Publications

Cathy Yi-Hsuan Chen, Yarema Okhrin, Tengyao Wang, 2021. ‘Monitoring network changes in social media’, forthcoming in Journal of Business & Economic Statistics.

Cathy Yi-Hsuan Chen, Matthias Fengler, Wolfgang K. Härdle, Yanchu Liu. 'Media-expressed Tone, Option Characteristics, and Stock Return Predictability', forthcoming in Journal of Economic Dynamics and Control.

Cathy Yi-Hsuan Chen, Wolfgang K. Härdle, Yegor Klochkov, 2021. ‘SONIC: SOcial Network with Influencers and Communities’, forthcoming in Journal of Econometrics.

Andrija Mihoci, Wolfgang K. Härdle, Cathy Yi-Hsuan Chen, 2021. ‘TERES: Tail Event Risk Expectile based Shortfall’, Quantitative Finance, 21, 449-460.

Cathy Yi-Hsuan Chen, Sergey Nasekin, 2020. ‘Quantifying systemic risk with factor copulas’, The European Journal of Finance, 26, 1926-1947.

Ai Jun Hu, Weining Wang, Cathy Yi-Hsuan Chen, Wolfgang K. Härdle, 2020. ‘Pricing Cryptocurrency Options’, Journal of Financial Econometrics, 18(2), 250-279.

Sergey Nasekin, Cathy Yi-Hsuan Chen, 2020. ‘Deep learning-based cryptocurrency sentiment construction’, Digital Finance, 2, 39-67.

Andrija Mihoci, Michael Althof, Cathy Yi-Hsuan Chen, Wolfgang K. Härdle, 2020. ‘FRM Financial Risk Meter’, Advances in Econometrics, 42.

Larisa Adamyan, Wolfgang K. Härdle and Cathy Yi-Hsuan Chen, 2020. ‘Adaptive weights clustering of research papers’, Digital Finance, 2, 169-187.

Qian, Y., Hardle, W. and Cathy Yi-Hsuan Chen, 2020. ‘Modelling industry interdependency dynamics in a network context’. Studies in Economics and Finance, 37(1), 50-70.

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

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

Xu Xiu, Cathy Yi-Hsuan Chen, Wolfgang K. Härdle, 2019. ‘Dynamic default swaps curves in a network topology’, Quantitative Finance, 19(10), 1705-1726.

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.

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.

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.

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.

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