學術著作

Journal Article/s

“*”: Corresponding author

    : Graduate student supervised by Cathy Chen

2012

1.         Chen* C.W.S., Gerlach, R., Hwang, RBK and McAleer, M (2012) Forecasting Value-at-Risk using nonlinear regression quantiles and the intra-day range, International Journal of Forecasting, DOI: 10.1016/j.ijforecast.2011.12.004.  [NSC 99-2118-M-035-001-MY2, NSC96-2118-M-035-002-MY3] (2010 SSCI Economics, Rank 40/305, Management, Rank 49/144, Impact Factor 1.863)

2.         Chen* C.W.S. and Gerlach, R. (2012) Semi-parametric quantile estimation for double threshold autoregressive models with exogenous variables and heteroskedasticity, Computational Statistics, accepted.  [NSC 96-2118-M-035-002-MY3] (2010 SCI Statistics & Probability, Rank 91/110, Impact Factor 0.500)

3.         Choy, S.T.B., Chen*, C.W.S., and Lin, E.M.H. (2012) Bivariate asymmetric GARCH models with heavy tails and dynamic conditional correlations, Quantitative Finance, accepted.  [NSC 99-2118-M-035-001-MY2, NSC96-2118-M-035-002-MY3] (2010 SSCI Business, Finance Rank 49/76, Economics Rank 185/305, Social Sciences, Mathematical Methods, Rank 34/43, Impact Factor 0.590)

4.         Chen*, C.W.S., Lin, S., and Yu, P.L.H. (2012) Smooth transition quantile capital asset pricing models with heteroscedasticity, Computational Economics, DOI: 10.1007/s10614-011-9266-y. [NSC 99-2118-M-035-001-MY2] (2010 SSCI Economics, Rank 205/305, Management, Rank 124/144, Impact Factor 0.514)

5.         Chen*, C. W. S., Gerlach, R., Lin, E.M.H., and Lee, W.C.W. (2012) Bayesian forecasting for financial risk management, pre and post the global financial crisis, Journal of Forecasting, DOI: 10.1002/for.1237 [NSC 96-2118-M-035-002-MY3]  (2010 SSCI Management, Rank 112/144, Planning & Development, Rank 35/47, Impact Factor 0.655)

6.         Chan, J.S.K., Lam, C.P.Y., Yu, P.L.H., Choy, S.T.B. and Chen, C.W.S. (2012) Bayesian conditional autoregressive geometric process model for range data, Computational Statistics & Data Analysis. DOI:10.1016/j.csda.2011.01.006 [NSC 96-2118-M-035-002-MY3] (2010 SCI Statistics & Probability, Rank 41/110, Computer Science Interdisciplinary Applications, Rank 56/97, Impact Factor 1.089)

7.         Lin, E.M.H., Chen*, C.W.S., Gerlach, R. (2/2012) Forecasting volatility with asymmetric smooth transition dynamic range models, International Journal of Forecasting, 28, 384–399. [NSC 99-2118-M-035-001-MY2, NSC96-2118-M-035-002-MY3] (2010 SSCI Economics, Rank 40/305, Management, Rank 49/144, Impact Factor 1.863)

2011

8.         Chen*, C.W.S., Gerlach, R., and Liu, F.C. (11/2011) Detection of structural breaks in a time-varying heteroskedastic regression model, Journal of Statistical Planning and Inference, 141, 3367-3381. [NSC 99-2118-M-035-001-MY2] (2010 SCI Statistics & Probability, Rank 72/110, Impact Factor 0.691)

9.         Gerlach, R., Chen* C.W.S., and Chan, N.C.Y. (10/2011) Bayesian time-varying quantile forecasting for value-at-risk in financial markets, Journal of Business & Economic Statistics, 29, 481-492. [NSC 96-2118-M-035 -002 -MY3]  (2010 SCI Statistics & Probability, Rank 20/110, Impact Factor 1.693)

10.     Chen* C.W.S., Gerlach, R., and Lin, A.M.H. (9/2011) Multi-regime nonlinear capital asset pricing models, Quantitative Finance, 11, 1421-1438.  [NSC 96-2118-M-035-002 -MY3] (2010 SSCI Business, Finance Rank 49/76, Economics Rank 185/305, Social Sciences, Mathematical Methods, Rank 34/43, Impact Factor 0.590).

11.     Chen*, C. W. S., So, M.K.P., and Liu, F.C. (6/2011) A review of threshold time series models in finance, Statistics and Its Interface, 4, 167-182. [NSC 99-2118-M-035-001-MY2] (2010 SCI Mathematical & Computational Biology, Rank 34/37, Mathematics, Interdisciplinary Applications, Rank 82/93, Impact Factor 0.474)

12.     Chen* C.W.S., Chan, J.S.K., Gerlach, R., and Hsieh, W. (6/2011) A comparison of estimators for regression models with change points, Statistics and Computing, 21, 395-414.  [NSC 96-2118-M-035 -002 -MY3]  (2010 SCI Statistics & Probability, Rank 13/110, Computer Science, Theory & Methods, Rank 19/97, Impact Factor 1.851)

13.     Chen*, C.W.S., Chan, J.S.K., So, M.K.P., and Lee, K. (4/2011) Classification in segmented regression problems, Computational Statistics & Data Analysis, 55, 2276-2287.  [NSC 99-2118-M-035-001-MY2; NSC 96-2118-M-035-002-MY3] (2010 SCI Statistics & Probability, Rank 41/110, Computer Science Interdisciplinary Applications, Rank 56/97, Impact Factor 1.089)

14.     Chen*, C.W.S., Liu, F.C., and Gerlach, R. (3/2011) Bayesian subset selection for threshold autoregressive moving-average models, Computational Statistics, 26, 1-30.

[NSC 96-2118-M-035-002-MY3] and grant 07G27503 (2010 SCI Statistics & Probability, Rank 91/110, Impact Factor 0.500)

2010

15.     Chen* C.W.S., Gerlach, R., Choy, S.T.B. and Lin, C.  (3/2010) Estimation and inference for exponential smooth transition nonlinear volatility models, Journal of Statistical Planning and Inference, 140, 719-733. [NSC 96-2118-M-035-002-MY3] (2010 SCI Statistics & Probability, Rank 72/110, Impact Factor 0.691)

16.     Hsieh, Y.-H., Chen, C.W.S., Hsu Schmitz, S.F., King, C.C., Chen, W. J., Wu, Y.C., Ho, M.S. (1/2010) Candidate genes associated with susceptibility for SARS-coronavirus, Bulletin of Mathematical Biology, 72, 122-132. (2010 SCI Mathematical & Computational Biology, Rank 14/37, Impact Factor 1.859)

17.     Chen* C.W.S., Gerlach, R., and Lin, A.M.H. (1/2010) Falling and explosive, dormant and rising markets via multiple-regime financial time series models, Applied Stochastic Models in Business and Industry, 26, 28-49.  [NSC 96-2118-M-035-002-MY3]  (2010 SCI Statistics & Probability, Rank 60/110, Impact Factor 0.829)

2009

18.     Chen*, C. W. S., So, M. K. P., and Lin, E.M.H. (12/2009) Volatility forecasting with double Markov switching GARCH models, Journal of Forecasting, 28, 681-697.  [NSC95-2118-M-035-001.] (2010 SSCI Management, Rank 112/144, Planning & Development, Rank 35/47, Impact Factor 0.655) 

19.     Hsieh, Y.-H., Chen, C.W.S. (6/2009) Turning points, reproduction number, and impact of climatological events for multi-wave Dengue outbreaks, Tropical Medicine & International Health, 14, 628-638.  (2010 SCI Public, Environmental & Occupational Health, Rank 29/142, Tropical Medicine, Rank 3/19, Impact Factor 2.841)

20.     Lai, Y., Chen*, C.W.S., and Gerlach, R.H. (4/2009) Optimal dynamic hedging via asymmetric copula-GARCH Models, Mathematics and Computers in Simulation, a special issue on Modelling and Managing Financial Risk, 79, 2609-2624. [NSC95-2118-M-035-001]  (2010 SCI Mathematics, Applied, Rank 109/236, Impact Factor 0.812)

21.     Chen*, C.W.S., Gerlach, R. H., Cheng, N.Y.P., and Yang, Y.L. (4/2009) The Impact of Structural Breaks on the Integration of the ASEAN-5 Stock Markets, Mathematics and Computers in Simulation, a special issue on Modeling and Managing Financial Risk, 79, 2654-2664. [NSC95-2118-M-035-001]  (2010 SCI Mathematics, Applied, Rank 109/236, Impact Factor 0.812)

22.     Chen* C.W.S., Gerlach, R., and Wei, D.C.M.  (4/2009) Bayesian causal effects in quantiles: accounting for heteroscedasticity, Computational Statistics & Data Analysis, a special issue on Computational Econometrics, 53, 1993-2007.   [NSC 96-2118-M-035-002-MY3] (2010 SCI Statistics & Probability, Rank 41/110, Computer Science Interdisciplinary Applications, Rank 56/97, Impact Factor 1.089)

2008

23.     Gerlach, R. and Chen*, C.W.S. (12/2008) Bayesian inference and model comparison for asymmetric smooth transition heteroskedastic models, Statistics and Computing, 18, 391-408. [NSC95-2118-M-035-001] and grant 06G27022 from FCU. (2010 SCI Statistics & Probability, Rank 13/110, Computer Science, Theory & Methods, Rank 19/97, Impact Factor 1.851)

24.     Chen*, C.W.S., Gerlach, R., and So, M.K.P. (12/2008) Bayesian model selection for heteroskedastic models, Advances in Econometrics, 23, Special Issue on Bayesian Econometrics, 567-94.  (2005 SSCI Economics Rank 168/175).  [NSC95-2118-M-035-001] and grant 06G27022 from FCU.

25.     Chen* C.W.S., Gerlach, R., and Tai, A.P.J. (12/2008) Testing for nonlinearity in mean and volatility for heteroskedastic models, Mathematics and Computers in Simulation. 79, 489-499. (2010 SCI Mathematics, Applied, Rank 109/236, Impact Factor 0.812)

26.     Chen* C.W.S., Lin, E.M.H., Liu, F.C., and Gerlach, R. (5/2008) Bayesian estimation for parsimonious threshold autoregressive models in R, the R Journal, 8, 26-33. [NSC96-2118-M-002-MY3] and grant 06G27022 from FCU.

27.     Chen*, C.W.S., Liu, F.C., and So, M.K.P. (3/2008) Heavy-tailed distributed threshold stochastic volatility models in financial time series, Australian & New Zealand Journal of Statistics, 50, 29-51. (2010 SCI Statistics & Probability, Rank 79/110, Impact Factor 0.618)

28.     Chen*, C.W.S., Gerlach, R., and Lin, E.M.H. (2/2008) Volatility forecast using threshold heteroskedastic models of the intra-day range, Computational Statistics & Data Analysis, on Statistical & Computational Methods in Finance, 52, 2990-3010. [NSC95-2118-M-035-001]  (2010 SCI Statistics & Probability, Rank 41/110, Computer Science Interdisciplinary Applications, Rank 56/97, Impact Factor 1.089)

29.     So, M.K.P., Chen*, C. W. S., Lee, J.Y., and Chang, Y.P.  (2/2008) An empirical evaluation of fat-tailed distributions in modeling financial time series, Mathematics and Computers in Simulation, 77, 96-108. [NSC94-2118-M-035-001] (2010 SCI Mathematics, Applied, Rank 109/236, Impact Factor 0.812)

2007

30.     Chiang, T.C., Chen, C.W.S., and So, M.K.P. (12/2007) Asymmetric return and volatility responses to composite news from stock markets, Multinational Finance Journal, 11, 179-210. (EconLit)

31.     So, M.K.P, Chen, C.W.S., Chiang, T.C. and Lin, D.S.Y. (7/2007) Modeling financial time Series with threshold nonlinearity in returns and trading volume, Applied Stochastic Models in Business and Industry, 23, 319-338.  [NSC94-2118-M-035-001]  (2010 SCI Statistics & Probability, Rank 60/110, Impact Factor 0.829)

32.     Hsieh, Y.-H., King, C.C., Chen, C.W.S., Ho, M.S., Hsu, S.B. and Wu, YC  (1/2007) Impact of quarantine on the 2003 SARS outbreak: a retrospective modeling study, Journal of Theoretical Biology, 244, 729-736. (2010 SCI Biology, Rank 23/86, Impact Factor 2.371)

2006

33.     Chen*, C.W.S., Gerlach, R.H., and So, M.K.P. (12/2006) Comparison of nonnested asymmetric heteroscedastic models, Computational Statistics & Data Analysis, a special issue on Nonlinear Modelling and Financial Econometrics, 51, 2164-2178. [NSC94-2118-M-035-001]  (2010 SCI Statistics & Probability, Rank 41/110, Computer Science Interdisciplinary Applications, Rank 56/97, Impact Factor 1.089)

34.     Chen, C.W.S., Yang, M.J., Gerlach, R.H., and Lo, H.J.  (7/2006) The asymmetric reactions of mean and volatility of stock returns to domestic and international information based on a four-regime double-threshold GARCH Model, Physica A - Statistical Mechanics And Its Applications,  366, 401-418. [NSC93-2118-M-035-003]  (2010 SCI Physics, Multidisciplinary, Rank 27/80, Impact Factor 1.522)

35.     Lee, S.-M., Chen*, C.W.S., Gerlach, R.H., and Hwang, L.-H.  (6/2006)  Estimation in Ricker's two-release method: a Bayesian approach, Australian & New Zealand Journal of Statistics, 48, 157-169.  [NSC92-2118-M-035-006]  (2010 SCI Statistics & Probability, Rank 79/110, Impact Factor 0.618)

36.     So, M.K.P., Chen*, C.W.S. and Liu, F.C. (4/2006) Best subset selection of autoregressive models with exogenous variables and generalized autoregressive conditional heteroscedasticity errors, Journal of the Royal of Statistical Society Series C, 55, 201-224. [NSC93-2118-M-035-003]  (2010 SCI Statistics & Probability, Rank 78/110, Impact Factor 0.645)

37.     Hsieh, Y.H., Chen, C.W.S., Lee, S.M., Chen, Y.M.A., Wu, S.I., Lai, S.F., and Chang, A.L. (4/2006) Estimating the number of HIV-infected gay sauna patrons in Taipei area, Physica A - Statistical Mechanics And Its Applications, 362, 495-503. [DOH92-DC-1026] (2010 SCI Physics, Multidisciplinary, Rank 27/80, Impact Factor 1.522)

38.     Chen*, C.W.S. and Hsieh, Y.H. (1/2006) Bias may be unintentional but it's still there, Nature, 439, 18. (2010 SCI Multidisciplinary Science, Rank 1/59, Impact Factor 36.104)

39.     Gerlach, R., Chen*, C.W.S, Lin, D.S.Y., and Huang, M.H.  (2/2006) Asymmetric responses of international stock markets to trading volume, Physica A - Statistical Mechanics And Its Applications, 360, 422-444. [NSC93-2118-M-035-003]  (2010 SCI Physics, Multidisciplinary, Rank 27/80, Impact Factor 1.522)

40.     Chen, C.W.S. and So, M.K.P. (1/2006) On a threshold heteroscedastic model.  International Journal of Forecasting, 22, 73-89.  [NSC93-2118-M-035-003]  (2010 SSCI Economics, Rank 40/305, Management, Rank 49/144, Impact Factor 1.863)

2005

41.     Chen*, C.W.S., So, M.K.P., and, Gerlach, R.H.  (12/2005)  Assessing and testing for threshold nonlinearity in stock returns, Australian & New Zealand Journal of Statistics, 47, 473-488. [NSC92-2118-M-035-006] (2010 SCI Statistics & Probability, Rank 79/110, Impact Factor 0.618)

42.     Chen*, C.W.S. and Yu, T.H.K. (8/2005) Long-term dependence with asymmetric conditional heteroscedasticity in stock returns, Physica A - Statistical Mechanics And Its Applications, 353, 413-424. [ FCU-RD-89-052, FCU-RD-90-051]  (2010 SCI Physics, Multidisciplinary, Rank 27/80, Impact Factor 1.522)

43.     Chen, C.W.S., So, M.K.P., and, Gerlach, R.H.  (6/2005) Asymmetric response and interaction of US and local markets news in financial markets, Applied Stochastic Models in Business and Industry, 21, 273-288.  [NSC92-2118-M-035-006]  (2010 SCI Statistics & Probability, Rank 60/110, Impact Factor 0.829)

44.     Hsieh, Y.H., King, C.C., Chen, C.W.S., Ho, M.S., Lee, J.Y., Liu, F.C., Wu, Y.C., and Wu, J. S.  (2/2005) Quarantine for SARS, Taiwan, Emerging Infectious Diseases, 11, 278 - 282. (2010 SCI Immunology, Rank 14/134, Infectious Disease, Rank 3/58, Impact Factor 6.859) 

45.     So, M.K.P., Chen, C.W.S., Chen, M.T. (1/2005) A Bayesian threshold nonlinearity test in financial time series,   Journal of Forecasting, 24, 61-75. [ NSC91-2118-M-035-002]  (2010 SSCI Management, Rank 112/144, Planning & Development, Rank 35/47, Impact Factor 0.655)

2004

46.     Chen*, C.W.S., Lee, J.C., Lee, S.Y., and Niu, W.F. (10/2004) Bayesian estimation for time series regressions improved with exact likelihoods, Journal of Statistical Computation and Simulation. 74, 727 - 740.  [ NSC91-2118-M-035-002]  (2010 SCI Statistics & Probability, Rank 93/110, Impact Factor 0.469)

47.     Hsieh, Y.H., Chen, C.W.S., and Hsu, S.B. (8/2004)  SARS outbreak in Taiwan: what we can learn from modeling,  Emerging Infectious Diseases, 10, 1515-16. (2010 SCI Immunology, Rank 14/134, Infectious Disease, Rank 3/58, Impact Factor 6.859)

48.     Hsieh, Y.H. and Chen, C.W.S.  (5/2004) Mathematical modeling of SARS: errata and updates, Online, Journal of Epidemiology and Community Health (2010 SCI Public, Environmental & Occupational Health, Rank 27/142, Impact Factor 2.983)

49.     Hsieh, Y.H., Chen, C.W.S., and Hsu, S.B. (2/2004) SARS outbreak, Taiwan, 2003, Emerging Infectious Diseases, 10, 201-206. (2010 SCI Immunology, Rank 14/134, Infectious Disease, Rank 3/58, Impact Factor 6.859)

2003

50.     So, M.K.P. and Chen, C.W.S. (1/2003) Subset threshold autoregression. Journal of Forecasting, 22, 49-66.  (2010 SSCI Management, Rank 112/144, Planning & Development, Rank 35/47, Impact Factor 0.655) [NSC90-2118-M-035-008] 

51.     Hsieh, Y.H. and Chen, C.W.S. (6/2003) Severe Acute Respiratory Syndrome: Numbers do not tell whole story, British Medical Journal, 326, 1395-1396. (2010 SCI Medicine, General & Internal, Rank 6/153, Impact Factor 13.471) 

52.     Chen, C.W.S., Chiang, T.C. and So, M.K.P. (9/2003) Asymmetrical Reaction to US Stock-return News: Evidence from Major Stock Markets Based on a Double-Threshold Model.   The Journal of Economics and Business.  Special issue on Globalization in the New Millennium: Evidence on Financial and Economic Integration. 55, 487-502.  (EconLit) [NSC90-2118-M-035-008] 

53.     Hsieh, Y.H. and Chen, C.W.S.  (11/2003) Re: Mathematical modeling of SARS: Cautious in all our movements, Journal of Epidemiology and Community Health. Online (2010 SCI Public, Environmental & Occupational Health, Rank 27/142, Impact Factor 2.983)

2002

54.     Hsieh, Y.H., de Arazoza, H., Lee, S.-M., and Chen, C.W.S. (6/2002) Estimating the number of Cubans infected sexually by human immunodeficiency virus using contact tracing data, International Journal of Epidemiology, 31, 679-683. (2010 SCI Public, Environmental & Occupational Health, Rank 5/142, Impact Factor 5.759)  [NSC88-2118-M-035-001] 

2001

55.     Chen*, C.W.S., Cherng, T.-H., and Wu, B. (12/2001) On the selection of subset bilinear time series models: a genetic algorithm approach. Computational Statistics, 16, 505-517.  (2010 SCI Statistics & Probability, Rank 91/110, Impact Factor 0.500) [NSC87-2118-M-035-004], [NSC88-2118-M-035-001] 

56.     Chen*, C.W.S. and Wen, Y.W. (6/2001) On goodness of fit for time series regression models.  Journal of Statistical Computation and Simulation, 69, 239-256. (2010 SCI Statistics & Probability, Rank 93/110, Impact Factor 0.469) [NSC89-2118-M-035-003]

57.     Hsieh, Y. H., Chen, C.W.S., Lee, S.-M., and de Arazoza, H. (2/2001) On the Recent Sharp Increase of HIV Detections in Cuba. Aids, 426-428. (2010 SCI Infectious diseases, Rank 4/58, Impact Factor 6.348)  [NSC88-2118-M-035-001] 

2000

58.     Hsieh, Y.-H., Chen, C.W.S., and Lee, S.-M. (11/2000) Empirical Bayes approach to estimating the number of HIV-infected individuals in hidden and elusive populations. Statistics in Medicine, 19, 3095-3108.  (2010 SCI Statistics & Probability, Rank 8/110, Impact Factor 2.328) [NSC87-2118-M-035-004] 

1999

59.     Chen*, C.W.S. (12/1999) Subset selection of autoregressive time series models.  Journal of Forecasting, 18, 505-516. (2010 SSCI Management, Rank 112/144, Planning & Development, Rank 35/47, Impact Factor 0.655)  [NSC86-2115-M-035-017]

60.     Chen*, C.W.S., Lee, S.-M., Hsieh, Y.-H., and Ungchusak, K. (11/1999) A unified approach to estimating population size for a births only model.  Computational Statistics & Data Analysis, 32, 29-46. (2010 SCI Statistics & Probability, Rank 41/110, Computer Science Interdisciplinary Applications, Rank 56/97, Impact Factor 1.089) [NSC86-2115-M-035-017]

1998

61.     Chen*, C.W.S. (9/1998) A Bayesian analysis of generalized threshold autoregressive models. Statistics & Probability Letters, 40, 15-22. (2010 SCI Statistics & Probability, Rank 96/110, Impact Factor 0.443)  [NSC85-2115-M-035-007]

62.     Lee, S.-M. and Chen*, C.W.S. (10/1998) Bayesian inference of population size for Behavioral response models. Statistica Sinica, 8, 1233-1247. (2010 SCI Statistics & Probability, Rank 54/110, Impact Factor 0.956) [NSC86-2115-M-035-017]

1997

63.     Chen, C.W.S., McCulloch, R.E., and Tsay, R.S. (4/1997) A unified approach to estimating and modeling linear and nonlinear time series.  Statistica Sinica, 7, 451-472. (2010 SCI Statistics & Probability, Rank 54/110, Impact Factor 0.956)

64.     Chen*, C.W.S. (5/1997) Detection of additive outliers in bilinear time series.  Computational Statistics & Data Analysis, 24, 283-294.  (2010 SCI Statistics & Probability, Rank 41/110, Computer Science Interdisciplinary Applications, Rank 56/97, Impact Factor 1.089)  [NSC83-0208-M-035-011]

65.     Chen*, C.W.S. and Lee, J.C. (9/1997) On selecting a power transformation in time-series analysis.  Journal of Forecasting, 16, 343-354. (2010 SSCI Management, Rank 112/144, Planning & Development, Rank 35/47, Impact Factor 0.655)  [NSC84-2121-M-035-007]

1995-1992

66.     Chen*, C.W.S. and Lee, J.C. (9/1995) Bayesian inference of threshold autoregressive models.   Journal of Time Series Analysis, 16, 483-492.  (2010 SCI Statistics & Probability, Rank 77/110, Impact Factor 0.678) [NSC82-0115-M-035-012-T]

67.     Chen*, C.W.S. (6/1992a) Bayesian inferences and forecasting in bilinear time series models.  Communications in statistics - Theory and Methods, 21, 1725-1743. (2010 SCI Statistics & Probability, Rank 101/110, Impact Factor 0.351)

68.     Chen*, C.W.S. (12/1992b) Bayesian analysis of bilinear time series models: a Gibbs sampling approach.  Communications in Statistics - Theory and Methods, 21, 3407-3425. (2010 SCI Statistics & Probability, Rank 101/110, Impact Factor 0.351)