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1

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

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

Journal:

Journal of Forecasting

Year:

2012

Language:

english

File:

PDF, 339 KB

english, 2012

2

Bayesian causal effects in quantiles: Accounting for heteroscedasticity

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

Journal:

Computational Statistics & Data Analysis

Year:

2009

Language:

english

File:

PDF, 1.62 MB

english, 2009

3

Forecasting Value-at-Risk using nonlinear regression quantiles and the intra-day range

Cathy W.S. Chen, Richard Gerlach, Bruce B.K. Hwang, Michael McAleer

Journal:

International Journal of Forecasting

Year:

2012

Language:

english

File:

PDF, 605 KB

english, 2012

4

Multi-regime nonlinear capital asset pricing models

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

Journal:

Quantitative Finance

Year:

2011

Language:

english

File:

PDF, 446 KB

english, 2011

5

Comparison of nonnested asymmetric heteroskedastic models

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

Journal:

Computational Statistics & Data Analysis

Year:

2006

Language:

english

File:

PDF, 232 KB

english, 2006

6

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

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

Journal:

Computational Statistics & Data Analysis

Year:

2008

Language:

english

File:

PDF, 506 KB

english, 2008

7

Estimation and inference for exponential smooth transition nonlinear volatility models

Cathy W.S. Chen, Richard H. Gerlach, S.T. Boris Choy, Celine Lin

Journal:

Journal of Statistical Planning and Inference

Year:

2010

Language:

english

File:

PDF, 1.98 MB

english, 2010

8

Bayesian Time-Varying Quantile Forecasting for Value-at-Risk in Financial Markets

Gerlach, Richard H., Chen, Cathy W. S., Chan, Nancy Y. C.

Journal:

Journal of Business and Economic Statistics

Year:

2011

Language:

english

File:

PDF, 288 KB

english, 2011

9

Multi-Regime Nonlinear Capital Asset Pricing Models

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

Journal:

SSRN Electronic Journal

Year:

2009

Language:

english

File:

PDF, 495 KB

english, 2009

10

Asymmetric response and interaction of U.S. and local news in financial markets

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

Journal:

Applied Stochastic Models in Business and Industry

Year:

2005

Language:

english

File:

PDF, 205 KB

english, 2005

11

Falling and explosive, dormant, and rising markets via multiple-regime financial time series models

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

Journal:

Applied Stochastic Models in Business and Industry

Year:

2010

Language:

english

File:

PDF, 332 KB

english, 2010

12

Asymmetric responses of international stock markets to trading volume

Richard Gerlach, Cathy W.S. Chen, Doris S.Y. Lin, Ming-Hsiang Huang

Journal:

Physica A: Statistical Mechanics and its Applications

Year:

2006

Language:

english

File:

PDF, 326 KB

english, 2006

13

The asymmetric reactions of mean and volatility of stock returns to domestic and international information based on a four-regime double-threshold GARCH model

Cathy W.S. Chen, Ming Jing Yang, Richard Gerlach, H. Jim Lo

Journal:

Physica A: Statistical Mechanics and its Applications

Year:

2006

Language:

english

File:

PDF, 281 KB

english, 2006

14

Testing for nonlinearity in mean and volatility for heteroskedastic models

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

Journal:

Mathematics and Computers in Simulation

Year:

2008

Language:

english

File:

PDF, 154 KB

english, 2008

15

Optimal dynamic hedging via copula-threshold-GARCH models

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

Journal:

Mathematics and Computers in Simulation

Year:

2009

Language:

english

File:

PDF, 176 KB

english, 2009

16

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

Journal:

Mathematics and Computers in Simulation

Year:

2009

Language:

english

File:

PDF, 828 KB

english, 2009

17

Bayesian subset selection for threshold autoregressive moving-average models

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

Journal:

Computational Statistics

Year:

2011

Language:

english

File:

PDF, 464 KB

english, 2011

18

Bayesian inference and model comparison for asymmetric smooth transition heteroskedastic models

Richard Gerlach, Cathy W. S. Chen

Journal:

Statistics and Computing

Year:

2008

Language:

english

File:

PDF, 763 KB

english, 2008

19

A comparison of estimators for regression models with change points

Cathy W. S. Chen, Jennifer S. K. Chan, Richard Gerlach, William Y. L. Hsieh

Journal:

Statistics and Computing

Year:

2011

Language:

english

File:

PDF, 1.34 MB

english, 2011

20

Detection of structural breaks in a time-varying heteroskedastic regression model

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

Journal:

Journal of Statistical Planning and Inference

Year:

2011

Language:

english

File:

PDF, 312 KB

english, 2011

21

ASSESSING AND TESTING FOR THRESHOLD NONLINEARITY IN STOCK RETURNS

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

Journal:

Australian & New Zealand Journal of Statistics

Year:

2005

Language:

english

File:

PDF, 315 KB

english, 2005

22

ESTIMATION IN RICKER'S TWO-RELEASE METHOD: A BAYESIAN APPROACH

Shen-Ming Lee, Cathy W.S. Chen, Richard H. Gerlach, Li-Hui Huang

Journal:

Australian & New Zealand Journal of Statistics

Year:

2006

Language:

english

File:

PDF, 132 KB

english, 2006

23

Forecasting volatility with asymmetric smooth transition dynamic range models

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

Journal:

International Journal of Forecasting

Year:

2012

Language:

english

File:

PDF, 552 KB

english, 2012

24

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

Cathy W. S. Chen, Richard Gerlach

Journal:

Computational Statistics

Year:

2013

Language:

english

File:

PDF, 705 KB

english, 2013

25

Bayesian estimation of smoothly mixing time-varying parameter GARCH models

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

Journal:

Computational Statistics & Data Analysis

Year:

2014

Language:

english

File:

PDF, 1.43 MB

english, 2014

26

Bayesian Assessment of Dynamic Quantile Forecasts

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

Journal:

Journal of Forecasting

Year:

2016

Language:

english

File:

PDF, 733 KB

english, 2016

27

Semi-parametric expected shortfall forecasting in financial markets

Gerlach, Richard, Chen, Cathy W. S.

Journal:

Journal of Statistical Computation and Simulation

Year:

2016

Language:

english

File:

PDF, 2.76 MB

english, 2016

28

Optimal Dynamic Hedging via Copula-Threshold-GARCH Models

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

Journal:

SSRN Electronic Journal

Year:

2009

Language:

english

File:

PDF, 138 KB

english, 2009

29

Bayesian Model Selection for Heteroskedastic Models

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

Journal:

SSRN Electronic Journal

Year:

2008

Language:

english

File:

PDF, 348 KB

english, 2008

30

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

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

Journal:

SSRN Electronic Journal

Year:

2011

Language:

english

File:

PDF, 294 KB

english, 2011

31

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

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

Journal:

SSRN Electronic Journal

Year:

2009

Language:

english

File:

PDF, 298 KB

english, 2009

32

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

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

Journal:

SSRN Electronic Journal

Year:

2009

Language:

english

File:

PDF, 407 KB

english, 2009

33

Bayesian Causal Effects in Quantiles: Accounting for Heteroscedasticity

Chen, Cathy W. S., Gerlach, Richard H., Wei, Jian-ming

Journal:

SSRN Electronic Journal

Year:

2009

Language:

english

File:

PDF, 255 KB

english, 2009