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Phillip, Andrew; Chan, Jennifer S. K.; Peiris, Shelton - In: Economics letters 163 (2018), pp. 6-9

Persistent link: https://www.econbiz.de/10011982903

Time-varying neural network for stock return prediction

Wong, Steven Y. K.; Chan, Jennifer S. K.; Azizi, Lamiae; … - In: Intelligent systems in accounting, finance & management 29 (2022) 1, pp. 3-18

Persistent link: https://www.econbiz.de/10013274234

Asymmetrical reaction to US stock-return news : evidence from major stocks markets based on a double-threshold model

Chen, Cathy W. S.; Chiang, Thomas C.; So, Mike Ka-pui - In: Journal of economics & business 55 (2003) 5/6, pp. 487-502

Persistent link: https://www.econbiz.de/10001804355

Bayesian quantile forecasting via the realized hysteretic GARCH model

Chen, Cathy W. S.; Lin, Edward M. H.; Huang, Tara F. J. - In: Journal of forecasting 41 (2022) 7, pp. 1317-1337

Persistent link: https://www.econbiz.de/10013465697

Evidence of Stock Returns and Abnormal Trading Volume : A Quantile Regression Approach

Chen, Cathy W. S. - 2015

This paper presents a CAPM-based threshold quantile regression model with GARCH specification to examine relations between stock excess returns and “abnormal trading volume.” By employing the Bayesian MCMC method with asymmetric Laplace distribution to six daily Dow Jones Industrial stocks,...

Persistent link: https://www.econbiz.de/10013029438

Improving quantile forecasts via realized double hysteretic GARCH model in stock markets

Chen, Cathy W. S.; Chien, Cindy T. H. - In: Computational economics 64 (2024) 6, pp. 3447-3471

Persistent link: https://www.econbiz.de/10015144246

On a threshold heteroscedastic model

Chen, Cathy W. S.; So, Mike Ka-pui - In: International journal of forecasting 22 (2006) 1, pp. 73-89

Persistent link: https://www.econbiz.de/10003283952

Asymmetric return and volatility responses to composite news from stock markets

Chiang, Thomas C.; Chen, Cathy W. S.; So, Mike Ka-pui - In: Multinational finance journal : MF ; quarterly … 11 (2007) 3/4, pp. 179-210

Persistent link: https://www.econbiz.de/10003709545

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

Asymmetric Return and Volatility Responses to Composite News from Stock Markets

Chiang, Thomas C. - 2016

This paper examines the hypothesis that both stock returns and volatility are asymmetric functions of past information derived from domestic and U.S. stock-market news. The results show the presence of negative autocorrelation, which is consistent with the dominance of positive-feedback trading...

Persistent link: https://www.econbiz.de/10013004440