Ying Chen

Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE)

Spandauer Strasse 1

Berlin, D-10178

Germany

SCHOLARLY PAPERS

6

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687

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Top 27,778

in Total Papers Citations

24

CROSSREF CITATIONS

8

Scholarly Papers (6)

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1.

Adaptive Dynamic Nelson-Siegel Term Structure Model with Applications

Journal of Econometrics, Vol. 180, No. 1, 2014
Number of pages: 50 Posted: 20 Mar 2012 Last Revised: 22 Jan 2022
Ying Chen and Linlin Niu
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE) and Xiamen University - Wang Yanan Institute for Studies in Economics (WISE)
Downloads 338 (138,522)
Citation 5

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Yield curve, term structure of interest rates, local parametric models, forecasting

2.

Nonparametric Risk Management with Generalized Hyperbolic Distributions

Number of pages: 33 Posted: 20 Oct 2005
Wolfgang Karl Härdle, Ying Chen and Seok-Oh Jeong
Blockchain Research Center, Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE) and Catholic University of Louvain
Downloads 196 (237,686)
Citation 6

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adaptive volatility estimation, generalized hyperbolic distribution, value at risk

3.

TVICA - Time Varying Independent Component Analysis and Its Application to Financial Data

SFB 649 Discussion Paper 2011-054
Number of pages: 30 Posted: 09 Jan 2017
Ray-Bing Chen, Ying Chen and Wolfgang Karl Härdle
National Cheng Kung University, Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE) and Blockchain Research Center
Downloads 76 (476,486)
Citation 2

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Adaptive Sequential Testing; Independent Component Analysis; Local Homogeneity; Signal Processing; Realized Volatility

4.

Portfolio Value at Risk Based on Independent Components Analysis

SFB 649 Discussion Paper 2005-060
Number of pages: 25 Posted: 09 Jan 2017
Ying Chen, Wolfgang Karl Härdle and V. Spokoiny
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Blockchain Research Center and Weierstras Institute for Applied Analysis and Stochastics (WIAS)
Downloads 32 (689,108)
Citation 3

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independent component analysis, Value-at-Risk

5.

Localized Realized Volatility Modelling

SFB 649 Discussion Paper 2009-003
Number of pages: 36 Posted: 09 Jan 2017
Ying Chen, Wolfgang Karl Härdle and Uta Pigorsch
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Blockchain Research Center and University of Mannheim
Downloads 28 (716,643)
Citation 7

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Localized Autoregressive Modeling, Realized Volatility, Adaptive Procedure

6.

GHICA - Risk Analysis with GH Distributions and Independent Components

SFB 649 Discussion Paper 2006-078
Number of pages: 32 Posted: 09 Jan 2017
Ying Chen, Wolfgang Karl Härdle and V. Spokoiny
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Blockchain Research Center and Weierstras Institute for Applied Analysis and Stochastics (WIAS)
Downloads 17 (802,537)
Citation 8

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Multivariate Risk Management, Independent Component Analysis, Generalized Hyperbolic Distribution, Local Exponential Estimation, Value at Risk, Expected Shortfall.