Browsing by Author "Chen, Cathy Yi-Hsuan"

Now showing items 1-11 of 11

2016-08-30Buch

A first econometric analysis of the CRIX family

Chen, Shi; Chen, Cathy Yi-Hsuan; Härdle, Wolfgang Karl; Lee, TM; Ong, Bobby

The CRIX (CRyptocurrency IndeX) has been constructed based on approximately 30 cryptos and captures high coverage of available market capitalisation. The CRIX index family covers a range of cryptos based on different ...
2017-07-04Diskussionspapier

Adaptive weights clustering of research papers

Adamyan, Larisa; Efimov, Kirill; Chen, Cathy Yi-Hsuan; Härdle, Wolfgang Karl

The JEL classification system is a standard way of assigning key topics to economic articles in order to make them more easily retrievable in the bulk of nowadays massive literature. Usually the JEL (Journal of Economic ...
2015-08-24Buch

Copula-Based Factor Model for Credit Risk Analysis

Lu, Meng-Jou; Chen, Cathy Yi-Hsuan; Härdle, Wolfgang Karl

A standard quantitative method to access credit risk employs a factor model based on joint multi- variate normal distribution properties. By extending a one-factor Gaussian copula model to make a more accurate default ...
2017-05-29Diskussionspapier

Data science & digital society

Chen, Cathy Yi-Hsuan; Härdle, Wolfgang Karl

Data Science looks at raw numbers and informational objects created by different disciplines. The Digital Society creates information and numbers from many scientiHic disciplines. The amassment of data though makes is hard ...
2016-01-07Buch

Downside riskand stock returns

An empirical analysis ofthe long-run and short-run dynamics from the G-7 Countries

Chen, Cathy Yi-Hsuan; Chiang, Thomas C.; Härdle, Wolfgang Karl

This paper presents presents presents a fractionally cointegrated vector autoregression (FCVAR) (FCVAR) (FCVAR) (FCVAR) model to examine to examine to examine to examine to examine to examine to examine various relations ...
2016-12-29Diskussionspapier

Dynamic credit default swaps curves in a network topology

Xu, Xiu; Chen, Cathy Yi-Hsuan; Härdle, Wolfgang Karl

Systemically important banks are connected and have dynamic dependencies of their default probabilities. An extraction of default factors from cross-sectional credit default swaps (CDS) curves allows to analyze the shape ...
2017-05-29Diskussionspapier

Industry Interdependency Dynamics in a Network Context

Qian, Ya; Härdle, Wolfgang Karl; Chen, Cathy Yi-Hsuan

This paper contributes to model the industry interconnecting structure in a network context. General predictive model (Rapach et al. 2016) is extended to quantile LASSO regression so as to incorporate tail risks in the ...
2017-01-31Diskussionspapier

Tail event driven networks of SIFIs

Chen, Cathy Yi-Hsuan; Härdle, Wolfgang Karl; Okhrin, Yarema

The interdependence, dynamics and riskiness of financial institutions are the key features frequently tackled in financial econometrics. We propose a Tail Event driven Network Quantile Regression (TENQR) model which addresses ...
2014-08-29Buch

The integration ofcredit default swapmarkets in the pre andpost-subprime crisis incommon stochastic trends

Chen, Cathy Yi-Hsuan; Härdle, Wolfgang Karl; Pham-Thu, Hien

It was evident that credit default swap (CDS) spreads have been highly correlated during the recent financial crisis. Motivated by this evidence, this study attempts to investigate the extent to which CDS markets across ...
2017-08-23Diskussionspapier

The systemic risk of central SIFIs

Chen, Cathy Yi-Hsuan; Nasekin, Sergey

Systemic risk quantification in the current literature is concentrated on market-based methods such as CoVaR(Adrian and Brunnermeier (2016)). Although it is easily implemented, the interactions among the variables of ...
2016-02-18Buch

What Derives theBond Portfolio Value-at-Risk

Information Rolesof Macroeconomic and Financial Stress Factors

Tu, Anthony H.; Chen, Cathy Yi-Hsuan

This paper first develops a new approach, which is based on the Nelson-Siegel term structure factor-augmented model, to compute the VaR of bond portfolios. We then applied the model to examine whether information contained ...