Refereed Papers (* corresponding author)

Chen* C. W. S., Gerlach, R., Choy, 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.  (2008 SCI Statistics & Probability, Rank 67/92, Impact Factor 0.679.)

Chen* C. W. S., Gerlach, R., and Lin, A. M. H. (2009) Multi-regime nonlinear capital asset pricing models, forthcoming, Quantitative Finance. DOI: 10.1080/14697680902968013  [NSC 96-2118-M-035 -002 -MY3]  (2008 SSCI Business, Finance Rank 22/48, Economics Rank 88/209, Social Sciences, Mathematical Methods, Rank 22/37, Impact Factor 0.892).

53

Hsieh, Y.-H., Chen, C. W. S., Hsu Schmitz, S. F., King, C. C., Chen, W. J., Wu, Y. C., Ho, M.S. (2009) Candidate genes associated with susceptibility for SARS-coronavirus, Bulletin of Mathematical Biology, DOI 10.1007/s11538-009-9440-8. (2008 SCI Mathematical & Computational Biology, Rank 17/29, Impact Factor 1.735)

Chen* C. W. S., Gerlach, R., and Lin, A. M. H. (2009) Falling and explosive, dormant and rising markets via multiple-regime financial time series models, forthcoming, Applied Stochastic Models in Business and Industry. DOI: 10.1002/asmb.765
 [NSC 96-2118-M-035 -002 -MY3]  (2008 SCI Statistics & Probability, Rank 84/92, Impact Factor 0.351).

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.] (2008 SSCI Management, Rank 78/89, Planning & Development, Rank 22/43, Impact Factor 0.508) 

Hsieh, Y.-H., Chen, C. W. S. (6/2009) Turning points, reproduction number, and impact of climatological events for multi-wave Dengue outbreaks, forthcoming, Tropical Medicine & International Health, 14, 628-638.  (2008 SCI Public, Environmental & Occupational Health, Rank 33/105, Tropical Medicine, Rank 4/15, Impact Factor 2.312).

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]  (2008 SCI Mathematics, Applied, Rank 66/175, Computer Science Interdisciplinary Applications, Rank 64/94, Impact Factor 0.930)

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]  (2008 SCI Mathematics, Applied, Rank 66/175, Computer Science Interdisciplinary Applications, Rank 64/94, Impact Factor 0.930)

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] (2008 SCI Statistics & Probability, Rank 38/92, Computer Science Interdisciplinary Applications, Rank 46/94, Impact Factor 1.126).

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. (2008 SCI Statistics & Probability, Rank 28/92, Impact Factor 1.371)

Chen* C. W. S., Gerlach, R. H., 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.  [NSC96-2118-M-002-MY3] and grant 06G27022 from FCU.  (2008 SCI Mathematics, Applied, Rank 66/175, Computer Science Interdisciplinary Applications, Rank 64/94, Impact Factor 0.930)

Chen*, C. W. S., Gerlach, R., and So, M. K. P. (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.

43

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 Newsletter of the R project, 8, 26-33. [NSC96-2118-M-002-MY3] and grant 06G27022 from FCU.

R package: BAYSTAR

42

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. (2008 SCI Statistics & Probability, Rank 68/92, Impact Factor 0.650).

41

Chen*, C. W. S., Gerlach, R. H., and Lin, E. M. H. (2/2008) Volatility forecast using threshold heteroskedastic models of the intra-day range,  Computational Statistics & Data Analysis, special issue on Statistical & Computational Methods in Finance, 52, 2990-3010.  [NSC95-2118-M-035-001]  (2008 SCI Statistics & Probability, Rank 38/92, Computer Science Interdisciplinary Applications, Rank 46/94, Impact Factor 1.126)

40

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, forthcoming, Mathematics and Computers in Simulation. 77, 96-108.  [NSC94-2118-M-035-001] (2008 SCI Mathematics, Applied, Rank 66/175, Computer Science Interdisciplinary Applications, Rank 64/94, Impact Factor 0.930)

39

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

38

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]  (2008 SCI Statistics & Probability, Rank 84/92, Impact Factor 0.351)

37

Hsieh, Y.-H., King, C. C., Chen, C. W. S., Ho, M. S., Hsu, S.B. and Wu, Y.C.  (1/2007) Impact of quarantine on the 2003 SARS outbreak: a retrospective modelling study, Journal of Theoretical Biology, 244, 729-736.  (2008 SCI Biology, Rank 19/72,  Impact Factor 2.454)

36

Chen*, C. W. S., Gerlach, R. H., and So, M. K. P. (12/2006) Comparison of non-nested asymmetric heteroscedastic models, Computational Statistics & Data Analysis, a special issue on "Nonlinear Modelling and Financial Econometrics", 51, 2164-2178. [NSC94-2118-M-035-001]  (2008 SCI Statistics & Probability, Rank 38/92, Computer Science Interdisciplinary Applications, Rank 46/94, Impact Factor 1.126)

35

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]  (2008 SCI Physics, Multidisciplinary, Rank 25/68, Impact Factor 1.441)

34

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. 

(2008 SCI Statistics & Probability, Rank 68/92, Impact Factor 0.650)

33

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 Statistical Society Series C - Applied Statistics, 55, 201-224.  [NSC93-2118-M-035-003]  (2008 SCI Statistics & Probability, Rank 43/92, Impact Factor 1.057)

32

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 saunas patrons in Taipei area, Physica A - Statistical Mechanics And Its Applications, 362, 495-503.  [DOH92-DC-1026] (2008 SCI Physics, Multidisciplinary, Rank 25/68, Impact Factor 1.441)

31

Chen*, C.W.S. and Hsieh, Y.H. (1/2006) Bias may be unintentional but it's still there, Nature, Correspondence, 439, 18. 

 (2008 SCI Multidisciplinary Science, Rank 1/42, Impact Factor 31.434)

30

Gerlach, R. H., 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] (2008 SCI Physics, Multidisciplinary, Rank 25/68, Impact Factor 1.441)

29

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]  (2008 SSCI Economics, Rank 32/209, Management, Rank 27/89, Impact Factor 1.685)

28

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]  (2008 SCI Statistics & Probability, Rank 68/92, Impact Factor 0.650)  

27

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.   [ NSC92-2118-M-035-006]

[ FCU-RD-89-052, FCU-RD-90-051]  (2008 SCI Physics, Multidisciplinary, Rank 25/68, Impact Factor 1.441)

26 

 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]  (2008 SCI Statistics & Probability, Rank 84/92, Impact Factor 0.351)

25 

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. (2008 SCI Immunology, Rank 14/121, Infectious Disease, Rank 3/51, Impact Factor 6.449)

24 

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] (2008 SSCI Management, Rank 70/81, Planning & Development, Rank 22/43, Impact Factor 0.508)

23 

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]

(2008 SCI Statistics & Probability, Rank 83/92, Impact Factor 0.353) 

22 

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. (2008 SCI Immunology, Rank 14/121, Infectious Disease, Rank 3/51, Impact Factor 6.449)

21 

Hsieh, Y.H. and Chen, C. W. S.  (5/2004) Mathematical modeling of SARS: errata and updates, Online, Journal of Epidemiology and Community Health.  (2008 SCI Public, Environmental & Occupational Health, Rank 18/105, Impact Factor 3.186) 

20 

Hsieh, Y.H., Chen, C. W. S., and Hsu, S. B. (2/2004)  SARS Outbreak, Taiwan, 2003,  Emerging Infectious Diseases, 10, 201-206.  (2008 SCI Immunology, Rank 14/121, Infectious Disease, Rank 3/51, Impact Factor 6.449)

19 

Hsieh, Y.H. and Chen, C. W. S.  (11/2003) Re: Mathematical modeling of SARS: Cautious in all our movements, Online, Journal of Epidemiology and Community Health.  Online (2008 SCI Public, Environmental & Occupational Health, Rank 18/105, Impact Factor 3.186)

18 

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]

17 

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.  (2008 SCI Medicine, General & Internal, Rank 5/107, Impact Factor 12.827) 

16 

So, M. K. P. and Chen, C. W. S. (1/2003) Subset threshold autoregression. Journal of Forecasting, 22, 49-66.

 (2008 SSCI Management, Rank 70/81, Planning & Development, Rank 22/43, Impact Factor 0.508) [NSC90-2118-M-035-008]

15 

Hsieh, Y.-H., de Arazoza, H., Lee, S.-M., and Chen, C. W. S. (6/2002) Estimating the number of HIV-infected Cubans by sexual contact using contact tracing data, International Journal of Epidemiology, 31, 679-683.  (2008 SCI Public, Environmental & Occupational Health, Rank 5/105, Impact Factor 5.838)  [NSC88-2118-M-035-001]

14 

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.  (2008 SCI Statistics & Probability, Rank 71/92, Impact Factor 0.628) [NSC87-2118-M-035-004], [NSC88-2118-M-035-001]

13 

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, 15, 426-428. 

(2008 SCI Infectious diseases, Rank 5/51, Impact Factor 5.460)  [NSC88-2118-M-035-001]

12 

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. 

(2008 SCI Statistics & Probability, Rank 83/92, Impact Factor 0.353) [NSC89-2118-M-035-003]

11 

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. 

(2008 SCI Statistics & Probability, Rank 9/92, Impact Factor 2.111) [NSC87-2118-M-035-004]

10 

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.  

(2008 SCI Statistics & Probability, Rank 38/92, Computer Science Interdisciplinary Applications, Rank 46/94, Impact Factor 1.126) [NSC86-2115-M-035-017]

09 

 Chen, C. W. S. (12/1999) Subset selection of autoregressive time series models.  Journal of Forecasting, 18, 505-516. 

(2008 SSCI Management, Rank 78/89, Planning & Development, Rank 22/43, Impact Factor 0.508)  [NSC86-2115-M-035-017]

08 

Chen, C. W. S. (9/1998) A Bayesian analysis of generalized threshold autoregressive models. Statistics and Probability Letters, 40, 15-22.  (2008 SCI Statistics & Probability, Rank 81/92, Impact Factor 0.445)  [NSC85-2115-M-035-007]

07 

Lee, S.-M. and Chen, C. W. S. (10/1998) Bayesian inference of population size for Behavioral response models.  Statistica Sinica, 8, 1233-1247.  (Chen, C. W. S. is the corresponding author).  (2008 SCI Statistics & Probability, Rank 65/95, Impact Factor 0.699) [NSC86-2115-M-035-017]

06 

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.   (2008 SCI Statistics & Probability, Rank 65/95, Impact Factor 0.699) 

05 

Chen*, C. W. S. (5/1997) Detection of additive outliers in bilinear time series.  Computational Statistics & Data Analysis, 24, 283-294.   (2008 SCI Statistics & Probability, Rank 34/91, Computer Science Interdisciplinary Applications, Rank 46/94, Impact Factor 1.126)  [NSC83-0208-M-035-011]

04 

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. (2008 SSCI Management, Rank 78/89, Planning & Development, Rank 22/43, Impact Factor 0.508)  [NSC84-2121-M-035-007]

03 

Chen* C. W. S. and Lee, J. C. (9/1995) Bayesian inference of threshold autoregressive models.   Journal of Time Series Analysis, 16, 483-492.   (2008 SCI Statistics & Probability, Rank 53/92, Impact Factor 0.805).  [NSC82-0115-M-035-012-T]

02 

Chen*, C. W. S. (6/1992a) Bayesian inferences and forecasting in bilinear time series models.  Communications in Statistics - Theory and Methods, 21(6), 1725-1743.  

(2008 SCI Statistics & Probability, Rank 87/92, Impact Factor 0.324) 

01 

Chen*, C. W. S. (12/1992b) Bayesian analysis of bilinear time series models: a Gibbs sampling approach.  Communications in Statistics - Theory and Methods, 21(12), 3407-3425.   (2008 SCI Statistics & Probability, Rank 87/92, Impact Factor 0.324)

     Papers under revision   

2

Chen* C. W. S., Gerlach, R., Lin, E.M.H., and Lee, W. (2009)  Bayesian forecasting for financial risk management, submitted.

1

1Gerlach, R., Chen* C. W. S., and Chan, N.Y.C. (2009) Bayesian time-varying quantile forecasting for Value-at-Risk in financial markets, under revision.

     Technical reports

2

Chou, C. T., Lai, J. S., and Chen, C. W. S. (1996) The epidemiology of Hyperuricemia and gout in Taiwan aborigines. 

1

Chen, C. W. S. (1993) Bayesian analysis of bilinear time series models, Ph.D. Dissertation, National Central University.