Cathy Yi‐Hsuan Chen

University of Glasgow, Adam Smith Business School

01.03.2019

University Avenue

Glasgow, G12 8QQ

United Kingdom

http://https://gla.cathychen.info

  • University of Glasgow, Adam Smith Business School

SCHOLARLY PAPERS

6

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9

Scholarly Papers (6)

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1.

Pricing Cryptocurrency Options: The Case of Bitcoin and CRIX

Number of pages: 46 Posted: 27 Apr 2018 Last Revised: 13 Jul 2019
Ai Jun Hou, Weining Wang, Cathy Yi‐Hsuan Chen and Wolfgang K. Härdle
Stockholm University, Humboldt University of Berlin, University of Glasgow, Adam Smith Business School and Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 511 (53,535)
Citation 8

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

2.

Deep Learning-Based Cryptocurrency Sentiment Construction

Number of pages: 28 Posted: 08 Jan 2019 Last Revised: 12 Jul 2019
Sergey Nasekin and Cathy Yi‐Hsuan Chen
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE) and University of Glasgow, Adam Smith Business School
Downloads 202 (149,478)
Citation 1

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

3.

What Makes Cryptocurrencies Special? Investor Sentiment and Return Predictability During the Bubble

Number of pages: 36 Posted: 28 Jun 2019 Last Revised: 12 Jul 2019
Cathy Yi‐Hsuan Chen, Romeo Despres, Li Guo and Thomas Renault
University of Glasgow, Adam Smith Business School, affiliation not provided to SSRN, Singapore Management University, Lee Kong Chian School of Business and Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES)
Downloads 55 (373,171)
Citation 1

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Cryptocurrency; Sentiment; Bubble; Return Predictability

4.

FRM Financial Risk Meter

Special Issue in Empirical Economics on “Economic Applications of Quantile Regression 2.0”, Forthcoming
Number of pages: 30 Posted: 05 Aug 2019
Andrija Mihoci, Michael Althof, Cathy Yi‐Hsuan Chen and Wolfgang K. Härdle
Brandenburg University of Technology (BTU), Humboldt University of Berlin - Institute for Statistics and Econometrics, University of Glasgow, Adam Smith Business School and Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 33 (450,901)

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Systemic Risk, Quantile Regression, Lasso, Financial Markets, Risk Management, Network Dynamics, Recession

5.

Sentiment-Driven Stochastic Volatility Model: A High-Frequency Textual Tool for Economists

Number of pages: 29 Posted: 13 Jun 2019
Jozef Baruník, Cathy Yi‐Hsuan Chen and Jan Vecer
Charles University in Prague - Department of Economics, University of Glasgow, Adam Smith Business School and Charles University in Prague - Faculty of Mathematics and Physics
Downloads 27 (479,710)

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High frequency text, Sentiment, Stochastic volatility, Continuous time models

6.

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
University of Glasgow, Adam Smith Business School and Drexel University - Department of Finance
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downside risk, Value‐at‐Risk, transition probability model, risk–return relationship