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ORCIDCathy W. S. Chen
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2020 – today
- 2024
[j29]Cathy W. S. Chen, Rosaria Lombardo, Enrico Ripamonti
:
High-dimensional data analysis and visualisation. Comput. Stat. 39(1): 1-2 (2024)- [j28]Feng-Chi Liu, Cathy W. S. Chen, Cheng-Ying Ho:
Bayesian Forecasting of Bounded Poisson Distributed Time Series. Entropy 26(1): 16 (2024) - 2023
- [j27]Kai Y. K. Wang, Cathy W. S. Chen, Mike K. P. So:
Quantile three-factor model with heteroskedasticity, skewness, and leptokurtosis. Comput. Stat. Data Anal. 182: 107702 (2023) - [j26]Cathy W. S. Chen, Chun-Shu Chen, Mo-Hua Hsiung:
Bayesian modeling of spatial integer-valued time series. Comput. Stat. Data Anal. 188: 107827 (2023) - 2021
- [j25]Cathy W. S. Chen, Sangyeol Lee, Khemmanant Khamthong:
Bayesian inference of nonlinear hysteretic integer-valued GARCH models for disease counts. Comput. Stat. 36(1): 261-281 (2021) - [j24]Cathy W. S. Chen, L. M. Chiu:
Ordinal Time Series Forecasting of the Air Quality Index. Entropy 23(9): 1167 (2021)
2010 – 2019
- 2019
- [p3]Hong Than-Thi, Manh Cuong Dong, Cathy W. S. Chen:
Bayesian Modelling Structural Changes on Housing Price Dynamics. Structural Changes and their Econometric Modeling 2019: 83-104 - 2018
- [p2]Cathy W. S. Chen, Yu-Wen Sun:
Bayesian Forecasting for Tail Risk. Predictive Econometrics and Big Data 2018: 122-145 - 2017
- [p1]Cathy W. S. Chen, Khemmanant Khamthong, Sangyeol Lee:
Structural Breaks of CAPM-type Market Model with Heteroskedasticity and Quantile Regression. Robustness in Econometrics 2017: 111-134 - 2016
- [j23]Cathy W. S. Chen, Sangyeol Lee:
Generalized Poisson autoregressive models for time series of counts. Comput. Stat. Data Anal. 99: 51-67 (2016) - [j22]Cathy W. S. Chen, Sangyeol Lee, Shu-Yu Chen:
Local non-stationarity test in mean for Markov switching GARCH models: an approximate Bayesian approach. Comput. Stat. 31(1): 1-24 (2016) - 2014
- [j21]Cathy W. S. Chen, David B. Dunson, Sylvia Frühwirth-Schnatter, Stephen G. Walker:
Special issue on Bayesian computing, methods and applications. Comput. Stat. Data Anal. 71: 273 (2014) - [j20]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:
CFEnetwork: The Annals of Computational and Financial Econometrics: 2nd Issue. Comput. Stat. Data Anal. 76: 1-3 (2014) - [j19]Cathy W. S. Chen, Richard Gerlach, Edward M. H. Lin:
Bayesian estimation of smoothly mixing time-varying parameter GARCH models. Comput. Stat. Data Anal. 76: 194-209 (2014) - [c1]Cathy W. S. Chen, Max Chen, Shu-Yu Chen:
Pairs Trading via Three-Regime Threshold Autoregressive GARCH Models. TES 2014: 127-140 - 2013
- [j18]Cathy W. S. Chen, Richard Gerlach:
Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity. Comput. Stat. 28(3): 1103-1131 (2013) - [j17]Cathy W. S. Chen, Feng-Chi Liu, Mike K. P. So:
Threshold variable selection of asymmetric stochastic volatility models. Comput. Stat. 28(6): 2415-2447 (2013) - 2012
- [j16]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:
The Annals of Computational and Financial Econometrics, first issue. Comput. Stat. Data Anal. 56(11): 2991-2992 (2012) - [j15]Jennifer So-Kuen Chan, Connie P. Y. Lam, Philip L. H. Yu, S. T. Boris Choy, Cathy W. S. Chen:
A Bayesian conditional autoregressive geometric process model for range data. Comput. Stat. Data Anal. 56(11): 3006-3019 (2012) - [j14]David A. Belsley, Cathy W. S. Chen, Christian Francq, Giampiero M. Gallo, Lynda Khalaf, Erricos John Kontoghiorghes, Herman K. van Dijk:
The sixth special issue on computational econometrics. Comput. Stat. Data Anal. 56(11): 3307-3308 (2012) - [j13]Masanobu Taniguchi, Cathy W. S. Chen, Junichi Hirukawa, Hiroshi Shiraishi, Kenichiro Tamaki, David Veredas:
Statistical Estimation of Portfolios for Dependent Financial Returns. Adv. Decis. Sci. 2012: 681490:1-681490:3 (2012) - 2011
- [j12]Cathy W. S. Chen, Jennifer So-Kuen Chan, Mike K. P. So, Kevin K. M. Lee:
Classification in segmented regression problems. Comput. Stat. Data Anal. 55(7): 2276-2287 (2011) - [j11]Cathy W. S. Chen, Feng-Chi Liu, Richard Gerlach:
Bayesian subset selection for threshold autoregressive moving-average models. Comput. Stat. 26(1): 1-30 (2011) - [j10]Cathy W. S. Chen, Jennifer So-Kuen Chan, Richard Gerlach, William Y. L. Hsieh:
A comparison of estimators for regression models with change points. Stat. Comput. 21(3): 395-414 (2011)
2000 – 2009
- 2009
- [j9]Cathy W. S. Chen, Richard Gerlach, D. C. M. Wei:
Bayesian causal effects in quantiles: Accounting for heteroscedasticity. Comput. Stat. Data Anal. 53(6): 1993-2007 (2009) - [j8]YiHao Lai, Cathy W. S. Chen, Richard Gerlach:
Optimal dynamic hedging via copula-threshold-GARCH models. Math. Comput. Simul. 79(8): 2609-2624 (2009) - [j7]Cathy W. S. Chen, Richard Gerlach, Nick Y. P. Cheng, Y. L. Yang:
The impact of structural breaks on the integration of the ASEAN-5 stock markets. Math. Comput. Simul. 79(8): 2654-2664 (2009) - 2008
- [j6]Cathy W. S. Chen, Richard Gerlach, Edward M. H. Lin:
Volatility forecasting using threshold heteroskedastic models of the intra-day range. Comput. Stat. Data Anal. 52(6): 2990-3010 (2008) - [j5]Mike K. P. So, Cathy W. S. Chen, Jen-Yu Lee, Yi-Ping Chang:
An empirical evaluation of fat-tailed distributions in modeling financial time series. Math. Comput. Simul. 77(1): 96-108 (2008) - [j4]Cathy W. S. Chen, Richard Gerlach, Amanda P. J. Tai:
Testing for nonlinearity in mean and volatility for heteroskedastic models. Math. Comput. Simul. 79(3): 489-499 (2008) - [j3]Richard Gerlach, Cathy W. S. Chen:
Bayesian inference and model comparison for asymmetric smooth transition heteroskedastic models. Stat. Comput. 18(4): 391-408 (2008) - 2006
- [j2]Cathy W. S. Chen, Richard Gerlach, Mike K. P. So:
Comparison of nonnested asymmetric heteroskedastic models. Comput. Stat. Data Anal. 51(4): 2164-2178 (2006) - 2001
- [j1]Cathy W. S. Chen, Tsai-Hung Cherng, Berlin Wu:
On the Selection of Subset Bilinear Time Series Models: a Genetic Algorithm Approach. Comput. Stat. 16(4): 505-517 (2001)
Coauthor Index
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