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Author ID: chen.cathy-w-s Recent zbMATH articles by "Chen, Cathy W. S."
Published as: Chen, Cathy W. S.
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Publications by Year

Citations contained in zbMATH Open

47 Publications have been cited 302 times in 209 Documents Cited by Year
Bayesian inference of threshold autoregressive models. Zbl 0833.62083
Chen, Cathy W. S.; Lee, Jack C.
25
1995
Bayesian variable selection in quantile regression. Zbl 1327.62135
Chen, Cathy W. S.; Dunson, David B.; Reed, Craig; Yu, Keming
22
2013
Parameter change test for zero-inflated generalized Poisson autoregressive models. Zbl 1359.62376
Lee, Sangyeol; Lee, Youngmi; Chen, Cathy W. S.
17
2016
Generalized Poisson autoregressive models for time series of counts. Zbl 1468.62037
Chen, Cathy W. S.; Lee, Sangyeol
17
2016
Falling and explosive, dormant, and rising markets via multi-regime financial time series models. Zbl 1224.91185
Chen, Cathy W. S.; Gerlach, Richard H.; Lin, Ann M. H.
15
2010
Comparison of nonnested asymmetric heteroskedastic models. Zbl 1157.62519
Chen, Cathy W. S.; Gerlach, Richard; So, Mike K. P.
15
2006
Volatility forecasting using threshold heteroskedastic models of the intra-day range. Zbl 1452.62748
Chen, Cathy W. S.; Gerlach, Richard; Lin, Edward M. H.
14
2008
A review of threshold time series models in finance. Zbl 1229.91354
Chen, Cathy W. S.; So, Mike K. P.; Liu, Feng-Chi
14
2011
A Bayesian analysis of generalized threshold autoregressive models. Zbl 0933.62084
Chen, Cathy W. S.
11
1998
Bayesian causal effects in quantiles: accounting for heteroscedasticity. Zbl 1453.62065
Chen, Cathy W. S.; Gerlach, Richard; Wei, D. C. M.
8
2009
Assessing and testing for threshold nonlinearity in stock returns. Zbl 1127.62076
Chen, Cathy W. S.; So, Mike K. P.; Gerlach, Richard H.
8
2005
Detection of additive outliers in bilinear time series. Zbl 0900.62468
Chen, Cathy W. S.
7
1997
Bayesian model selection for heteroskedastic models. Zbl 1189.91222
Chen, Cathy W. S.; Gerlach, Richard; So, Mike K. P.
7
2008
Asymmetric response and interaction of U. S. and local news in financial markets. Zbl 1087.62114
Chen, Cathy W. S.; So, Mike K. P.; Gerlaoh, Richard H.
7
2005
Estimation and inference for exponential smooth transition nonlinear volatility models. Zbl 1177.62032
Chen, Cathy W. S.; Gerlach, Richard H.; Choy, S. T. Boris; Lin, Celine
7
2010
Best subset selection of autoregressive models with exogenous variables and generalized autoregressive conditional heteroscedasticity errors. Zbl 05188734
So, Mike K. P.; Chen, Cathy W. S.; Liu, Feng-Chi
7
2006
A comparison of estimators for regression models with change points. Zbl 1255.62194
Chen, Cathy W. S.; Chan, Jennifer S. K.; Gerlach, Richard
7
2011
Optimal dynamic hedging via copula-threshold-GARCH models. Zbl 1162.91519
Lai, Yihao; Chen, Cathy W. S.; Gerlach, Richard
6
2009
Detection of structural breaks in a time-varying heteroskedastic regression model. Zbl 1221.62120
Chen, Cathy W. S.; Gerlach, Richard; Liu, Feng-Chi
6
2011
An empirical evaluation of fat-tailed distributions in modeling financial time series. Zbl 1148.62316
So, Mike K. P.; Chen, Cathy W. S.; Lee, Jen-Yu; Chang, Yi-Ping
6
2008
Bayesian inference of population size for behavioral response models. Zbl 0919.62022
Lee, Shen-Ming; Chen, Cathy W. S.
5
1998
Bayesian analysis of bilinear time series models: A Gibbs sampling approach. Zbl 0775.62228
Chen, Cathy W. S.
5
1992
Bayesian subset selection for threshold autoregressive moving-average models. Zbl 1304.65023
Chen, Cathy W. S.; Liu, Feng Chi; Gerlach, Richard
5
2011
Autoregressive conditional negative binomial model applied to over-dispersed time series of counts. Zbl 1487.62106
Chen, Cathy W. S.; So, Mike K. P.; Li, Jessica C.; Sriboonchitta, Songsak
5
2016
Multi-regime nonlinear capital asset pricing models. Zbl 1277.91059
Chen, Cathy W. S.; Gerlach, Richard H.; Lin, Ann M. H.
5
2011
Smooth transition quantile capital asset pricing models with heteroscedasticity. Zbl 1282.91383
Chen, Cathy W. S.; Lin, Simon; Yu, Philip L. H.
5
2012
Bayesian forecasting for financial risk management, pre and post the global financial crisis. Zbl 1397.91594
Chen, Cathy W. S.; Gerlach, Richard; Lin, Edward M. H.; Lee, W. C. W.
5
2012
A Bayesian conditional autoregressive geometric process model for range data. Zbl 1254.91642
Chan, Jennifer So Kuen; Lam, C. P. Y.; Yu, Philip L. H.; Choy, S. T. Boris; Chen, Cathy W. S.
4
2012
On Fisher’s dispersion test for integer-valued autoregressive Poisson models with applications. Zbl 1380.37153
Lee, Sangyeol; Park, Siyun; Chen, Cathy W. S.
3
2017
On the selection of subset bilinear time series models: a genetic algorithm approach. Zbl 1007.62070
Chen, Cathy W. S.; Cherng, Tsai-Hung; Wu, Berlin
3
2001
Bayesian inferences and forecasting in bilinear time series models. Zbl 0775.62067
Chen, Cathy W. S.
3
1992
Local non-stationarity test in mean for Markov switching GARCH models: an approximate Bayesian approach. Zbl 1342.65025
Chen, Cathy W. S.; Lee, Sangyeol; Chen, Shu-Yu
3
2016
Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity. Zbl 1305.65030
Chen, Cathy W. S.; Gerlach, Richard
3
2013
Bivariate asymmetric GARCH models with heavy tails and dynamic conditional correlations. Zbl 1402.62249
Choy, S. T. Boris; Chen, Cathy W. S.; Lin, Edward M. H.
3
2014
On goodness of fit for time series regression models. Zbl 1023.62087
Chen, Cathy W. S.; Wen, Yu-Wen
2
2001
Threshold variable selection of asymmetric stochastic volatility models. Zbl 1306.65041
Chen, Cathy W. S.; Liu, Feng-Chi; So, Mike K. P.
2
2013
Testing for nonlinearity in mean and volatility for heteroskedastic models. Zbl 1151.91699
Chen, Cathy W. S.; Gerlach, Richard H.; Tai, Amanda P. J.
2
2008
Hysteretic Poisson INGARCH model for integer-valued time series. Zbl 07289490
Truong, Buu-Chau; Chen, Cathy W. S.; Sriboonchitta, Songsak
2
2017
Model selection of a switching mechanism for financial time series. Zbl 1411.62309
Truong, Buu-Chau; Chen, Cathy W. S.; So, Mike K. P.
2
2016
On double hysteretic heteroskedastic model. Zbl 07184760
Chen, Cathy W. S.; Truong, Buu-Chau
2
2016
The impact of structural breaks on the integration of the ASEAN-5 stock markets. Zbl 1162.91523
Chen, Cathy W. S.; Gerlach, Richard; Cheng, Nick Y. P.; Yang, Y. L.
1
2009
Estimation in Ricker’s two-release method: a Bayesian approach. Zbl 1108.62116
Lee, Shen-Ming; Chen, Cathy W. S.; Gerlach, Richard H.; Huang, Li-Hui
1
2006
Classification in segmented regression problems. Zbl 1328.62382
Chen, Cathy W. S.; Chan, Jennifer S. K.; So, Mike K. P.; Lee, Kevin K. M.
1
2011
Bayesian modelling of nonlinear negative binomial integer-valued GARCHX models. Zbl 07290040
Chen, Cathy W. S.; Khamthong, K.
1
2020
Impact of quarantine on the 2003 SARS outbreak: a retrospective modeling study. Zbl 1450.92050
Hsieh, Ying-Hen; King, Chwan-Chuan; Chen, Cathy W. S.; Ho, Mei-Shang; Hsu, Sze-Bi; Wu, Yi-Chun
1
2007
Bayesian forecasting of value-at-risk based on variant smooth transition heteroskedastic models. Zbl 1388.62053
Chen, Cathy W. S.; Weng, Monica M. C.; Watanabe, Toshiaki
1
2017
Semi-parametric expected shortfall forecasting in financial markets. Zbl 07191990
Gerlach, Richard; Chen, Cathy W. S.
1
2017
Bayesian modelling of nonlinear negative binomial integer-valued GARCHX models. Zbl 07290040
Chen, Cathy W. S.; Khamthong, K.
1
2020
On Fisher’s dispersion test for integer-valued autoregressive Poisson models with applications. Zbl 1380.37153
Lee, Sangyeol; Park, Siyun; Chen, Cathy W. S.
3
2017
Hysteretic Poisson INGARCH model for integer-valued time series. Zbl 07289490
Truong, Buu-Chau; Chen, Cathy W. S.; Sriboonchitta, Songsak
2
2017
Bayesian forecasting of value-at-risk based on variant smooth transition heteroskedastic models. Zbl 1388.62053
Chen, Cathy W. S.; Weng, Monica M. C.; Watanabe, Toshiaki
1
2017
Semi-parametric expected shortfall forecasting in financial markets. Zbl 07191990
Gerlach, Richard; Chen, Cathy W. S.
1
2017
Parameter change test for zero-inflated generalized Poisson autoregressive models. Zbl 1359.62376
Lee, Sangyeol; Lee, Youngmi; Chen, Cathy W. S.
17
2016
Generalized Poisson autoregressive models for time series of counts. Zbl 1468.62037
Chen, Cathy W. S.; Lee, Sangyeol
17
2016
Autoregressive conditional negative binomial model applied to over-dispersed time series of counts. Zbl 1487.62106
Chen, Cathy W. S.; So, Mike K. P.; Li, Jessica C.; Sriboonchitta, Songsak
5
2016
Local non-stationarity test in mean for Markov switching GARCH models: an approximate Bayesian approach. Zbl 1342.65025
Chen, Cathy W. S.; Lee, Sangyeol; Chen, Shu-Yu
3
2016
Model selection of a switching mechanism for financial time series. Zbl 1411.62309
Truong, Buu-Chau; Chen, Cathy W. S.; So, Mike K. P.
2
2016
On double hysteretic heteroskedastic model. Zbl 07184760
Chen, Cathy W. S.; Truong, Buu-Chau
2
2016
Bivariate asymmetric GARCH models with heavy tails and dynamic conditional correlations. Zbl 1402.62249
Choy, S. T. Boris; Chen, Cathy W. S.; Lin, Edward M. H.
3
2014
Bayesian variable selection in quantile regression. Zbl 1327.62135
Chen, Cathy W. S.; Dunson, David B.; Reed, Craig; Yu, Keming
22
2013
Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity. Zbl 1305.65030
Chen, Cathy W. S.; Gerlach, Richard
3
2013
Threshold variable selection of asymmetric stochastic volatility models. Zbl 1306.65041
Chen, Cathy W. S.; Liu, Feng-Chi; So, Mike K. P.
2
2013
Smooth transition quantile capital asset pricing models with heteroscedasticity. Zbl 1282.91383
Chen, Cathy W. S.; Lin, Simon; Yu, Philip L. H.
5
2012
Bayesian forecasting for financial risk management, pre and post the global financial crisis. Zbl 1397.91594
Chen, Cathy W. S.; Gerlach, Richard; Lin, Edward M. H.; Lee, W. C. W.
5
2012
A Bayesian conditional autoregressive geometric process model for range data. Zbl 1254.91642
Chan, Jennifer So Kuen; Lam, C. P. Y.; Yu, Philip L. H.; Choy, S. T. Boris; Chen, Cathy W. S.
4
2012
A review of threshold time series models in finance. Zbl 1229.91354
Chen, Cathy W. S.; So, Mike K. P.; Liu, Feng-Chi
14
2011
A comparison of estimators for regression models with change points. Zbl 1255.62194
Chen, Cathy W. S.; Chan, Jennifer S. K.; Gerlach, Richard
7
2011
Detection of structural breaks in a time-varying heteroskedastic regression model. Zbl 1221.62120
Chen, Cathy W. S.; Gerlach, Richard; Liu, Feng-Chi
6
2011
Bayesian subset selection for threshold autoregressive moving-average models. Zbl 1304.65023
Chen, Cathy W. S.; Liu, Feng Chi; Gerlach, Richard
5
2011
Multi-regime nonlinear capital asset pricing models. Zbl 1277.91059
Chen, Cathy W. S.; Gerlach, Richard H.; Lin, Ann M. H.
5
2011
Classification in segmented regression problems. Zbl 1328.62382
Chen, Cathy W. S.; Chan, Jennifer S. K.; So, Mike K. P.; Lee, Kevin K. M.
1
2011
Falling and explosive, dormant, and rising markets via multi-regime financial time series models. Zbl 1224.91185
Chen, Cathy W. S.; Gerlach, Richard H.; Lin, Ann M. H.
15
2010
Estimation and inference for exponential smooth transition nonlinear volatility models. Zbl 1177.62032
Chen, Cathy W. S.; Gerlach, Richard H.; Choy, S. T. Boris; Lin, Celine
7
2010
Bayesian causal effects in quantiles: accounting for heteroscedasticity. Zbl 1453.62065
Chen, Cathy W. S.; Gerlach, Richard; Wei, D. C. M.
8
2009
Optimal dynamic hedging via copula-threshold-GARCH models. Zbl 1162.91519
Lai, Yihao; Chen, Cathy W. S.; Gerlach, Richard
6
2009
The impact of structural breaks on the integration of the ASEAN-5 stock markets. Zbl 1162.91523
Chen, Cathy W. S.; Gerlach, Richard; Cheng, Nick Y. P.; Yang, Y. L.
1
2009
Volatility forecasting using threshold heteroskedastic models of the intra-day range. Zbl 1452.62748
Chen, Cathy W. S.; Gerlach, Richard; Lin, Edward M. H.
14
2008
Bayesian model selection for heteroskedastic models. Zbl 1189.91222
Chen, Cathy W. S.; Gerlach, Richard; So, Mike K. P.
7
2008
An empirical evaluation of fat-tailed distributions in modeling financial time series. Zbl 1148.62316
So, Mike K. P.; Chen, Cathy W. S.; Lee, Jen-Yu; Chang, Yi-Ping
6
2008
Testing for nonlinearity in mean and volatility for heteroskedastic models. Zbl 1151.91699
Chen, Cathy W. S.; Gerlach, Richard H.; Tai, Amanda P. J.
2
2008
Impact of quarantine on the 2003 SARS outbreak: a retrospective modeling study. Zbl 1450.92050
Hsieh, Ying-Hen; King, Chwan-Chuan; Chen, Cathy W. S.; Ho, Mei-Shang; Hsu, Sze-Bi; Wu, Yi-Chun
1
2007
Comparison of nonnested asymmetric heteroskedastic models. Zbl 1157.62519
Chen, Cathy W. S.; Gerlach, Richard; So, Mike K. P.
15
2006
Best subset selection of autoregressive models with exogenous variables and generalized autoregressive conditional heteroscedasticity errors. Zbl 05188734
So, Mike K. P.; Chen, Cathy W. S.; Liu, Feng-Chi
7
2006
Estimation in Ricker’s two-release method: a Bayesian approach. Zbl 1108.62116
Lee, Shen-Ming; Chen, Cathy W. S.; Gerlach, Richard H.; Huang, Li-Hui
1
2006
Assessing and testing for threshold nonlinearity in stock returns. Zbl 1127.62076
Chen, Cathy W. S.; So, Mike K. P.; Gerlach, Richard H.
8
2005
Asymmetric response and interaction of U. S. and local news in financial markets. Zbl 1087.62114
Chen, Cathy W. S.; So, Mike K. P.; Gerlaoh, Richard H.
7
2005
On the selection of subset bilinear time series models: a genetic algorithm approach. Zbl 1007.62070
Chen, Cathy W. S.; Cherng, Tsai-Hung; Wu, Berlin
3
2001
On goodness of fit for time series regression models. Zbl 1023.62087
Chen, Cathy W. S.; Wen, Yu-Wen
2
2001
A Bayesian analysis of generalized threshold autoregressive models. Zbl 0933.62084
Chen, Cathy W. S.
11
1998
Bayesian inference of population size for behavioral response models. Zbl 0919.62022
Lee, Shen-Ming; Chen, Cathy W. S.
5
1998
Detection of additive outliers in bilinear time series. Zbl 0900.62468
Chen, Cathy W. S.
7
1997
Bayesian inference of threshold autoregressive models. Zbl 0833.62083
Chen, Cathy W. S.; Lee, Jack C.
25
1995
Bayesian analysis of bilinear time series models: A Gibbs sampling approach. Zbl 0775.62228
Chen, Cathy W. S.
5
1992
Bayesian inferences and forecasting in bilinear time series models. Zbl 0775.62067
Chen, Cathy W. S.
3
1992
all top 5

Cited by 326 Authors

34 Chen, Cathy W. S.
18 Gerlach, Richard H.
12 Lee, Sangyeol
9 Alhamzawi, Rahim
9 Chan, Jennifer So Kuen
8 Choy, S. T. Boris
8 So, Mike K. P.
6 Xia, Qiang
6 Yu, Keming
5 Lin, Edward M. H.
5 Liu, Jinshan
5 Sriboonchitta, Songsak
5 Yang, Kai
4 Battaglia, Francesco Paolo
4 Pan, Jiazhu
4 Wang, Dehui
3 Bernardi, Mauro
3 Cruz, Frederico R. B.
3 Kim, Byungsoo
3 Lee, Youngmi
3 Liang, Rubing
3 Liu, Feng-Chi
3 Loschi, Rosangela Helena
3 Pereira, Isabel M. S.
3 Petrella, Lea
3 Tong, Howell
3 Tsiotas, Georgios
3 Yu, Philip Leung Ho
3 Zhu, Fukang
2 Amendola, Alessandra
2 Baragona, Roberto
2 Bottone, Marco
2 Chen, Ping
2 Dunson, David Brian
2 Fegatelli, Danilo Alunni
2 Gonçalves, Esmeralda
2 Hamaker, Ellen L.
2 Khamthong, K.
2 Kim, Hanwool
2 Lam, Connie P. Y.
2 Lee, Jack Chao-Sheng
2 Li, Han
2 Mendes Lopes, Nazaré
2 Oh, Man-Suk
2 Park, Eunsug
2 Pigato, Paolo
2 Scotto, Manuel González
2 Tardella, Luca
2 Tjøstheim, Dag B.
2 Truong, Buu-Chau
2 Vosseler, Alexander
2 Wan, Wai-Yin
2 Wang, Min
2 Weiß, Christian H.
2 Wichitaksorn, Nuttanan
2 Wong, Heung
2 Wu, Berlin
1 Acıtaş, Şükrü
1 Agiwal, Varun
1 Ahmad, Ali
1 Alexander, Carol
1 Ali, Haithem Taha Mohammad
1 Alqawba, Mohammed Sulaiman
1 Amaral Turkman, Maria Antónia
1 Amiri, Esmail
1 Ando, Tomohiro
1 Antunes, Cláudia M.
1 Arakelian, Veni
1 Arellano-Valle, Reinaldo Boris
1 Aslan, Sipan
1 Au, Charles
1 Audrino, Francesco
1 Augustyniak, Maciej
1 Autchariyapanitkul, Kittawit
1 Bai, Jushan
1 Barrios, Erniel B.
1 Belsley, David A.
1 Benoit, Dries F.
1 Bensmail, Halima
1 Bergeman, Cindy S.
1 Borchers, David Louis
1 Bordignon, Silvano
1 Borovkova, Svetlana
1 Borowski, Matthias
1 Bortot, Paola
1 Boubaker, Sahbi
1 Boudreault, Mathieu
1 Bozdogan, Hamparsum
1 Broda, Simon A.
1 Buckland, Stephen T.
1 Buzzard, Gregery T.
1 Cai, Yuzhi
1 Campbell, Edward P.
1 Cancho, Vicente Garibay
1 Candelon, Bertrand
1 Carnicero, Alberto
1 Caro-Carretero, Raquel
1 Cavicchioli, Maddalena
1 Cerqueti, Roy
1 Chan, Raymond K. S.
...and 226 more Authors
all top 5

Cited in 61 Serials

23 Computational Statistics and Data Analysis
20 Journal of Statistical Computation and Simulation
15 Computational Statistics
11 Communications in Statistics. Simulation and Computation
9 Communications in Statistics. Theory and Methods
8 Journal of Time Series Analysis
7 Journal of Applied Statistics
7 Quantitative Finance
5 Journal of Statistical Planning and Inference
5 Statistics & Probability Letters
4 Mathematics and Computers in Simulation
4 Journal of Economic Dynamics & Control
4 Test
4 Statistical Modelling
4 Statistical Methods and Applications
4 Journal of the Korean Statistical Society
3 Annals of the Institute of Statistical Mathematics
3 Journal of the American Statistical Association
3 Journal of Econometrics
3 Econometric Reviews
3 Mathematical Problems in Engineering
2 Metrika
2 Psychometrika
2 Biometrics
2 Annals of Operations Research
2 Applied Mathematical Modelling
2 Statistical Papers
2 Methodology and Computing in Applied Probability
2 Advances in Complex Systems
2 North American Actuarial Journal
2 Thai Journal of Mathematics
2 The Annals of Applied Statistics
2 Statistics and Computing
2 Journal of Time Series Econometrics
1 The Canadian Journal of Statistics
1 Physica A
1 Applied Mathematics and Computation
1 Journal of Computational and Applied Mathematics
1 Journal of Multivariate Analysis
1 Metron
1 Statistics
1 Economics Letters
1 European Journal of Operational Research
1 Computational Economics
1 Journal of Nonparametric Statistics
1 Finance and Stochastics
1 Australian & New Zealand Journal of Statistics
1 Data Mining and Knowledge Discovery
1 International Journal of Theoretical and Applied Finance
1 Biostatistics
1 Journal of Applied Mathematics
1 Statistical Methodology
1 Advances in Data Analysis and Classification. ADAC
1 AStA. Advances in Statistical Analysis
1 Electronic Journal of Statistics
1 Chilean Journal of Statistics
1 Annals of Finance
1 Bayesian Analysis
1 Communications in Mathematics and Statistics
1 International Journal of Systems Science. Principles and Applications of Systems and Integration
1 Journal of the Japan Statistical Society. Japanese Issue

Citations by Year