Publications

Xu Xiu, Cathy Yi-Hsuan Chen, Wolfgang K. Härdle, 2019. ‘Dynamic default swaps curves in a network topology’, accepted and forthcoming in Quantitative Finance.

Cathy Yi-Hsuan Chen, Wolfgang K. Härdle, Yarema Okhrin, 2019. ‘Tail event driven networks of SIFIs’, Journal of Econometrics 208, 282-298. (SSCI)

Cathy Yi-Hsuan Chen, Christian M. Hafner, 2019. ‘Sentiment-Induced Bubbles in the Cryptocurrency Market ‘, Journal of risk and financial management, 12(2), 53.

I-Doun Kuo, Cathy Yi-Hsuan Chen, Kai-Min Huang, 2019. ‘Expectation hypothesis and term structure anomalies’, International Journal of Finance and Economics, 24, 1017-1029.

Cathy Yi-Hsuan Chen, Thomas C. Chiang, Wolfgang K. Härdle, 2018. ‘Downside risk and stock returns: an empirical analysis of the long-run and short-run dynamics from the G-7 countries’, Journal of Banking & Finance 93, 21-32. (SSCI)

Antony H. Tu., Cathy Yi-Hsuan Chen, 2018. ‘A factor-based approach of bond portfolio Value-at-Risk: The information roles of macroeconomic and financial stress factors’, Journal of Empirical Finance 45, 243-268. (SSCI)

Cathy Yi-Hsuan Chen, Thomas C. Chiang, 2017. ‘Surprises, sentiments, and the expectations hypothesis of the term structure of interest rates, Review of Quantitative Finance and Accounting 49(1), 1-28. (leading article).

Meng-Jou Lu, Cathy Yi-Hsuan Chen, Wolfgang K. Härdle, 2017. ‘Copula-based factor model for credit risk analysis’, Review of Quantitative Finance and Accounting 49, 949-971.

Junni Zhang, Wolfgang K. Härdle, Cathy Yi-Hsuan Chen, Elisabeth Bommes, 2016. 'Distillation of news flow into analysis of stock reactions', Journal of Business & Economic Statistics 34, 547-563(SSCI) 

Cathy Yi-Hsuan Chen, Thomas C. Chiang, 2016. 'Empirical analysis of the intertemporal relation between downside risk and expected returns: Evidence from time-varying transition probability models', European Financial Management 22, 749-796 (leading article)(SSCI) 

Cathy Yi-Hsuan Chen, Wolfgang K. Härdle, 2015. 'Common factors in credit defaults swaps markets', Computational Statistics 30, 845-863. (SCI)

Cathy Yi-Hsuan Chen, I-Doun Kuo, 2015. 'Survey sentiment and interest rate option smile', International Review of Economics & Finance 37, 125-137. (SSCI).

Cathy Yi-Hsuan Chen, 2014. 'Does fear spill over?' Asia-Pacific Journal of Financial Studies 43(4), 465-491. (SSCI).

Cathy Yi-Hsuan Chen, I-Doun Kuo, Thomas C. Chiang, 2014. 'What explains deviations in the unbiased expectations hypothesis? Market irrationality vs. the peso problem', Journal of International Financial Markets, Institutions & Money 30, 172-190. (SSCI)

Cathy Yi-Hsuan Chen, I-Doun Kuo, 2014. 'Investor sentiment and interest rate volatility smile: Evidence from Eurodollar options markets', Review of Quantitative Finance and Accounting 43, 367-391.

Cathy Yi-Hsuan Chen, Anthony H. Tu., 2013. 'Estimating hedged portfolio value-at-risk using the conditional copula: An illustration of model risk', International Review of Economics & Finance 27, 514-528. (SSCI)

I-Doun Kuo, Cathy Yi-Hsuan Chen, 2011. 'Regime dependent information contents of model-free volatility: Evidence from the Eurodollar options markets', Review of Futures Markets 19, 347-380. 

Kehluh Wang, Cathy Yi-Hsuan Chen and Szu-Wei Huang, 2011. 'The dynamic dependence between the Chinese market and other international stock markets: A time-varying copula approach', International Review of Economics & Finance 20, 654-664. (SSCI)