Cathy Yi‐Hsuan Chen

Humboldt Universität zu Berlin

01.08.2015

Unter den Linden 6,

Berlin, 10099

Germany

http://https://www.wiwi.hu-berlin.de/de/professuren/vwl/statistik/members/personalpages/chencath

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SCHOLARLY PAPERS

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Scholarly Papers (3)

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1.

Pricing Cryptocurrency Options: The Case of CRIX and Bitcoin

Number of pages: 32 Posted: 27 Apr 2018
Cathy Yi‐Hsuan Chen, Wolfgang K. Härdle, Ai Jun Hou and Weining Wang
Humboldt Universität zu Berlin, Humboldt University of Berlin - Institute for Statistics and Econometrics, Stockholm University and Humboldt University of Berlin
Downloads 420 (67,144)

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CRyptocurrency IndeX, CRIX, Bitcoin, Cryptocurrency, SVCJ, Option pricing, OCRIX

2.

Deep Learning-Based Cryptocurrency Sentiment Construction

Number of pages: 20 Posted: 08 Jan 2019
Sergey Nasekin and Cathy Yi‐Hsuan Chen
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE) and Humboldt Universität zu Berlin
Downloads 170 (171,945)

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sentiment analysis, lexicon, social media, word embedding, deep learning

3.

Empirical Analysis of the Intertemporal Relationship between Downside Risk and Expected Returns: Evidence from Time‐Varying Transition Probability Models

European Financial Management, Vol. 22, Issue 5, pp. 749-796, 2016
Number of pages: 48 Posted: 22 Nov 2016
Cathy Yi‐Hsuan Chen and Thomas Chinan Chiang
Humboldt Universität zu Berlin and Drexel University - Department of Finance
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downside risk, Value‐at‐Risk, transition probability model, risk–return relationship