (576,078)
Citation 1

Abstract:

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Credit default swaps, cointegration, common stochastic trend, correlated default