Cathy W. S. Chen

Feng Chia University - Department of Statistics

Distinguished Professor

100 Wen Hwa Road

Taichung, 407

Taiwan

http://myweb.fcu.edu.tw/~chenws/

Graduate Institute of Statistics & Actuarial Science, Feng Chia University

Distinguished Professor

100 Wenhwa Road

Talchung

Taiwan

http://myweb.fcu.edu.tw/~chenws/

  • Feng Chia University - Department of Statistics

    • Email
    • Tel: 886 4 24517250 ext 4412
    • Fax: 886 4 24517092

  • Graduate Institute of Statistics & Actuarial Science, Feng Chia University

    • Tel: 886 4-24517250 ext 4412
    • Fax: 886 4-2517092
SCHOLARLY PAPERS

20

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21

CROSSREF CITATIONS

17

Scholarly Papers (20)

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1.

Returns and Volatility Asymmetries in Global Stock Markets

Number of pages: 35 Posted: 13 Jul 2002
Thomas Chinan Chiang, Cathy W. S. Chen and Mike K. P. So
Drexel University - Department of Finance, Feng Chia University - Department of Statistics and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics & Operations Management
Downloads 394 (116,875)

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Asymmetry, Threshold GARCH, Stock returns, Volatility, Bayesian Estimation

2.

Multi-Regime Nonlinear Capital Asset Pricing Models

Number of pages: 33 Posted: 27 May 2009
Cathy W. S. Chen, Richard H. Gerlach and Ann M. H. Lin
Feng Chia University - Department of Statistics, University of Sydney and Feng Chia University
Downloads 303 (155,588)
Citation 4

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Asymmetry, Bayesian, CAPM, Time-varying market beta, Markov chain Monte Carlo method, posterior model probability

3.

Evidence of Stock Returns and Abnormal Trading Volume: A Quantile Regression Approach

Number of pages: 33 Posted: 28 Jan 2015
Cathy W. S. Chen, Mike K. P. So and Thomas Chinan Chiang
Feng Chia University - Department of Statistics, Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics & Operations Management and Drexel University - Department of Finance
Downloads 261 (181,267)
Citation 1

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Quantile regression; Volume Asymmetric; GARCH; HP-filter; Market beta; MCMC

4.

Optimal Dynamic Hedging via Copula-Threshold-GARCH Models

Number of pages: 24 Posted: 27 May 2009
YiHao Lai, Cathy W. S. Chen and Richard H. Gerlach
Department of Finance, Da-Yeh University, Feng Chia University - Department of Statistics and University of Sydney
Downloads 253 (186,963)

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hedge ratio, threshold GARCH, copula, spot and futures market, stock return

5.

Volatility Forecasting with Double Markov Switching GARCH Models

Number of pages: 21 Posted: 27 May 2009
Cathy W. S. Chen, Mike K. P. So and Edward M.H. Lin
Feng Chia University - Department of Statistics, Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics & Operations Management and Graduate Institute of Applied Statistics, Feng Chia University
Downloads 251 (188,445)
Citation 1

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heteroscedastic models, Markov chain Monte Carlo, regime-switching models, value at risk, volatility

6.

Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis

Journal of Forecasting, Forthcoming
Number of pages: 34 Posted: 21 Apr 2011 Last Revised: 27 Jan 2015
Cathy W. S. Chen, Richard H. Gerlach, Edward M.H. Lin and Wayne
Feng Chia University - Department of Statistics, University of Sydney, Graduate Institute of Applied Statistics, Feng Chia University and Feng Chia University - Graduate Institute of Statistics & Actuarial Science
Downloads 191 (243,427)
Citation 1

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EGARCH Model, Generalized Error Distribution, Markov Chain Monte Carlo Method, Value-at-Risk, Skewed Student-t, Market Risk Charge, Global Financial Crisis

7.

A Comparison of Estimators for Regression Models with Change Points

Number of pages: 34 Posted: 30 Mar 2010
Cathy W. S. Chen, Jennifer S. K. Chan, Richard H. Gerlach and William
Feng Chia University - Department of Statistics, The University of Sydney, University of Sydney and Graduate Institute of Statistics & Actuarial Science, Feng Chia University
Downloads 183 (252,772)

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Change point, Jump discontinuities, MCMC, Grid-search, Segmented regression

8.

Bayesian Model Selection for Heteroskedastic Models

Number of pages: 31 Posted: 28 May 2009 Last Revised: 23 Oct 2009
Cathy W. S. Chen, Richard H. Gerlach and Mike K. P. So
Feng Chia University - Department of Statistics, University of Sydney and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics & Operations Management
Downloads 175 (262,710)
Citation 1

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asymmetric volatility model, Markov chain Monte Carlo, posterior model probability, parallel

9.

The Impact of Structural Breaks on the Integration of the Asean-5 Stock Markets

Number of pages: 22 Posted: 28 May 2009
Cathy W. S. Chen, Richard H. Gerlach, Nick Ying-Pin Cheng and Yung-Lieh Yang
Feng Chia University - Department of Statistics, University of Sydney, Vanung University - Department of Finance and Ling Tung University-Department of Finance
Downloads 131 (332,624)

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cointegration, rank, structural break, Asian financial crisis, stock market.

10.

Bayesian Estimation for Parsimonious Threshold Autoregressive Models in R

The Newsletter of the R Project
Number of pages: 8 Posted: 27 May 2009 Last Revised: 21 Aug 2009
Cathy W. S. Chen, Edward M.H. Lin, Feng-Chi Liu and Richard H. Gerlach
Feng Chia University - Department of Statistics, Graduate Institute of Applied Statistics, Feng Chia University, Feng Chia University - Department of Statistics and University of Sydney
Downloads 131 (332,624)
Citation 6

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Asymmetry; MCMC method; two-regime SETAR model; BAYSTAR package

11.

Volatility Forecasting Using Threshold Heteroskedastic Models of the Intra-day Range

Number of pages: 25 Posted: 28 May 2009
Cathy W. S. Chen, Richard H. Gerlach and Edward M.H. Lin
Feng Chia University - Department of Statistics, University of Sydney and Graduate Institute of Applied Statistics, Feng Chia University
Downloads 127 (340,436)
Citation 1

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size and sign asymmetry, volatility model, conditional autoregressive range (CARR) model, threshold variable, Bayes

12.

Asymmetrical Responses to Stock Return News - Evidence from Global Markets Based on a Bayesian Model

Number of pages: 40 Posted: 28 May 2009
Thomas Chinan Chiang, Cathy W. S. Chen and Mike K. P. So
Drexel University - Department of Finance, Feng Chia University - Department of Statistics and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics & Operations Management
Downloads 113 (370,346)

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Asymmetry, threshold GARCH, volatility, Bayesian model

13.

Bayesian Causal Effects in Quantiles: Accounting for Heteroscedasticity

Number of pages: 21 Posted: 29 May 2009
Cathy W. S. Chen, Richard H. Gerlach and Jian-ming Wei
Feng Chia University - Department of Statistics, University of Sydney and Graduate Institute of Statistics & Actuarial Science, Feng Chia University
Downloads 110 (377,450)
Citation 6

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Bayesian, Granger non-causality in quantiles, Skewed-Laplace distribution, GARCH, Markov chain Monte Carlo

14.

Smooth Transition Quantile Capital Asset Pricing Models with Heteroscedasticity

Computational Economics, Forthcoming
Number of pages: 38 Posted: 02 May 2011
Cathy W. S. Chen, Simon Lin and Philip L. H. Yu
Feng Chia University - Department of Statistics, Feng Chia University - Graduate Institute of Statistics & Actuarial Science and The University of Hong Kong - Department of Statistics & Actuarial Science
Downloads 107 (384,813)
Citation 3

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Bayesian Inference, CAPM, GARCH, Quantile Regression, Skewed-Laplace Distribution, Smooth Transition

15.

Heavy-Tailed-Distributed Threshold Stochastic Volatility Models in Financial Time Series

Australian & New Zealand Journal of Statistics, Vol. 50, pp. 1-23, 2008
Number of pages: 30 Posted: 27 May 2009 Last Revised: 27 Aug 2009
Cathy W. S. Chen, Feng-Chi Liu and Mike K. P. So
Feng Chia University - Department of Statistics, Feng Chia University - Department of Statistics and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics & Operations Management
Downloads 93 (422,601)

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Kalman filter, Markov chain Monte Carlo method, state space model, stochastic volatility models, threshold, value-at-risk

16.

Falling and Explosive, Dormant and Rising Markets via Multiple-Regime Financial Time Series Models

Number of pages: 27 Posted: 28 May 2009 Last Revised: 31 May 2009
Cathy W. S. Chen, Richard H. Gerlach and Ann M. H. Lin
Feng Chia University - Department of Statistics, University of Sydney and Feng Chia University
Downloads 88 (437,377)

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17.

Estimation and Inference for Exponential Smooth Transition Nonlinear Volatility Models

Number of pages: 31 Posted: 18 Sep 2009
Cathy W. S. Chen, Richard H. Gerlach, Boris Choy and Celine S. Y. Lin
Feng Chia University - Department of Statistics, University of Sydney, University of Sydney Business School and Feng Chia University - Department of Statistics
Downloads 78 (469,813)

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Asymmetric, Bayesian inference, Heteroskedastic, Markov chain Monte Carlo (MCMC), Normal scale mixtures distribution

18.

Asymmetric Return and Volatility Responses to Composite News from Stock Markets

Multinational Finance Journal, Vol. 11, No. 3/4, p. 179-210, 2007
Number of pages: 32 Posted: 26 Jun 2015
Thomas Chinan Chiang, Cathy W. S. Chen and Mike K. P. So
Drexel University - Department of Finance, Feng Chia University - Department of Statistics and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics & Operations Management
Downloads 41 (634,437)

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asymmetry; threshold GARCH; volatility; Bayesian estimation; posterior-odds ratio

19.

Forecasting Volatility with Asymmetric Smooth Transition Dynamic Range Models

International Journal of Forecasting, Vol. 28, No. 2, 2012
Posted: 11 May 2012
Edward M.H. Lin, Cathy W. S. Chen and Richard H. Gerlach
Graduate Institute of Applied Statistics, Feng Chia University, Feng Chia University - Department of Statistics and University of Sydney

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smooth transition, volatility model, threshold variable, Bayesian inference, MCMC methods

20.

Best Subset Selection of Autoregressive Models with Exogenous Variables and Generalized Autoregressive Conditional Heteroscedasticity Errors

Journal of the Royal Statistical Society, Series C: Applied Statistics, Vol. 55, pp. 201-224
Posted: 27 May 2009 Last Revised: 30 Mar 2010
Mike K. P. So, Cathy W. S. Chen and Feng-Chi Liu
Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics & Operations Management, Feng Chia University - Department of Statistics and Feng Chia University - Department of Statistics

Abstract:

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Autoregressive models with exogenous variables, Bayesian methods, Generalized autoregressive conditional heteroscedasticity models, Markov chain Monte Carlo methods, Stochastic search variable selection, Stock-markets