陳婉淑 Cathy W. S. Chen

特聘教授 (副院長)

國立中央大學統計博士

研究領域

數據分析、時間數列分析、預測方法

開授課程

迴歸分析、統計專題、財務時間序列、 統計計算、統計預測方法、時間數列分析、貝氏理論、 數據分析

  • 學術/專業經歷
  • 論文/著作
  • 研究 & 教學
學術/專業經歷

Education

  • Ph.D. in Statistics, National Central University, Chung-Li, Taiwan.
  • Visiting Ph.D. student, Graduate School of Business, University of Chicago, USA.
  • M.Sc. in Statistics, University of California, Riverside, USA

 

Professional Qualifications

  • 2016 Fellow, the American Statistical Association (ASA)
  • 2009/11 Fellow, the Royal Statistical Society, UK
  • 2010/2 Chartered Statistician, the Royal Statistical Society, UK, (Designation: CStat.)
  • 2008 Elected Member, International Statistical Institute

 

Editorial Activities

1. Associate Editor, PLOS ONE (SCI), 2014 - present

2. Associate Editor, Journal of Business & Economic Statistics (JBES) (SSCI), 2013 - present

3. Associate Editor, Computational Statistics & Data Analysis (CSDA) (SCI), 2009 – 2016

  • Annals Guest Associate Editor, CSDA Annals of Computational and Financial Econometrics, 2010.
  • Editor, the 6th special issue on Computational Econometrics of the Computational Statistics & Data Analysis.
  • Editor, the special issue on “Bayesian Computing, Methods and Applications” of the Computational Statistics & Data Analysis.

4. Associate Editor, the Australian and New Zealand Journal of Statistics (SCI), 2008 – present.

5. Associate Editor, Computational Statistics (SCI), 2008 – present.

6. Associate Editor, Japanese Journal of Statistics and Data Science, 2017 – present.

7. Founding Editor, Journal of Economics and Management (EconLit), 2004 – present.

8. Associate Editor, Journal of the Chinese Statistical Association (EconLit), 2006 – 2010, 2012 – 2016.

 

Professional Membership

  • American Statistical Association, USA
  • Institute of Mathematical Statistics
  • Fellow, the Royal Statistical Society, UK
  • Chartered Statistician, the Royal Statistical Society, UK, (Designation: CStat.)
  • Elected member, International Statistical Institute (ISI)
  • International Society for Bayesian Analysis (ISBA).
  • International Chinese Statistical Association.

 

Honors and Awards

  • Feng Chia University Faculty Research Publication Awards (1995 – now)
  • Fellow, the American Statistical Association (ASA) (2016)
  • Fellow, the Royal Statistical Society (RSS), UK (2009)
  • Elected Member, International Statistical Institute (ISI) (2008)
  • Honorary member of the Phi Tau Phi Scholastic Honor Society, 2006/6
  • Distinguished Professor of Feng Chia University, 2004/8 - present
  • Listed in "Who's Who in Science and Engineering", 2003, Marquis
  • Awarded research grant, Academic Links Collaboration & Research of the University of Hong Kong and Taipei Trade Centre Exchange Scheme 2001
  • National Science Council Research Awards (1995/8 – 2000/7, discontinued after year 2000)
  • Feng Chia University Excellence in Teaching Award (1996/11)
  • National Science Council Young Research Awards (1993/4 – 1994/7)
  • Ministry of Education Scholarship for Ph.D. candidates studying abroad, Ministry of Education, Taiwan, 1991/9 – 1992/9.

 

Recent 5-year Talks Given at Conferences, Seminar, and Workshops

  • Workshops on Financial/Economic Analytics, invited speaker, March 8-9, 2018, Hong Kong.
  • Kouchi International Symposium: Recent Developments of Quantile Methods, Causality and High Dim Statistics, invited speaker, March 3-5, 2018, Kouchi, Japan.
  • Kagawa International Symposium: Theme: Recent Developments in Statistics and Econometrics, invited speaker and session chair, March 1-3, 2018, Kagawa, Japan.
  • Waseda International Symposium 2018: Recent developments in Tim Series Analysis: Quantile Regression, High Dimensional Data & Causality, invited speaker and session chair, February 26-28, 2018, Tokyo, Japan.
  • The 11th International Conference of The Thailand Econometric Society 2018, invited speaker and session chair, January 10-12, 2018, Chiang Mai, Thailand.
  • 2017 International Workshop on “New Developments in Business Analytics or Big Data”, August 3-4, 2017, organizer, Feng Chia University, Taiwan.
  • The 1st International Conference on Econometrics and Statistics (EcoSta 2017), June 15-17, 2017, invited speaker, UHUST, Hong Kong, China.
  • Waseda International Symposium, invited speaker and chair, February 27 - March 1, 2017, Waseda University, Tokyo, Japan
  • Keio International Symposium, invited speakers and chair, March 2 - 4, 2017, Keio University, Tokyo, Japan.
  • Macroeconometric Modelling Workshop, MMW 2016, December 1-2, 2016, invited speaker, Institute of Economics, Academia Sinica, Taiwan.
  • The Asian Regional Section of the IASC (IASC-ARS) Interim Conference and 2016 KSS Fall Conference, invited speaker, November 4-5, 2016, Daejeon, South Korea.
  • International Conference on Applied Statistics 2016 (ICAS 2016), July 13-15, 2016, invited speaker, Phuket, Thailand.
  • The 4th IMS Asia Pacific Rim Meeting (IMS-APRM), invited speaker, June 27-30, 2016, Hong Kong.
  • International Society of Bayesian Analysis (ISBA) World Meeting 2016, invited speaker, June 13-17, 2016, Sardinia, Italy.
  • The 9th International Conference of the Thailand Econometrics Society (TES2016), invited speaker, January 6-8, 2016, Chiang Mai, Thailand.
  • The 9th Conference of the Asian Regional Section of the IASC (IASC-ARS 2015), invited speaker, December 17-19, 2015, Singapore.
  • ASA Joint Statistical Meeting 2015, speaker, August 8-13, 2015, Seattle, US.
  • International Conference on Applied Statistics 2015 (ICAS 2015), invited speaker, July 15-17, 2015, Pattaya, Thailand.
  • “Selected Topics in advanced Time Series Econometrics”, School of Economics, Chiang Mai University, lecturer, 12.4.2014-12.16.2014, Chiang Mai, Thailand.
  • Niigata symposium, New Developments of theory and application of statistical science in various fields, invited speaker, topic on Bayesian Inference for Time Series of Counts Models, October 24-26, 2014, Niigata University, Japan.
  • Project Research Seminar on Financial and Pension Mathematics, invited speaker, topic on Evidence of Stock Returns and Abnormal Trading Volume: A Quantile Regression Approach, October 22, 2014, Waseda University, Japan.
  • The 21st International Conference on Computational Statistics (COMPSTAT 2014), invited speaker, topic on Bayesian assessment of dynamic quantile forecasts, August 19-22, Geneva, Switzerland.
  • The third IMS-APRM (Institute of Mathematical Statistics, Asia Pacific Rim Meeting), invited speaker, topic on Bayesian Inference for Time Series of Counts Based on Generalized Autoregressive Conditional Poisson Models, June 29-July 3, 2014, Taipei, Taiwan.
  • International Conference on Applied Statistics 2014 (ICAS 2014), invited speaker for Special Topic (CRN): “Direction of Statistics in Asia: Bayesian Time Series”, May 21-24, 2014, Khon Kaen, Thailand.
  • Seminar, topic on Time Series Analysis in Epidemiology, May 31 2014, Institute of Biostatistics, China Medical University, Taichung, Taiwan.
  • Nishi-Izu Seminar, invited speaker, topic on Bayesian Unit Root Test in Double Markov Switching Heteroskedastic Models, March 6-8, 2014, Toi, Nishi Izu, Japan.
  • Waseda International Symposium on “Stable Process, Semimartingale, Finance & Pension Mathematics", invited speaker, topic on Bayesian estimation of smoothly mixing time-varying parameter GARCH models, March 3-5, 2014, Waseda University, Japan.
  • Seminar at WISE Xiamen University, invited speaker/visitor, topic on Bayesian Forecasting time-varying parameter GARCH models, February 23-28, 2014, WISE, Xiamen University, China.
  • Seminar at Hitotsubashi University, invited speaker/visitor, topic on Bayesian Forecasting time-varying parameter GARCH models, January 21-25, 2014, Hitotsubashi University, Japan.
  • The 7th International Conference of the Thailand Econometric Society, invited speaker, topic on Pairs Trading via a Three-Regime Threshold Autoregressive GARCH Model, January 8-9, 2014, Chiang Mai, Thailand.

 

論文/著作

Publications in Recent 10 Years

Journal Articles and Book Sections

“*”: Corresponding author

    : indicates supervised MSc, PhD or Postdoc

2019

  • Chen*, C.W.S. and Khamthong, K. (Ph.D. st) (3/2019) Bayesian modelling of nonlinear negative binomial integer-valued GARCHX models, Statistical Modelling, forthcoming. [MOST 107-2118-M-035-005-MY2] (2017 SCI Statistics & Probability, Rank 40/123, Impact Factor 1.429)
  • Chen*, C.W.S., Khamthong, K. (Ph.D. st), and Lee, S. (3/2019) Markov switching integer-valued generalized auto-regressive conditional heteroscedastic models for dengue counts, Journal of the Royal of Statistical Society Series CApplied Statistics, https://doi.org/10.1111/rssc.12344. [MOST 107-2118-M-035-005-MY2] (2017 SCI Statistics & Probability, Rank 27/123, Impact Factor 1.750)
  • Chen*, C.W.S., Lin, T.Y., Huang, T.Y. (3/2019) Incorporating volatility in tolerance intervals for pair-trading strategy and backtesting, Journal of Risk Model Validation, 13, 63–94, DOI: 10.21314/JRMV.2019.202. [MOST 105-2118-M-035-003-MY2.] (2017 SSCI Business, Finance Rank 90/98, Impact Factor 0.485).
  • Dong, M.C. (Ph.D. st), Chen*, C.W.S., Lee, S., and Sriboonchitta, S. (1/2019) How Strong is the Relationship among Gold and USD Exchange Rates? Analytics based on Structural Change Models, Computational Economics, 53, 343-366. DOI 10.1007/s10614-017-9743-z. [MOST 104-2410-H-035-004 and MOST 105-2118-M-035-003-MY2.] (2017 SSCI Economics, Rank 193/353, Management, Rank 173/210, Impact Factor 1.038)
  • Chen*, C.W.S., Than-Thi, H. (Ph.D. st), and So, M.K.P. (1/2019) On hysteretic vector autoregressive model with applications, Journal of Statistical Computation and Simulation, 89, 191-210.  [MOST 105-2118-M-035-003-MY2]  (2017 SCI Statistics & Probability, Rank 74/123, Impact Factor 0.869)
  • Than-Thi, H. (Ph.D. st), Dong, M.C. (Ph.D. st), Chen*, C.W.S. (1/2019) Bayesian modelling structural changes on housing price dynamics, In Kreinovich V., Sriboonchitta S. (eds.) Structural Changes and their Econometric Modeling, Studies in Computational Intelligence, 808, 83-104. [MOST 107-2118-M-035-005-MY2] 

2018

  • Chen*, C.W.S. and Watanabe, T. (9/2018) Bayesian modeling and forecasting of Value-at-Risk via threshold realized volatility, Applied Stochastic Models in Business and Industry, DOI: 10.1002/asmb.2395.  [MOST 104-2410-H-035-004, MOST 105-2118-M-035-003-MY2]  (2017 SCI Statistics & Probability, Rank 59/123, Impact Factor 1.062)
  • Chen*, C.W.S., M.C. Cheng, and Sriboonchitta, S. (6/2018) Predictive analytics of Taiwan inbound tourism from ASEAN 5, International Journal of Tourism Sciences, 18, 124–138. [MOST 105-2118-M-035-003-MY2).]
  • Dong, M.C. (Ph.D. st), Tian, S., and Chen*, C.W.S. (3/2018) Predicting failure risk using financial ratios: Quantile hazard model approach, The North American Journal of Economics and Finance, 44, 204-220. https://doi.org/10.1016/j.najef.2018.01.005. [MOST 105-2118-M-035-003-MY2).] (2017 SSCI Business, Finance Rank 58/98, Economics Rank 182/353, Impact Factor 1.098).
  • Chen, C.W.S., Hsieh, Y.H., Su, H.C., and Wu, J.J. (02/2018) Causality test of ambient fine particles and human influenza in Taiwan: Age group-specific disparity and geographic heterogeneity, Environment International, 111, 354-361. https://doi.org/10.1016/j.envint.2017.10.011 [MOST 105-2118-M-035-003-MY2).] (2017 SCI Environmental sciences, Rank 7/242, Impact Factor 7.297)
  • Chen*, C.W.S. and Sun, Y.W. (01/2018) Bayesian Forecasting for Tail Risk, in V. Kreinovich et al. (eds.), Predictive Econometrics and Big Data, Studies in Computational Intelligence 753, 122-145. [MOST 105-2118-M-035-003-MY2).] https://doi.org/10.1007/978-3-319-70942-0_6

2017

  • Chen*, C.W.S. and Lee, S. (8/2017) Bayesian causality test for integer-valued time series models with applications to climate and crime data, Journal of the Royal of Statistical Society Series CApplied Statistics, 66, 797-814. [MOST 105-2118-M-035-003-MY2 and MOST 103-2118-M-035-002-MY2] (2017 SCI Statistics & Probability, Rank 27/123, Impact Factor 1.750)
  • Lee, S., Park, S., and Chen*, C.W.S. (8/2017) On Fisher's dispersion test for integer-valued autoregressive Poisson models with applications, Communications in Statistics - Theory and Methods, 46, 9985-9994. [MOST 103-2118-M-035-002-MY2] (2017 SCI Statistics & Probability, Rank 119/123, Impact Factor 0.353)
  • Chen*, C.W.S., Hsu, Y.T., and Taniguchi, M. (8/2017) Discriminant analysis by quantile regression with application on the climate change problem, Journal of Statistical Planning and Inference, 187, 17-27. [MOST 103-2118-M-035-002-MY2 and MOST 105-2118-M-035 -003 -MY2] (2017 SCI Statistics & Probability, Rank 83/123, Impact Factor 0.814)
  • Truong, B.C. (Ph.D. st), Chen*, C.W.S., and Sriboonchitta, S. (7/2017) Hysteretic Poisson INGARCH model for integer-valued time series, Statistical Modelling, 17, 1-22. [MOST 105-2118-M-035-003-MY2 and MOST 103-2118-M-035-002-MY2] (2017 SCI Statistics & Probability, Rank 40/123, Impact Factor 1.429)
  • Chen*, C.W.S., Weng, M.M.C., and Watanabe, T. (7/2017) Bayesian forecasting of Value-at-Risk based on variant smooth transition heteroskedastic models, Statistics and Its Interface, 10, 451-470. [MOST 103-2118-M-035-002-MY2 and MOST 104-2410-H-035-004] (2017 SCI Mathematics, Interdisciplinary Applications, Rank 98/103, Impact Factor 0.398)
  • Chen*, C.W.S. and Lin, T.Y. (5/2017) Nonparametric tolerance limits for pair trading, Finance Research Letters, 21, 1-9. [MOST 104-2410-H-035-004 and MOST 103-2118-M-035-002-MY2](2017 SSCI Business, Finance Rank 59/98, Impact Factor 1.085)
  • Gerlach, R. and Chen*, C.W.S. (2/2017) Semi-parametric expected shortfall forecasting in financial markets, Journal of Statistical Computation and Simulation, 87, 1084-1106. [MOST 105-2118-M-035-003-MY2] (2017 SCI Statistics & Probability, Rank 74/123, Impact Factor 0.869)
  • Chen*, C.W.S., Khamthong, K. (Ph.D. st), and Lee, S. (2/2017) Structural breaks of CAPM-type market model with heteroskedasticity and quantile regression, in V. Kreinovich, et al. (eds.), Robustness in Econometrics, Springer International Publishing Switzerland, 692, 111-134. [MOST 105-2118-M-035-003-MY2 and MOST 103-2118-M-035-002-MY2]
  • Chen*, C.W.S., Wang, Z., Sriboonchitta, S., and Lee, S. (1/2017) Pair trading based on quantile forecasting of smooth transition GARCH models, the North American Journal of Economics and Finance, 39, 38-55.  [MOST 104-2410-H-035-004 and MOST 103-2118-M-035-002-MY2] (2017 SSCI Business, Finance Rank 58/98, Economics Rank 182/353, Impact Factor 1.098).
  • Chen*, C.W.S., Li, M., Nguyen, N.T.H., and Sriboonchitta, S. (1/2017) On asymmetric market model with heteroskedasticity and quantile regression, Computational Economics, 49, 155-174. DOI 10.1007/s10614-015-9550-3. [MOST 104-2410-H-035-004 and MOST 103-2118-M-035-002-MY2] (2017 SSCI Economics, Rank 193/353, Management, Rank 173/210, Impact Factor 1.038)

2015-2016       

  • Truong, B.C. (Ph.D. st), Chen*, C.W.S., and So, M.K.P. (11/2016) Model selection of a switching mechanism for financial time series, Applied Stochastic Models in Business and Industry, 32, 836-851. DOI: 10.1002/asmb.2205.  [MOST 103-2118-M-035-002-MY2]  (2017 SCI Statistics & Probability, Rank 59/123, Impact Factor 1.062)
  • Gerlach, R., Chen*, C.W.S., and Lin, E.M.H. (11/2016) Bayesian assessment of dynamic quantile forecasts, Journal of Forecasting, 35, 751-764. DOI: 10.1002/for.2408. [MOST 103-2118-M-035-002-MY2] (2017 SSCI Management, Rank 179/210, Economics, Rank 220/353, Impact Factor 0.934)
  • Chen*, C.W.S. and Truong, B.C. (Ph.D. st) (10/2016) On double hysteretic heteroskedastic model, Journal of Statistical Computation and Simulation, 86, 2684-2705. DOI 10.1080/00949655.2015.1123262. (2017 SCI Statistics & Probability, Rank 74/123, Impact Factor 0.869) [MOST 103-2118-M-035-002-MY2 and MOST 104-2410-H-035-004]
  • Chen*, C.W.S., So, M.K.P., Li, J., and Sriboonchitta, S. (7/2016) Autoregressive Conditional Negative Binomial Model Applied to Over-dispersed Time Series of Counts. Statistical Methodology, 31, 73-90. http://dx.doi.org/10.1016/j.stamet.2016.02.001. [MOST 103-2118-M-035-002-MY2] (2016 SCI Statistics & Probability, Rank 89/124, Impact Factor 0.670)
  • Chen*, C.W.S. and Lee, S. (7/2016) Generalized Poisson autoregressive models for time series of counts. Computational Statistics & Data Analysis, 99, 51-67. DOI: 10.1016/j.csda.2016.01.009. [MOST 103-2118-M-035-002-MY2] (2017 SCI Statistics & Probability, Rank 52/123, Computer Science Interdisciplinary Applications, Rank 81/105, Impact Factor 1.181)
  • Lee, S., Lee, Y., and Chen, C.W.S. (5/2016) Parameter change test for zero-inflated generalized Poisson autoregressive models, Statistics, 50, 540-557. DOI:10.1080/02331888.2015.1083020. (2017 SCI Statistics & Probability, Rank 102/123, Impact Factor 0.606) [MOST 103-2118-M-035-002-MY2]
  • Chen*, C.W.S., Lee, S., and Chen, S.Y. (Ph.D. st) (3/2016) Local non-stationarity test in mean for Markov switching GARCH models: an approximate Bayesian approach, Computational Statistics, 31, 1-24. DOI 10.1007/s00180-015-0624-4.  (2017 SCI Statistics & Probability, Rank 80/123, Impact Factor 0.828) [MOST 103-2118-M-035-002-MY2]
  • Chen*, C.W.S. and Lee, S. (3/2016) A local unit root test in mean for financial time series, Journal of Statistical Computation and Simulation, 86, 788-806. DOI:10.1080/00949655.2015.1037765. (2017 SCI Statistics & Probability, Rank 74/123, Impact Factor 0.869) [MOST 103-2118-M-035-002-MY2]
  • Chen*, C.W.S., So, M.K.P., and Chiang, T.C. (3/2016) Evidence of stock returns and abnormal trading volume: a threshold quantile regression approach, Japanese Economic Review, 67, 96-124. DOI: 10.1111/jere.12074, (2017 SSCI Economics, Rank 337/353, Impact Factor 0.260)
  • Gerlach, R. and Chen*, C.W.S. (1/2016) Bayesian expected shortfall forecasting incorporating the intraday range, Journal of Financial Econometrics, 14, 128-158. (2017 SSCI Business, Finance Rank 33/98, Economics Rank 103/353, Impact Factor 1.686). [NSC 101-2118-M-035-006-MY2]

2014                 

  • Chen*, C.W.S., Gerlach, R., and Lin, E.M.H. (Postdoc) (8/2014) Bayesian estimation of smoothly mixing time-varying parameter GARCH models, Computational Statistics & Data Analysis, 76, 194-209.  (2017 SCI Statistics & Probability, Rank 52/123, Computer Science Interdisciplinary Applications, Rank 81/105, Impact Factor 1.181) [NSC 99-2118-M-035-001-MY2 and NSC 101-2118-M-035-006-MY2]
  • Choy, S.T.B., Chen*, C.W.S., and Lin, E.M.H. (Ph.D. st) (7/2014) Bivariate asymmetric GARCH models with heavy tails and dynamic conditional correlations, Quantitative Finance, 14, 1297 - 1313.  [NSC 99-2118-M-035-001-MY2, NSC96-2118-M-035-002-MY3] (2017 SSCI Business, Finance Rank 55/98, Economics Rank 169/353, Social Sciences, Mathematical Methods, Rank 26/49, SCI Mathematics, interdisciplinary applications, Rank 55/102, Impact Factor 1.170)
  • Chen*, C.W.S., Chen, M., and Chen, S.Y. (Ph.D. st) (2014) Pairs trading via three-regime threshold autoregressive GARCH models, in Modeling Dependence in Econometrics, Advances in Intelligent Systems and Computing, Huynh et al. (eds.), Springer International Publishing Switzerland, 127-140. [NSC 101-2118-M-035-006-MY2]

2013                  

  • Chen*, C.W.S., Liu, F.C., (Ph.D. st) and So, M.K.P. (12/2013) Threshold variable selection of asymmetric stochastic volatility models, Computational Statistics, 28, 2415-2447.  [NSC 99-2118-M-035-001-MY2 and NSC 101-2118-M-035-006-MY2] (2017 SCI Statistics & Probability, Rank 80/123, Impact Factor 0.828)
  • Chen*, C.W.S., Chen, S.Y., (Ph.D. st) and Lee, S. (11/2013) Bayesian unit root test in double threshold heteroskedastic models, Computational Economics, 42, 471-490. [NSC 101-2118-M-035-006-MY2] (2017 SSCI Economics, Rank 193/353, Management, Rank 173/210, Impact Factor 1.038)
  • Chen*, C.W.S. and Gerlach, R. (7/2013) Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity, Computational Statistics, 28, 1103-1131.  [NSC 99-2118-M-035-001-MY2] (2017 SCI Statistics & Probability, Rank 80/123, Impact Factor 0.828)
  • Yu, K., Chen*, C.W.S., Reed, C. and Dunson, D.B. (6/2013) Bayesian variable selection in quantile regression, Statistics and Its Interface, 6, 261-274. [NSC 99-2118-M-035-001-MY2 and NSC 101-2118-M-035 -006 -MY2] (2017 SCI Mathematics, Interdisciplinary Applications, Rank 98/103, Impact Factor 0.398)
  • Chen*, C. W. S., Lin, E. M. H., (Postdoc) and Lin, Y.R. (2013) A Bayesian perspective on mixed GARCH models with jumps, in Uncertainty Analysis in Econometrics with Applications, Huynh et al. (eds.), Springer Verlag, 141-154. [NSC101-2118-M-035-006-MY2]

2012

  • Chen*, C.W.S., Gerlach, R., Lin, E.M.H., (Postdoc) and Lee, W.C.W. (12/2012) Bayesian forecasting for financial risk management, pre and post the global financial crisis, Journal of Forecasting, 31, 661-687. [NSC 96-2118-M-035-002-MY3]  (2017 SSCI Management, Rank 179/210, Economics, Rank 220/353, Impact Factor 0.934)
  • Chan, J.S.K., Lam, C.P.Y., Yu, P.L.H., Choy, S.T.B. and Chen, C.W.S. (11/2012) Bayesian conditional autoregressive geometric process model for range data, Computational Statistics & Data Analysis, 56, 3006-3019.  [NSC 96-2118-M-035-002-MY3] (2017 SCI Statistics & Probability, Rank 52/123, Computer Science Interdisciplinary Applications, Rank 81/105, Impact Factor 1.181)
  • Hsieh, Y.-H., Ruan, Y., Chen, C.W.S., Shi, W., Li, D., Luo, F., and Shao, Y. (8/2012) HIV prevalence and underreporting of men who have sex with men in Beijing, International Journal STD & AIDS, 23, 606-607. (2017 SCI Infectious diseases, Rank 73/88, Impact Factor 1.494)
  • Chen*, C.W.S., Gerlach, R., Hwang, RBK, and McAleer, M (5/2012) Forecasting Value-at-Risk using nonlinear regression quantiles and the intra-day range, International Journal of Forecasting, 28, 557–574. [NSC 99-2118-M-035-001-MY2, NSC96-2118-M-035-002-MY3] (2017 SSCI Management, Rank 94/210, Economics, Rank 69/353, Impact Factor 2.186)
  • Chen*, C.W.S., Lin, S., and Yu, P.L.H. (6/2012) Smooth transition quantile capital asset pricing models with heteroscedasticity, Computational Economics, 40, 19-48. [NSC 99-2118-M-035-001-MY2] (2017 SSCI Economics, Rank 193/353, Management, Rank 173/210, Impact Factor 1.038)
  • Lin, E.M.H., (Ph.D. st) 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] (2017 SSCI Management, Rank 94/210, Economics, Rank 69/353, Impact Factor 2.186)

2011

  • Chen*, C.W.S., Gerlach, R., and Liu, F.C. (Postdoc) (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] (2017 SCI Statistics & Probability, Rank 83/123, Impact Factor 0.814)
  • 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] (2017 SCI Statistics & Probability, Rank 20/123, Impact Factor 2.115)
  • 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] (2017 SSCI Business, Finance Rank 55/98, Economics Rank 169/353, Social Sciences, Mathematical Methods, Rank 26/49, SCI Mathematics, interdisciplinary applications, Rank 55/102, Impact Factor 1.170).
  • Chen*, C.W.S., So, M.K.P., and Liu, F.C. (Postdoc) (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] (2017 SCI Mathematics, Interdisciplinary Applications, Rank 98/103, Impact Factor 0.398)
  • 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] (2017 SCI Statistics & Probability, Rank 24/123, Computer Science, Theory & Methods, Rank 32/103, Impact Factor 1.851)
  • 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 Analysis55, 2276-2287.  [NSC 99-2118-M-035-001-MY2; NSC 96-2118-M-035-002-MY3] (2017 SCI Statistics & Probability, Rank 52/123, Computer Science Interdisciplinary Applications, Rank 81/105, Impact Factor 1.181)
  • Chen*, C.W.S., Liu, F.C., (Ph.D. st) 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 (2017 SCI Statistics & Probability, Rank 80/123, Impact Factor 0.828)

2010

  • 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] (2017 SCI Statistics & Probability, Rank 83/123, Impact Factor 0.814)
  • 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. (2017 SCI Mathematical & Computational Biology, Rank 40/59, Impact Factor 1.484)
  • 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]  (2017 SCI Statistics & Probability, Rank 59/123, Impact Factor 1.062)

A complete publication list can be found in Google Scholar.

研究 & 教學

Teaching at ISTM in Fall 2018/Spring 2019

  • Class Activity (FCU-SJSU Program Year 1)

 

Research Interests

  • Business Analytics
  • Time Series Analysis
  • Predictive Analytics and Forecasting
  • Financial Econometrics
  • Bayesian Methodology/ MCMC Methods
  • Computational Statistics
  • Statistical methods in Epidemiology

 

Research Grants

Grants awarded 1993-2020

  • Bayesian Nowcasting And Forecasting for Time Series MOST 107-2118-M-035 -005 -MY2 the Ministry of Science and Technology, Taiwan 2018/8-2020/7 Chief Investigator 
  • Multivariate Hysteretic Autoregressive Model: A Bayesian Approach MOST 105-2118-M-035 -003 -MY2  the Ministry of Science and Technology, Taiwan  2016/8-2018/7 Chief Investigator
  • Modelling and Forecasting Smooth Transition Realized Volatility MOST 104-2410-H-035-004 MOST: the Ministry of Science and Technology, Taiwan 2015/8-2016/7 Chief Investigator
  • Bayesian Inference of Time Series of Counts And Related Nonlinear Models MOST 103-2118-M-035 -002 -MY2  the National Science Council , Taiwan 2014/8-2016/7 Chief Investigator
  • Bayesian Estimation, Forecasting, And Testing for Financial Time Series NSC 101-2118-M-035 -006 –MY2 NSC: the National Science Council ,Taiwan 2012/8 -2014/7 Chief Investigator
  • Modelling Structure Changes in Financial Time Series: A Bayesian Approach NSC 99-2118-M-035 -001 –MY2 2010/8 -2012/7 Chief Investigator
  • Promoting Taiwan's International Visibility in Statistical Computing Research NSC 98-2911-I-035 -003 2009/8 -2012/7 Chief Investigator
  • Quantile inference to dynamic value at risk NSC 96-2118-M-035 -002 -MY3 2007/8 -2010/7 Chief Investigator
  • New Developments in Financial Econometrics III 1.1.2008 – 12.31.2008 07G27503 Chief Investigator
  • New Developments in Financial Econometrics II 3.1.2007 – 12.31.2007 06G27022 Chief Investigator
  • Testing for Nonlinearity And Asymmetry in Financial Time Series (1/2) (2/2) NSC94-2118-M-035-001, NSC95-2118-M-035-001 2005/8 -2006/7, 2006/8 -2007/7 Chief Investigator
  • New Developments in Financial Econometrics I 94GB67, FCU 1.1.2006 – 12.31.2006 Chief Investigator
  • Study of asymmetric volatility and forecasting volatility NSC93-2118-M-035-003 2004/8 -2005/7 Chief Investigator
  • Modeling of Financial Time Series Data NSC90-2118-M-035-008, NSC91-2118-M-035-002, NSC92-2118-M-035-001, 2001/8 –2004/7 Chief Investigator
  • Mathematical and Statistical modeling of HIV Epidemiology in Taiwan DOH91-DC-1059, DOH92-DC-1026 2002/1 – 2002/12, 2003/1 – 2003/12 Co-Investigator
  • The Investigation of the Social Science Research Methods FCU-RD-89-05, FCU-RD-90-05 2000/8 – 2002/7 Chief Investigator
  • On the Study of fractional cointegrated economic variables FCU-RD-90-051, FCU-RD-89-052 2000/ 8 – 2002/7 Chief Investigator
  • Bayesian Analysis of HIV Epidemic Model NSC90-2118-M-005-001 2001/8 – 2002/7 Co-Investigator
  • The Study of Goodness of Fit for Time Series Models: a Bayesian Approach NSC89-2118-M-035-003, NSC90-2118-M-035-001 1999/8 - 2001/7 Chief Investigator
  • Robust Bayesian Estimation and Model Selection in Nonlinear Time Series NSC87-2118-M-035-004, NSC88-2118-M-035-001 1997/8 –1999/7 Chief Investigator
  • Estimation and Prediction of Growth curve models NSC86-2115-M-009-027 1996/8 – 1997/7 Co-Investigator
  • On the Selection of Best Subset Threshold Autoregressive Time Series Models NSC86-2115-M-035-017 1996/8 – 1997/7 Chief Investigator
  • Application of Power Transformation in Nonlinear Time Series Models NSC 84-2121-M-035-007 1994/8 – 1995/7 Chief Investigator
  • Outliers Detection in Nonlinear Time Series NSC83-0208-M-035-011 1994/2 – 1994/7 Chief Investigator
  • Bayesian Analysis of Nonlinear Time Series NSC 82-0115-M-035-012-T 1993/4 – 1994/3 Chief Investigator