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Evidence of stock returns and abnormal trading volume : a threshold quantile regression approach
Chen, Cathy W. S.; So, Mike Ka-pui; Chiang, Thomas C. - In: The Japanese economic review : the journal of the … 67 (2016) 1, pp. 96-124
Persistent link: https://www.econbiz.de/10011720775
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Bayesian expected shortfall forecasting incorporating the intraday range
Gerlach, Richard; Chen, Cathy W. S. - In: Journal of financial econometrics : official journal of … 14 (2016) 1, pp. 128-158
Persistent link: https://www.econbiz.de/10011588546
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Incorporating volatility in tolerance intervals for pair-trading strategy and backtesting
Chen, Cathy W. S.; Lin, Tsai-Yu; Huang, T. Y. - In: The journal of risk model validation 13 (2019) 1, pp. 63-94
Persistent link: https://www.econbiz.de/10012020269
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Predicting failure risk using financial ratios : quantile hazard model approach
Dong, Manh Cuong; Tian, Shaonan; Chen, Cathy W. S. - In: The North American journal of economics and finance : a … 44 (2018), pp. 204-220
Persistent link: https://www.econbiz.de/10012036537
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Nonparametric tolerance limits for pair trading
Chen, Cathy W. S.; Lin, Tsai-Yu - In: Finance research letters 21 (2017), pp. 1-9
Persistent link: https://www.econbiz.de/10011807239
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Pair trading based on quantile forecasting of smooth transition GARCH models
Chen, Cathy W. S.; Wang, Zona; Songsak Sriboonchitta; … - In: The North American journal of economics and finance : a … 39 (2017), pp. 38-55
Persistent link: https://www.econbiz.de/10011878579
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Structural breaks of CAPM-type market model with heteroskedasticity and quantile regression
Chen, Cathy W. S.; Khemmanant Khamthong; Lee, Sangyeol - In: Robustness in econometrics, (pp. 111-134). 2017
Persistent link: https://www.econbiz.de/10011801139
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Inferences of default risk and borrower characteristics on P2P lending
Chen, Cathy W. S.; Dong, Manh Cuong; Liu, Nathan; … - In: The North American journal of economics and finance : a … 50 (2019), pp. 1-14
Persistent link: https://www.econbiz.de/10012203151
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How strong is the relationship among gold and USD exchange rates? : analytics based on structural change models
Dong, Manh Cuong; Chen, Cathy W. S.; Lee, Sangyoel; … - In: Computational economics 53 (2019) 1, pp. 343-366
Persistent link: https://www.econbiz.de/10012134682
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On asymmetric market model with heteroskedasticity and quantile regression
Chen, Cathy W. S.; Li, Muyi; Nguyen, Nga T. H.; Songsak … - In: Computational economics 49 (2017) 1, pp. 155-174
Persistent link: https://www.econbiz.de/10011751821