Cathy Chen

Humboldt University of Berlin

Unter den Linden 6

Berlin, AK Berlin 10099

Germany

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 38,055

SSRN RANKINGS

Top 38,055

in Total Papers Downloads

2,525

SSRN CITATIONS
Rank 35,232

SSRN RANKINGS

Top 35,232

in Total Papers Citations

24

CROSSREF CITATIONS

6

Scholarly Papers (10)

1.

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, Blockchain Research Center Humboldt-Universität zu Berlin and Lingnan (University) College, Sun Yat-sen University, Guangzhou, China.
Downloads 907 (50,213)

Abstract:

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

2.

A First Econometric Analysis of the CRIX Family

Number of pages: 47 Posted: 31 Aug 2016
Humboldt University of Berlin, Humboldt University of Berlin, Blockchain Research Center Humboldt-Universität zu Berlin, CoinGecko and CoinGecko
Downloads 632 (80,804)
Citation 14

Abstract:

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

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 Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 315 (182,526)
Citation 10

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Dynamic Topic Modelling, Cryptocurrencies, Financial Risk

4.

Tail Event Driven Networks of SIFIs

SFB 649 Discussion Paper 2017-004
Number of pages: 35 Posted: 11 Dec 2017
Humboldt University of Berlin, Blockchain Research Center Humboldt-Universität zu Berlin and University of Augsburg
Downloads 117 (444,725)
Citation 16

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Systemic Risk, Network Analysis, Network Autoregression, Tail Event

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 Karl Härdle
Humboldt University of Berlin - Institute for Statistics and Econometrics, Humboldt University of Berlin and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 113 (456,478)
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, Blockchain Research Center Humboldt-Universität zu Berlin and Humboldt University of Berlin
Downloads 105 (481,539)
Citation 1

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

7.

Industry Interdependency Dynamics in a Network Context

SFB 649 Discussion Paper 2017-010
Number of pages: 34 Posted: 02 May 2017
Ya Qian, Wolfgang Karl Härdle and Cathy Chen
Humboldt University of Berlin, Blockchain Research Center Humboldt-Universität zu Berlin and Humboldt University of Berlin
Downloads 104 (484,800)
Citation 1

Abstract:

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

8.

Data Science & Digital Society

Number of pages: 10 Posted: 29 May 2017
Cathy Chen and Wolfgang Karl Härdle
Humboldt University of Berlin and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 100 (498,158)

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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 Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 66 (636,505)
Citation 1

Abstract:

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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, Blockchain Research Center Humboldt-Universität zu Berlin and Humboldt University of Berlin
Downloads 66 (636,505)
Citation 2

Abstract:

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