Cathy Chen

Humboldt University of Berlin

Unter den Linden 6

Berlin, AK Berlin 10099

Germany

  • Humboldt University of Berlin

SCHOLARLY PAPERS

10

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2

CROSSREF CITATIONS

4

Scholarly Papers (10)

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1.

A First Econometric Analysis of the CRIX Family

Number of pages: 47 Posted: 31 Aug 2016
Shi Chen, Cathy Chen, Wolfgang K. Härdle, TM Lee and Bobby Ong
Humboldt University of Berlin, Humboldt University of Berlin, Humboldt University of Berlin - Institute for Statistics and Econometrics, CoinGecko and CoinGecko
Downloads 441 (69,901)
Citation 6

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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
Cathy Chen, Matthias R. Fengler, Wolfgang K. Härdle and Yanchu Liu
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 299 (109,046)

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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
Marco Linton, Ernie G. S. Teo, Elisabeth Bommes, Cathy Chen and Wolfgang K. Härdle
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 159 (199,666)
Citation 2

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Dynamic Topic Modelling, Cryptocurrencies, Financial Risk

4.

Industry Interdependency Dynamics in a Network Context

Downloads 94 (295,308)

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 59 (389,791)

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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 35 (486,043)
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 62 (374,977)
Citation 1

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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
Meng-Jou Lu, Wolfgang K. Härdle and Cathy Chen
National Chiao-Tung University, Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin
Downloads 50 (414,531)

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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
Cathy Chen, Wolfgang K. Härdle and Yarema Okhrin
Humboldt University of Berlin, Humboldt University of Berlin - Institute for Statistics and Econometrics and University of Augsburg
Downloads 39 (457,463)

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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 (457,463)

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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
Larisa Adamyan, Kirill S Efimov, Cathy Chen and Wolfgang K. Härdle
Humboldt University of Berlin, Humboldt University of Berlin, Humboldt University of Berlin and Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 25 (526,598)
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
Cathy Chen, Wolfgang K. Härdle and Pham Thu Hien
Humboldt University of Berlin, Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin
Downloads 13 (601,941)
Citation 1

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