 | 2011 |
|---|
| 10 |       | Cathy W. S. Chen,
Jennifer S. K. Chan,
Mike K. P. So,
Kevin K. M. Lee:
Classification in segmented regression problems.
Computational Statistics & Data Analysis 55(7): 2276-2287 (2011) |
| 9 | | Cathy W. S. Chen,
Jennifer S. K. Chan,
Richard Gerlach,
William Y. L. Hsieh:
A comparison of estimators for regression models with change points.
Statistics and Computing 21(3): 395-414 (2011) |
| 2009 |
|---|
| 8 | | Cathy W. S. Chen,
Richard Gerlach,
D. C. M. Wei:
Bayesian causal effects in quantiles: Accounting for heteroscedasticity.
Computational Statistics & Data Analysis 53(6): 1993-2007 (2009) |
| 7 | | YiHao Lai,
Cathy W. S. Chen,
Richard Gerlach:
Optimal dynamic hedging via copula-threshold-GARCH models.
Mathematics and Computers in Simulation 79(8): 2609-2624 (2009) |
| 6 | | Cathy W. S. Chen,
Richard Gerlach,
Nick Y. P. Cheng,
Y. L. Yang:
The impact of structural breaks on the integration of the ASEAN-5 stock markets.
Mathematics and Computers in Simulation 79(8): 2654-2664 (2009) |
| 2008 |
|---|
| 5 | | Cathy W. S. Chen,
Richard Gerlach,
Edward M. H. Lin:
Volatility forecasting using threshold heteroskedastic models of the intra-day range.
Computational Statistics & Data Analysis 52(6): 2990-3010 (2008) |
| 4 | | Mike K. P. So,
Cathy W. S. Chen,
Jen-Yu Lee,
Yi-Ping Chang:
An empirical evaluation of fat-tailed distributions in modeling financial time series.
Mathematics and Computers in Simulation 77(1): 96-108 (2008) |
| 3 | | Cathy W. S. Chen,
Richard Gerlach,
Amanda P. J. Tai:
Testing for nonlinearity in mean and volatility for heteroskedastic models.
Mathematics and Computers in Simulation 79(3): 489-499 (2008) |
| 2 | | Richard Gerlach,
Cathy W. S. Chen:
Bayesian inference and model comparison for asymmetric smooth transition heteroskedastic models.
Statistics and Computing 18(4): 391-408 (2008) |
| 2006 |
|---|
| 1 | | Cathy W. S. Chen,
Richard Gerlach,
Mike K. P. So:
Comparison of nonnested asymmetric heteroskedastic models.
Computational Statistics & Data Analysis 51(4): 2164-2178 (2006) |
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