Browsing by Author Chen, Cathy W S

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Issue DateTitleAuthor(s)Citation
2016Bayesian Assessment of Dynamic Quantile ForecastsGerlach, Richard; Chen, Cathy W S; Lin, Edward M H; Business AnalyticsBayesian Assessment of Dynamic Quantile Forecasts, Journal of Forecasting, vol.35, 8, 2016,pp 751-764
2009Bayesian causal effects in quantiles: accounting for heteroscedasticityGerlach, Richard; Chen, Cathy W S; Wei, D.C.M.; Operations Management and EconometricsBayesian causal effects in quantiles: accounting for heteroscedasticity, Computational Statistics & Data Analysis, vol.53,(6),2009,pp 1993-2007
2012A Bayesian conditional autoregressive geometric process model for range dataChan, Jennifer; Choy, Boris; Lam, Connie; Chen, Cathy W S; Yu, Philip L. H.; Mathematics & Statistics; Business Analytics; Mathematics & StatisticsA Bayesian conditional autoregressive geometric process model for range data, Computational Statistics and Data Analysis, vol.56, 11, 2012,pp 3006-3019
2008Bayesian Estimation for Parsimonious Threshold Autoregressive Models in RGerlach, Richard; Chen, Cathy W S; Lin, Edward M H; Liu, Feng Chi; Business AnalyticsBayesian Estimation for Parsimonious Threshold Autoregressive Models in R, R News, vol.8, 1, 2008,pp 26-33
2014Bayesian estimation of smoothly mixing time-varying parameter GARCH modelsGerlach, Richard; Chen, Cathy W S; Lin, Edward M H; Business AnalyticsBayesian estimation of smoothly mixing time-varying parameter GARCH models, Computational Statistics and Data Analysis, vol.76, n/a, 2014,pp 194-209
2016Bayesian Expected Shortfall Forecasting Incorporating the Intraday RangeGerlach, Richard; Chen, Cathy W S; Business AnalyticsBayesian Expected Shortfall Forecasting Incorporating the Intraday Range, Journal of Financial Econometrics, vol.14, 1, 2016,pp 128-158
2012Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial CrisisGerlach, Richard; Chen, Cathy W S; Lee, W.C.W.; Lin, Edward M H; Business AnalyticsBayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis, Journal of Forecasting, vol.31, 8, 2012,pp 661-687
2008Bayesian inference and model comparison for asymmetric smooth transition heteroskedastic modelsGerlach, Richard; Chen, Cathy W S; Business AnalyticsBayesian inference and model comparison for asymmetric smooth transition heteroskedastic models, Statistics and Computing, vol.18, 4, 2008,pp 391-408
2008Bayesian Model Selection for Heteroskedastic ModelsGerlach, Richard; Chen, Cathy W S; So, Mike K.P.; Business AnalyticsBayesian Model Selection for Heteroskedastic Models in Bayesian Econometrics (Advances in Econometrics volume 23), JAI Press, 2008, pp. 567-594
2011Bayesian Subset Selection for Threshold Autoregressive Moving-Average ModelsGerlach, Richard; Chen, Cathy W S; Liu, Feng Chi; Operations Management and EconometricsBayesian Subset Selection for Threshold Autoregressive Moving-Average Models, Computational Statistics, vol.26, 1, 2011,pp 1-30
2011Bayesian Time-Varying Quantile Forecasting for Value-at-Risk in Financial MarketsGerlach, Richard; Chan, Nancy; Chen, Cathy W S; Operations Management and EconometricsBayesian Time-Varying Quantile Forecasting for Value-at-Risk in Financial Markets, Journal of Business and Economic Statistics, vol.29, 4, 2011,pp 481-492
2011A comparison of estimators for regression models with change pointsChan, Jennifer; Gerlach, Richard; Chen, Cathy W S; Hsieh, William; Mathematics & Statistics; Operations Management and EconometricsA comparison of estimators for regression models with change points, Statistics and Computing, vol.21, 3, 2011,pp 395-414
2011Detection of structural breaks in a time-varying heteroskedastic regression modelGerlach, Richard; Chen, Cathy W S; Liu, Feng-Chi; Operations Management and EconometricsDetection of structural breaks in a time-varying heteroskedastic regression model, Journal of Statistical Planning and Inference, vol.141, 11, 2011,pp 3367-3381
2010Estimation and inference for exponential smooth transition nonlinear volatility modelsChoy, Sai Tsang Boris; Gerlach, Richard; Chen, Cathy W S; Lin, Celine; Business Analytics; Business AnalyticsEstimation and inference for exponential smooth transition nonlinear volatility models, Journal of Statistical Planning and Inference, vol.140, 3, 2010,pp 719-733
2010Falling and explosive, dormant, and rising markets via multiple-regime financial time series modelsGerlach, Richard; Chen, Cathy W S; Lin, Ann; Business AnalyticsFalling and explosive, dormant, and rising markets via multiple-regime financial time series models, Applied Stochastic Models in Business and Industry, vol.26, 1, 2010,pp 28-49
2012Forecasting Value-at-Risk using nonlinear regression quantiles and the intra-day rangeGerlach, Richard; Chen, Cathy W S; Hwang, Bruce; McAleer, Michael; Business AnalyticsForecasting Value-at-Risk using nonlinear regression quantiles and the intra-day range, International Journal of Forecasting, vol.28, 3, 2012,pp 557-574
2012Forecasting volatility with asymmetric smooth transition dynamic range modelsGerlach, Richard; Chen, Cathy W S; Lin, Edward M H; Business AnalyticsForecasting volatility with asymmetric smooth transition dynamic range models, International Journal of Forecasting, vol.28, 2, 2012,pp 384-399
2009The impact of structural breaks on the integration of the ASEAN-5 stock marketsGerlach, Richard; Chen, Cathy W S; Cheng, Nick Y.P.; Yang, Y.L; Operations Management and EconometricsThe impact of structural breaks on the integration of the ASEAN-5 stock markets, Mathematics and Computers in Simulation, vol.79,(8),2009,pp 2654-2664
2011Multi-Regime Nonlinear Capital Asset Pricing ModelsGerlach, Richard; Chen, Cathy W S; Lin, Ann; Operations Management and EconometricsMulti-Regime Nonlinear Capital Asset Pricing Models, Quantitative Finance, vol.11, 9, 2011,pp 1421-1438
2009Optimal dynamic hedging via copula-threshold-GARCH modelsGerlach, Richard; Chen, Cathy W S; Lai, YiHao; Operations Management and EconometricsOptimal dynamic hedging via copula-threshold-GARCH models, Mathematics and Computers in Simulation, vol.79,(8),2009,pp 2609-2624