Cathy W. S. Chen

According to our database, Cathy W. S. Chen authored at least 33 papers between 2001 and 2024.

Collaborative distances:

• Dijkstra number of four.
• Erdős number of four.

2024

High-dimensional data analysis and visualisation.

Cathy W. S. Chen, Rosaria Lombardo, Enrico Ripamonti

Comput. Stat., February, 2024

Bayesian Forecasting of Bounded Poisson Distributed Time Series.

Feng-Chi Liu, Cathy W. S. Chen, Cheng-Ying Ho

Entropy, January, 2024

2023

Bayesian modeling of spatial integer-valued time series.

Cathy W. S. Chen, Chun-Shu Chen, Mo-Hua Hsiung

Comput. Stat. Data Anal., December, 2023

Quantile three-factor model with heteroskedasticity, skewness, and leptokurtosis.

Kai Y. K. Wang, Cathy W. S. Chen, Mike K. P. So

Comput. Stat. Data Anal., June, 2023

2021

Ordinal Time Series Forecasting of the Air Quality Index.

Cathy W. S. Chen, L. M. Chiu

Entropy, 2021

Bayesian inference of nonlinear hysteretic integer-valued GARCH models for disease counts.

Cathy W. S. Chen, Sangyeol Lee, Khemmanant Khamthong

Comput. Stat., 2021

2019

Bayesian Modelling Structural Changes on Housing Price Dynamics.

Hong Than-Thi, Manh Cuong Dong, Cathy W. S. Chen

Proceedings of the Structural Changes and their Econometric Modeling, 2019

2018

Bayesian Forecasting for Tail Risk.

Cathy W. S. Chen, Yu-Wen Sun

Proceedings of the Predictive Econometrics and Big Data, 2018

2017

Structural Breaks of CAPM-type Market Model with Heteroskedasticity and Quantile Regression.

Cathy W. S. Chen, Khemmanant Khamthong, Sangyeol Lee

Proceedings of the Robustness in Econometrics, 2017

2016

Local non-stationarity test in mean for Markov switching GARCH models: an approximate Bayesian approach.

Cathy W. S. Chen, Sangyeol Lee, Shu-Yu Chen

Comput. Stat., 2016

Generalized Poisson autoregressive models for time series of counts.

Cathy W. S. Chen, Sangyeol Lee

Comput. Stat. Data Anal., 2016

2014

CFEnetwork: The Annals of Computational and Financial Econometrics: 2nd Issue.

Erricos John Kontoghiorghes, Herman K. van Dijk, David A. Belsley, Tim Bollerslev, Francis X. Diebold, Jean-Marie Dufour, Robert F. Engle, Andrew Harvey, Siem Jan Koopman, Hashem Pesaran, Peter C. B. Phillips, Richard J. Smith, Mike West, Qiwei Yao, Alessandra Amendola, Monica Billio, Cathy W. S. Chen, Carl Chiarella, Ana Colubi, Manfred Deistler, Christian Francq, Marc Hallin, Eric Jacquier, Kenneth Judd, Gary Koop, Helmut Lütkepohl, James G. MacKinnon, Stefan Mittnik, Yasuhiro Omori, D. S. G. Pollock, Tommaso Proietti, Jeroen V. K. Rombouts, Olivier Scaillet, Willi Semmler, Mike K. P. So, Mark F. J. Steel, Robert Taylor, Elias Tzavalis, Jean-Michel Zakoian, H. Peter Boswijk, Alessandra Luati, John M. Maheu

Comput. Stat. Data Anal., 2014

Bayesian estimation of smoothly mixing time-varying parameter GARCH models.

Cathy W. S. Chen, Richard Gerlach, Edward M. H. Lin

Comput. Stat. Data Anal., 2014

Special issue on Bayesian computing, methods and applications.

Cathy W. S. Chen, David B. Dunson, Sylvia Frühwirth-Schnatter, Stephen G. Walker

Comput. Stat. Data Anal., 2014

Pairs Trading via Three-Regime Threshold Autoregressive GARCH Models.

Cathy W. S. Chen, Max Chen, Shu-Yu Chen

Proceedings of the Modeling Dependence in Econometrics, 2014

2013

Threshold variable selection of asymmetric stochastic volatility models.

Cathy W. S. Chen, Feng-Chi Liu, Mike K. P. So

Comput. Stat., 2013

Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity.

Cathy W. S. Chen, Richard Gerlach

Comput. Stat., 2013

2012

Statistical Estimation of Portfolios for Dependent Financial Returns.

Masanobu Taniguchi, Cathy W. S. Chen, Junichi Hirukawa, Hiroshi Shiraishi, Kenichiro Tamaki, David Veredas

Adv. Decis. Sci., 2012

A Bayesian conditional autoregressive geometric process model for range data.

Jennifer So-Kuen Chan, Connie P. Y. Lam, Philip L. H. Yu, S. T. Boris Choy, Cathy W. S. Chen

Comput. Stat. Data Anal., 2012

The Annals of Computational and Financial Econometrics, first issue.

David A. Belsley, Erricos John Kontoghiorghes, Herman K. van Dijk, Luc Bauwens, Siem Jan Koopman, Michael McAleer, Alessandra Amendola, Monica Billio, Christophe Croux, Cathy W. S. Chen, Russell Davidson, Pierre Duchesne, Paolo Foschi, Christian Francq, Ana-María Fuertes, Gary Koop, Lynda Khalaf, Marc S. Paolella, D. S. G. Pollock, Esther Ruiz, Richard Paap, Tommaso Proietti, Peter Winker, Philip L. H. Yu, Jean-Michel Zakoian, Achim Zeileis

Comput. Stat. Data Anal., 2012

The sixth special issue on computational econometrics.

David A. Belsley, Cathy W. S. Chen, Christian Francq, Giampiero M. Gallo, Lynda Khalaf, Erricos John Kontoghiorghes, Herman K. van Dijk

Comput. Stat. Data Anal., 2012

2011

A comparison of estimators for regression models with change points.

Cathy W. S. Chen, Jennifer So-Kuen Chan, Richard Gerlach, William Y. L. Hsieh

Stat. Comput., 2011

Bayesian subset selection for threshold autoregressive moving-average models.

Cathy W. S. Chen, Feng-Chi Liu, Richard Gerlach

Comput. Stat., 2011

Classification in segmented regression problems.

Cathy W. S. Chen, Jennifer So-Kuen Chan, Mike K. P. So, Kevin K. M. Lee

Comput. Stat. Data Anal., 2011

2009

Optimal dynamic hedging via copula-threshold-GARCH models.

YiHao Lai, Cathy W. S. Chen, Richard Gerlach

Math. Comput. Simul., 2009

The impact of structural breaks on the integration of the ASEAN-5 stock markets.

Cathy W. S. Chen, Richard Gerlach, Nick Y. P. Cheng, Y. L. Yang

Math. Comput. Simul., 2009

Bayesian causal effects in quantiles: Accounting for heteroscedasticity.

Cathy W. S. Chen, Richard Gerlach, D. C. M. Wei

Comput. Stat. Data Anal., 2009

2008

Bayesian inference and model comparison for asymmetric smooth transition heteroskedastic models.

Richard Gerlach, Cathy W. S. Chen

Stat. Comput., 2008

An empirical evaluation of fat-tailed distributions in modeling financial time series.

Mike K. P. So, Cathy W. S. Chen, Jen-Yu Lee, Yi-Ping Chang

Math. Comput. Simul., 2008

Testing for nonlinearity in mean and volatility for heteroskedastic models.

Cathy W. S. Chen, Richard Gerlach, Amanda P. J. Tai

Math. Comput. Simul., 2008

Volatility forecasting using threshold heteroskedastic models of the intra-day range.

Cathy W. S. Chen, Richard Gerlach, Edward M. H. Lin

Comput. Stat. Data Anal., 2008

2006

Comparison of nonnested asymmetric heteroskedastic models.

Cathy W. S. Chen, Richard Gerlach, Mike K. P. So

Comput. Stat. Data Anal., 2006

2001

On the Selection of Subset Bilinear Time Series Models: a Genetic Algorithm Approach.

Cathy W. S. Chen, Tsai-Hung Cherng, Berlin Wu

Comput. Stat., 2001