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Browsing by Author "Chen, Cathy Yi-Hsuan"
Now showing items 1-11 of 11
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2016-08-30BuchA first econometric analysis of the CRIX family Chen, Shi; Chen, Cathy Yi-Hsuan; Härdle, Wolfgang Karl; Lee, TM; Ong, BobbyThe 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 ...
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2017-07-04DiskussionspapierAdaptive weights clustering of research papers Adamyan, Larisa; Efimov, Kirill; Chen, Cathy Yi-Hsuan; Härdle, Wolfgang KarlThe 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 ...
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2015-08-24BuchCopula-Based Factor Model for Credit Risk Analysis Lu, Meng-Jou; Chen, Cathy Yi-Hsuan; Härdle, Wolfgang KarlA 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 ...
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2017-05-29DiskussionspapierData science & digital society Chen, Cathy Yi-Hsuan; Härdle, Wolfgang KarlData 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 ...
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2016-01-07BuchDownside riskand stock returns An empirical analysis ofthe long-run and short-run dynamics from the G-7 CountriesChen, Cathy Yi-Hsuan; Chiang, Thomas C.; Härdle, Wolfgang KarlThis 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 ...
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2016-12-29DiskussionspapierDynamic credit default swaps curves in a network topology Xu, Xiu; Chen, Cathy Yi-Hsuan; Härdle, Wolfgang KarlSystemically 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 ...
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2017-05-29DiskussionspapierIndustry Interdependency Dynamics in a Network Context Qian, Ya; Härdle, Wolfgang Karl; Chen, Cathy Yi-HsuanThis 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 ...
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2017-01-31DiskussionspapierTail event driven networks of SIFIs Chen, Cathy Yi-Hsuan; Härdle, Wolfgang Karl; Okhrin, YaremaThe 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 ...
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2014-08-29BuchThe integration ofcredit default swapmarkets in the pre andpost-subprime crisis incommon stochastic trends Chen, Cathy Yi-Hsuan; Härdle, Wolfgang Karl; Pham-Thu, HienIt 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 ...
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2017-08-23DiskussionspapierThe systemic risk of central SIFIs Chen, Cathy Yi-Hsuan; Nasekin, SergeySystemic 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 ...
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2016-02-18BuchWhat Derives theBond Portfolio Value-at-Risk Information Rolesof Macroeconomic and Financial Stress FactorsTu, Anthony H.; Chen, Cathy Yi-HsuanThis 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 ...