Research

Publications

Journal Articles and Book Sections

“*”: Corresponding author

___: indicates supervised MSc, PhD or Postdoc

2025

1. Chen*, C.W.S., Po-Hui Chen, and Ying-Lin Hsu (1/2025) Bayesian forecasting of value-at-risk and expected shortfall in cryptocurrency markets: a nonlinear semi-parametric framework, Applied Stochastic Models in Business and Industry, DOI: 10.1002/asmb.2926. [NSTC112-2118-M-035-001-MY3] (2023 SCI Statistics & Probability, IF 1.3)

2. Chen*, C.W.S., Chu, B.X.Y., and Dou, X. (2025) Forecasting the impact of economic indicators on suicides in Japan: A comparative study of pre-pandemic, COVID-19, and post-pandemic periods, in V. Kreinovich et al. (eds.), Data Science for Econometrics and Related Topics, Studies in Systems, Decision, and Control, accepted, Springer Nature. [NSTC112-2118-M-035-001-MY3]

3. Bai, Q., Chen*, C.W.S., and Tian, S. (1/2025) The impact of news-based and Twitter-based economic uncertainty on realized volatility: Asymmetric effect with threshold quantile ARX model, Computational Economics, DOI: 10.1007/s10614-024-10818-8. [NSTC112-2118-M-035-001-MY3] (2022 SSCI Management, Economics, IF 2.0)

2024

4. Chen*, C.W.S., Hsieh, S.H., Yu, D.L., Rich, T.S. (11/2024) Unpacking the opinion of Taiwanese on COVID-19 policies: going beyond simple aggregate satisfaction, Thailand Statistician, accepted. [MOST 109-2118-M-035-005-MY3, NSTC112-2118-M-035-001-MY3] (2022, ESCI Statistics & Probability)

5. Chen*, C.W.S. and Chien, C.T.S. (12/2024) Improving quantile forecasts via realized double hysteretic GARCH model in stock markets, Computational Economics, 64, 3447–3471. [NSTC112-2118-M-035-001-MY3] (2022 SSCI Economics, Management, IF 2.0)

6. Chen*, C.W.S., Koike, T., and Shau, W.H. (8/2024) Tail risk forecasting with semi-parametric regression models by incorporating overnight information, Journal of Forecasting, 43, 1492-1512. [NSTC112-2118-M-035-001-MY3] (2021 SSCI Management, Economics, IF 2.627)

7. Chen*, C.W.S. and Chen, C.S. (3/2024) Spatial-temporal hurdle model vs. spatial zero-inflated GARCH model: analysis of weekly dengue fever cases, Stochastic Environmental Research and Risk Assessment, 38, 2119-2134. [NSTC112-2118-M-035-001-MY3] (2021 SCIE Statistics & Probability, IF 4.2)

8. Pingal, A.C. (Ph.D. st) and Chen*, C.W.S. (2/2024) Bayesian modelling of integer-valued transfer function models, Statistical Modelling, 24, 29-57. [MOST 109-2118-M-035-005-MY3] (2020 SCIE Statistics & Probability, IF 2.039)

9. Liu, F.C., Chen, C.W.S., Ho, C.Y. (1/2024) Bayesian forecasting of bounded Poisson distributed time series, Entropy, 26, 16. [NSTC112-2118-M-035-001-MY3] (2021 SCIE Physics, Multidisciplinary IF 2.738)

2023

10. Chen*, C.W.S., Watanabe, T., and Lin, E.M.H. (10/2023) Bayesian estimation of realized GARCH-type models with application to financial tail risk management, Econometrics and Statistics, 28, 30-46. [MOST 109-2118-M-035-005-MY3] (2021 ESCI, IF 1.9)

11. Chen*, C.W.S., Chen, C.S., and Hsiung, M.H. (8/2023) Bayesian modeling of spatial integer-valued time series, Computational Statistics & Data Analysis, 188, 107827. [MOST 109-2118-M-035-005-MY3] (2021 SCI Statistics & Probability, IF 2.035)

12. Wang, K.Y.K., Chen*, C.W.S., and So, M.K.P. (2/2023) Quantile three-factor model with heteroskedasticity, skewness, and leptokurtosis, Computational Statistics & Data Analysis, 182, 107702. [MOST 109-2118-M-035-005-MY3] (2021 SCI Statistics & Probability, IF 2.035)

13. Chen*, C.W.S., Liu, F.C., Pingal, A.C. (Ph.D. st) (1/2023) Integer-valued transfer function models for counts that show zero inflation, Statistics and Probability Letters, 19, 109701. [MOST 109-2118-M-035-005-MY3] (2020 SCI Statistics & Probability, IF 0.870)

14. Chen*, C.W.S., Hsu, H.Y., and Watanabe, T. (1/2023) Tail risk forecasting of realized volatility CAViaR models, Finance Research Letters, 51, 103326. [MOST 109-2118-M-035-005-MY3] (2021 SSCI Business, Finance Rank, 1/111, IF 9.848)

15. Dong, M.C. (Ph.D. st), Chen*, C.W.S., and Asai, M.  (1/2023) Bayesian non-linear quantile effects on modelling realized kernels, International Journal of Finance and Economics, 28, 981-995. https://doi.org/10.1002/ijfe.2459 [MOST 107-2118-M-035-005-MY2, MOST 109-2118-M-035-005-MY3] (2020 SSCI Business, Finance, IF 3.070)

2022

16. So, M.K.P. and Chen*, C.W.S. (11/2022) Discussion of “Multivariate Dynamic Modeling for Bayesian Forecasting of Business Revenue”. Applied Stochastic Models in Business and Industry, https://doi.org/10.1002/asmb.2725. [MOST 109-2118-M-035-005-MY3] (2021 SCI Statistics & Probability, IF 1.497)

17. Chen*, C.W.S., Lin, E.M.H., and Huang, T.F.J. (10/2022) Bayesian quantile forecasting via the realized hysteretic GARCH model, Journal of Forecasting, 41, 1317-1337. [MOST 109-2118-M-035-005-MY3] (2021 SSCI Management, Economics, IF 2.627)

18. Chen*, C.W.S., So, M.K.P., and Liu, F.C. (8/2022) Assessing government policies’ impact on the COVID-19 pandemic and elderly deaths in East Asia, Epidemiology and Infection, 150, E161, https://doi.org/10.1017/S0950268822001388 [MOST 109-2118-M-035-005-MY3] (2021 SCI Infectious Diseases, Public, Environmental & Occupational Health, IF 4.434)

19. Chen*, C.W.S. and Fan, T.H. (3/2022) Public opinion concerning governments’ response to the COVID-19 pandemic, PLoS ONE, 17(3): e0260062. https://doi.org/10.1371/journal.pone.0260062. [MOST 109-2118-M-035-005-MY3] (2021 SCI Multidisciplinary Sciences, IF 3.752)

2021

20. Chen*, C.W.S. and Chiu, L.M. (9/2021) Ordinal time series forecasting of the air quality index, Entropy, 23, 1167. https://doi.org/10.3390/e23091167 [MOST 109-2118-M-035-005-MY3] (2021 SCI Physics, Multidisciplinary IF 2.738)

21. Chen*, C.W.S. and Lee, B. (9/2021) Bayesian inference of multiple structural change models with asymmetric GARCH errors, Statistical Methods and Applications, 30, 1053–1078. [MOST 107-2118-M-035-005-MY2.] (2020 SCI Statistics & Probability, IF 1.314)

22. Chen*, C.W.S., Than-Thi, H. (Ph.D. st), and Asai, M. (8/2021) On a bivariate hysteretic autoregressive model with conditional asymmetry in correlations, Computational Economics, 58, 413–433.  [MOST 107-2118-M-035-005-MY2] (2020 SSCI Economics, Management, IF 1.876)

23. Chen*, C.W.S., Lee, S., Dong, M.C. (Postdoc), and Taniguchi, M. (1/2021) What factors drive the satisfaction of citizens on governments’ responses to COVID-19? International Journal of Infectious Diseases, 102, 327-331. [MOST109-2118-M-035-005-MY3] (2021 SCI Infectious Diseases, IF 12.073)

24. Lin, T.Y., Chen*, C.W.S., and Syu, F.Y. (1/2021) Multi-asset pair-trading strategy: A statistical learning approach, North American Journal of Economics and Finance, 55, 101295. [MOST 107-2118-M-035-005-MY2).] (2021 SSCI Business, Finance, Economics, IF 3.136).

25. Chen*, C.W.S., Lee, S., and Khamthong, K. (Ph.D. st) (1/2021) Bayesian inference of nonlinear hysteretic integer-valued GARCH models for disease counts, Computational Statistics, 36, 261-281. [MOST 107-2118-M-035-005-MY2] (2021 SCI Statistics & Probability, IF 1.405)

2020

26. Chen*, C.W.S. and Khamthong, K. (Ph.D. st) (12/2020) Bayesian modelling of nonlinear negative binomial integer-valued GARCHX models, Statistical Modelling, 20, 537-561. [MOST 107-2118-M-035-005-MY2] (2020 SCI Statistics & Probability, IF 2.039)

27. Xu, X. (Ph.D. st), Chen, Y., Chen*, C.W.S., Lin, X. (Ph.D. st) (9/2020) Adaptive log-linear zero-inflated generalized Poisson autoregressive model with applications to crime counts, Annals of Applied Statistics, 14, 1493-1515. [MOST 107-2118-M-035-005-MY2] (2020 SCI Statistics & Probability, IF 2.083)

2019

28. Chen*, C.W.S., Than-Thi, H. (Ph.D. st), So, M.K.P., and Sriboonchitta, S. (12/2019) Quantile forecasting based on a bivariate hysteretic autoregressive model with GARCH errors and time ‐varying correlations, Applied Stochastic Models in Business and Industry, 35, 1301-1321.  [MOST 107-2118-M-035-005-MY2] (2021 SCI Statistics & Probability, IF 1.497)

29. Chen*, C.W.S., Dong, M.C. (Ph.D. st), Liu, N., and Sriboonchitta, S. (11/2019) Inferences of default risk and borrower characteristics on P2P lending, North American Journal of Economics and Finance, 50, 101013. [MOST 107-2118-M-035-005-MY2] (2021 SSCI Business, Finance, Economics, IF 3.136).

30. Chen*, C.W.S., Khamthong, K. (Ph.D. st), and Lee, S. (8/2019) Markov switching integer-valued generalized auto-regressive conditional heteroscedastic models for dengue counts, Journal of the Royal Statistical Society Series C – Applied Statistics, 68, 963–983. [MOST 107-2118-M-035-005-MY2] (2020 SCI Statistics & Probability, IF 1.864)

31. Chen*, C.W.S. and Watanabe, T. (5/2019) Bayesian modeling and forecasting of Value-at-Risk via threshold realized volatility, Applied Stochastic Models in Business and Industry, 35, 747-765.  [MOST 104-2410-H-035-004, MOST 105-2118-M-035-003-MY2] (2021 SCI Statistics & Probability, IF 1.497)

32. 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. [MOST 105-2118-M-035-003-MY2] (2019 SSCI Business, Finance, IF 0.412).

33. 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. [MOST 104-2410-H-035-004 and MOST 105-2118-M-035-003-MY2] (2020 SSCI Economics, Management, IF 1.876)

34. 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] (2020 SCI Statistics & Probability, IF 1.424)

35. 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

36. Chen*, C.W.S., Cheng, M.C., 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]

37. 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, 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] (2021 SSCI Business, Finance, Economics, IF 3.136).

38. Chen, C.W.S., Hsieh, Y.H., Su, H.C., and Wu, J.J. (2/2018) Causality test of ambient fine particles and human influenza in Taiwan: Age group-specific disparity and geographic heterogeneity, Environment International, 111, 354-361. [MOST 105-2118-M-035-003-MY2] (2021 SCI Environmental Sciences 16/279, IF 13.352)

39. Chen*, C.W.S. and Sun, Y.W. (1/2018) 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]

2017

40. 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 Statistical Society Series C – Applied Statistics, 66, 797-814. [MOST 105-2118-M-035-003-MY2 and MOST 103-2118-M-035-002-MY2] (2020 SCI Statistics & Probability, IF 1.864)

41. 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] (2020 SCI Statistics & Probability, IF 0.893)

42. 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] (2020 SCI Statistics & Probability, IF 1.111)

43. 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] (2020 SCI Statistics & Probability, IF 2.039)

44. 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] (2021 SCI Mathematics, Interdisciplinary Applications, IF 0.716)

45. 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] (2021 SSCI Business, Finance Rank, 1/111, IF 9.848)

46. 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] (2020 SCI Statistics & Probability, IF 1.424)

47. 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]

48. Chen*, C.W.S., Wang, Z., Sriboonchitta, S., and Lee, S. (1/2017) Pair trading based on quantile forecasting of smooth transition GARCH models, North American Journal of Economics and Finance, 39, 38-55.  [MOST 104-2410-H-035-004 and MOST 103-2118-M-035-002-MY2] (2021 SSCI Business, Finance, Economics, IF 3.136).

49. 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. [MOST 104-2410-H-035-004 and MOST 103-2118-M-035-002-MY2] (2020 SSCI Economics, Management, IF 1.876)

2015-2016   

50. 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] (2021 SCI Statistics & Probability, IF 1.497).

51. 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. [MOST 103-2118-M-035-002-MY2] (2021 SSCI Management, Economics, IF 2.627)

52. 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. [MOST 103-2118-M-035-002-MY2 and MOST 104-2410-H-035-004] (2020 SCI Statistics & Probability, IF 1.424)

53. 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, IF 0.670)

54. 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] (2021 SCI Statistics & Probability, IF 2.035)

55. 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. [MOST 103-2118-M-035-002-MY2] (2021 SCI Statistics & Probability, IF 2.346)

56. 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. [MOST 103-2118-M-035-002-MY2] (2021 SCI Statistics & Probability, IF 1.405)

57. 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. [MOST 103-2118-M-035-002-MY2] (2020 SCI Statistics & Probability, IF 1.424)

58. 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. (2021 SSCI Economics, IF 0.776)

59. Gerlach, R. and Chen*, C.W.S. (1/2016) Bayesian expected shortfall forecasting incorporating the intraday range, Journal of Financial Econometrics, 14, 128-158. [NSC 101-2118-M-035-006-MY2] (2021 SSCI Business, Finance, Economics, IF 3.976).

2014             

60. 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.  [NSC 99-2118-M-035-001-MY2 and NSC 101-2118-M-035-006-MY2] (2021 SCI Statistics & Probability, IF 2.035).

61. 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] (2020 SCI Mathematics, interdisciplinary applications, IF 2.222)

62. 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             

63. 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] (2021 SCI Statistics & Probability, IF 1.405)

64. 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] (2020 SSCI Economics, Management, IF 1.876)

65. 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] (2021 SCI Statistics & Probability, IF 1.405)

66. 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] (2021 SCI Mathematics, Interdisciplinary Applications, IF 0.716)

67. 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

68. 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] (2021 SSCI Management, Economics, IF 2.627)

69. 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] (2021 SCI Statistics & Probability, IF 2.035)

70. 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 of STD & AIDS, 23, 606-607. (2021 SCI Infectious Diseases, IF 1.456)

71. 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] (2021 SSCI Management, Economics, IF 7.022)

72. 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] (2020 SSCI Economics, Management, IF 1.876)

73. 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] (2021 SSCI Management, Economics, IF 7.022)

2011

74. 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] (2020 SCI Statistics & Probability, IF 1.111)

75. 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] (2020 SCI Statistics & Probability, IF 6.565)

76. 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] (2020 SCI Mathematics, interdisciplinary applications, IF 2.222).

77. 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, 167-181. [NSC 99-2118-M-035-001-MY2] (2021 SCI Mathematics, Interdisciplinary Applications, IF 0.716)

78. 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] (2019 SCI Statistics & Probability, Computer Science, Theory & Methods, IF 3.035)

79. 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 Analysis, 55, 2276-2287.  [NSC 99-2118-M-035-001-MY2; NSC 96-2118-M-035-002-MY3] (2021 SCI Statistics & Probability, IF 2.035)

80. 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 (2021 SCI Statistics & Probability, IF 1.405)

2010

81. 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] (2020 SCI Statistics & Probability, IF 1.111)

82. 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. (2021 SCI Mathematical & Computational Biology, IF 3.871)

83. 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] (2021 SCI Statistics & Probability, IF 1.497)

2009

84. Chen*, C. W. S., So, M. K. P., and Lin, E.M.H. (Ph.D. st) (12/2009) Volatility forecasting with double Markov switching GARCH models, Journal of Forecasting, 28, 681-697.  [NSC95-2118-M-035-001.] (2021 SSCI Management, Economics, IF 2.627)

85. Hsieh, Y.-H., Chen, C.W.S. (6/2009) Turning points, reproduction number, and impact of climatological events for multi-wave Dengue outbreaks, Tropical Medicine & International Health, 14, 628-638.  (2021 SCI Public, Tropical Medicine, IF 3.918)

86. Lai, Y., Chen*, C.W.S., and Gerlach, R.H. (4/2009) Optimal dynamic hedging via copula-threshold-GARCH Models, Mathematics and Computers in Simulation, a special issue on Modelling and Managing Financial Risk, 79, 2609-2624. [NSC95-2118-M-035-001] (2021 SCI Mathematics, Applied, IF 3.601)

87. Chen*, C.W.S., Gerlach, R. H., Cheng, N.Y.P., and Yang, Y.L. (4/2009) The Impact of Structural Breaks on the Integration of the ASEAN-5 Stock Markets, Mathematics and Computers in Simulation, a special issue on Modeling and Managing Financial Risk, 79, 2654-2664. [NSC95-2118-M-035-001] (2021 SCI Mathematics, Applied, IF 3.601)

88. Chen*, C.W.S., Gerlach, R., and Wei, D.C.M.  (4/2009) Bayesian causal effects in quantiles: accounting for heteroscedasticity, Computational Statistics & Data Analysis, a special issue on Computational Econometrics, 53, 1993-2007.   [NSC 96-2118-M-035-002-MY3] (2021 SCI Statistics & Probability, IF 2.035)

2008

89. Gerlach, R. and Chen*, C.W.S. (12/2008) Bayesian inference and model comparison for asymmetric smooth transition heteroskedastic models, Statistics and Computing, 18, 391-408. [NSC95-2118-M-035-001] and grant 06G27022 from FCU. (2019 SCI Statistics & Probability, Computer Science, Theory & Methods, IF 3.035)

90. Chen*, C.W.S., Gerlach, R., and So, M.K.P. (12/2008) Bayesian model selection for heteroskedastic models, in Siddhartha Chib, William Griffiths, Gary Koop, Dek Terrell (ed.) Bayesian Econometrics (Advances in Econometrics, Volume 23), Emerald Group Publishing Limited, 567-594 (2005 SSCI Economics Rank 168/175).  [NSC95-2118-M-035-001] and grant 06G27022 from FCU.

91. Chen* C.W.S., Gerlach, R., and Tai, A.P.J. (12/2008) Testing for nonlinearity in mean and volatility for heteroskedastic models, Mathematics and Computers in Simulation. 79, 489-499. [NSC96-2118-M-002-MY3] (2021 SCI Mathematics, Applied, IF 3.601)

92. Chen*, C.W.S., Lin, E.M.H. (Ph.D. st), Liu, F.C. (Ph.D. st), and Gerlach, R. (5/2008) Bayesian estimation for parsimonious threshold autoregressive models in R, R Journal, 8, 26-33. [NSC96-2118-M-002-MY3] and grant 06G27022 from FCU. (2020 SCI Statistics & Probability, IF 3.984)

93. Chen*, C.W.S., Liu, F.C. (Ph.D. st), and So, M.K.P. (3/2008) Heavy-tailed distributed threshold stochastic volatility models in financial time series, Australian & New Zealand Journal of Statistics, 50, 29-51. (2021 SCI Statistics & Probability, IF 0.867)

94. Chen*, C.W.S., Gerlach, R., and Lin, E.M.H. (Ph.D. st) (2/2008) Volatility forecast using threshold heteroskedastic models of the intra-day range, Computational Statistics & Data Analysis, on Statistical & Computational Methods in Finance, 52, 2990-3010. [NSC95-2118-M-035-001] (2021 SCI Statistics & Probability, IF 2.035)

95. So, M.K.P., Chen*, C. W. S., Lee, J.Y., and Chang, Y.P.  (2/2008) An empirical evaluation of fat-tailed distributions in modeling financial time series, Mathematics and Computers in Simulation, 77, 96-108. [NSC94-2118-M-035-001] (2021 SCI Mathematics, Applied, IF 3.601)

2007

96. Chiang, T.C., Chen, C.W.S., and So, M.K.P. (12/2007) Asymmetric return and volatility responses to composite news from stock markets, Multinational Finance Journal, 11, 179-210. (2017 SSCI, IF 1.5)

97. So, M.K.P, Chen, C.W.S., Chiang, T.C. and Lin, D.S.Y. (7/2007) Modelling financial time Series with threshold nonlinearity in returns and trading volume, Applied Stochastic Models in Business and Industry, 23, 319-338.  [NSC94-2118-M-035-001] (2021 SCI Statistics & Probability, IF 1.497)

98. Hsieh, Y.-H., King, C.C., Chen, C.W.S., Ho, M.S., Hsu, S.B. and Wu, YC  (1/2007) Impact of quarantine on the 2003 SARS outbreak: a retrospective modeling study, Journal of Theoretical Biology, 244, 729-736. (2020 SCI Biology, IF 2.691)

2006

99. Chen*, C.W.S., Gerlach, R.H., and So, M.K.P. (12/2006) Comparison of nonnested asymmetric heteroscedastic models, Computational Statistics & Data Analysis, a special issue on Nonlinear Modelling and Financial Econometrics, 51, 2164-2178. [NSC94-2118-M-035-001] (2021 SCI Statistics & Probability, IF 2.035)

100. Chen, C.W.S., Yang, M.J., Gerlach, R.H., and Lo, H.J.  (7/2006) The asymmetric reactions of mean and volatility of stock returns to domestic and international information based on a four-regime double-threshold GARCH Model, Physica A - Statistical Mechanics And Its Applications, 366, 401-418. [NSC93-2118-M-035-003] (2021 SCI Physics, Multidisciplinary, IF 3.778)

101. Lee, S.-M., Chen*, C.W.S., Gerlach, R.H., and Hwang, L.-H.  (6/2006)  Estimation in Ricker's two-release method: a Bayesian approach, Australian & New Zealand Journal of Statistics, 48, 157-169.  [NSC92-2118-M-035-006] (2021 SCI Statistics & Probability, IF 0.867)

102. So, M.K.P., Chen*, C.W.S. and Liu, F.C. (4/2006) Best subset selection of autoregressive models with exogenous variables and generalized autoregressive conditional heteroscedasticity errors, Journal of the Royal Statistical Society Series C-Applied Statistics, 55, 201-224. [NSC93-2118-M-035-003] (2020 SCI Statistics & Probability, IF 1.864)

103. Hsieh, Y.H., Chen, C.W.S., Lee, S.M., Chen, Y.M.A., Wu, S.I., Lai, S.F., and Chang, A.L. (4/2006) Estimating the number of HIV-infected gay sauna patrons in Taipei area, Physica A - Statistical Mechanics And Its Applications, 362, 495-503. [DOH92-DC-1026] (2021 SCI Physics, Multidisciplinary, IF 3.778)

104. Chen*, C.W.S. and Hsieh, Y.H. (1/2006) Bias may be unintentional but it's still there, Nature, 439, 18. (2021 SCI Multidisciplinary Science, IF 69.504)

105. Gerlach, R., Chen*, C.W.S, Lin, D.S.Y., and Huang, M.H.  (2/2006) Asymmetric responses of international stock markets to trading volume, Physica A - Statistical Mechanics And Its Applications, 360, 422-444. [NSC93-2118-M-035-003] (2021 SCI Physics, Multidisciplinary, IF 3.778)

106. Chen, C.W.S. and So, M.K.P. (1/2006) On a threshold heteroscedastic model.  International Journal of Forecasting, 22, 73-89.  [NSC93-2118-M-035-003] (2021 SSCI Management, Economics, IF 7.022)

2005

107. Chen*, C.W.S., So, M.K.P., and, Gerlach, R.H.  (12/2005)  Assessing and testing for threshold nonlinearity in stock returns, Australian & New Zealand Journal of Statistics, 47, 473-488. [NSC92-2118-M-035-006] (2021 SCI Statistics & Probability, IF 0.867)

108. Chen*, C.W.S. and Yu, T.H.K. (8/2005) Long-term dependence with asymmetric conditional heteroscedasticity in stock returns, Physica A - Statistical Mechanics And Its Applications, 353, 413-424. [ FCU-RD-89-052, FCU-RD-90-051] (2021 SCI Physics, Multidisciplinary, IF 3.778)

109. Chen, C.W.S., So, M.K.P., and, Gerlach, R.H.  (6/2005) Asymmetric response and interaction of US and local markets news in financial markets, Applied Stochastic Models in Business and Industry, 21, 273-288.  [NSC92-2118-M-035-006] (2021 SCI Statistics & Probability, IF 1.497)

110. Hsieh, Y.H., King, C.C., Chen, C.W.S., Ho, M.S., Lee, J.Y., Liu, F.C., Wu, Y.C., and Wu, J. S.  (2/2005) Quarantine for SARS, Taiwan, Emerging Infectious Diseases, 11, 278 - 282. (2021 SCI Immunology, Infectious Disease, IF 16.126)

111. So, M.K.P., Chen, C.W.S., Chen, M.T. (1/2005) A Bayesian threshold nonlinearity test in financial time series, Journal of Forecasting, 24, 61-75. [ NSC91-2118-M-035-002] (2021 SSCI Management, Economics, IF 2.627)

2004

112. Chen*, C.W.S., Lee, J.C., Lee, S.Y., and Niu, W.F. (10/2004) Bayesian estimation for time series regressions improved with exact likelihoods, Journal of Statistical Computation and Simulation. 74, 727 - 740.  [ NSC91-2118-M-035-002] (2020 SCI Statistics & Probability, IF 1.424)

113. Hsieh, Y.H., Chen, C.W.S., and Hsu, S.B. (8/2004)  SARS outbreak in Taiwan: what we can learn from modeling,  Emerging Infectious Diseases, 10, 1515-16. (2021 SCI Immunology, Infectious Disease, IF 16.126)

114. Hsieh, Y.H. and Chen, C.W.S.  (5/2004) Mathematical modeling of SARS: errata and updates, Online, Journal of Epidemiology and Community Health (2021 SCI Public, Environmental & Occupational Health, IF 6.286)

115. Hsieh, Y.H., Chen, C.W.S., and Hsu, S.B. (2/2004) SARS outbreak, Taiwan, 2003, Emerging Infectious Diseases, 10, 201-206. (2021 SCI Immunology, Infectious Disease, IF 16.126)

2003

116. So, M.K.P. and Chen, C.W.S. (1/2003) Subset threshold autoregression. Journal of Forecasting, 22, 49-66. (2021 SSCI Management, Economics, IF 2.627) [NSC90-2118-M-035-008] 

117. Hsieh, Y.H. and Chen, C.W.S. (6/2003) Severe Acute Respiratory Syndrome: numbers do not tell whole story, British Medical Journal, 326, 1395-1396. (2022 SCI Medicine, General & Internal, IF 107.7) 

118. Chen, C.W.S., Chiang, T.C. and So, M.K.P. (9/2003) Asymmetrical reaction to US stock-return news: evidence from major stock markets based on a double-threshold model. Journal of Economics and Business.  Special issue on Globalization in the New Millennium: Evidence on Financial and Economic Integration. 55, 487-502. [NSC90-2118-M-035-008] (2021 SSCI Economics, IF 1.06)

119. Hsieh, Y.H. and Chen, C.W.S.  (11/2003) Re: Mathematical modeling of SARS: cautious in all our movements, Journal of Epidemiology and Community Health. Online (2021 SCI Public, Environmental & Occupational Health, IF 6.286)

2002

120. Hsieh, Y.H., de Arazoza, H., Lee, S.-M., and Chen, C.W.S. (6/2002) Estimating the number of Cubans infected sexually by human immunodeficiency virus using contact tracing data, International Journal of Epidemiology, 31, 679-683. [NSC88-2118-M-035-001] (2021 SCI Public, Environmental & Occupational Health, IF 9.685)

2001

121. Chen*, C.W.S., Cherng, T.-H., and Wu, B. (12/2001) On the selection of subset bilinear time series models: a genetic algorithm approach. Computational Statistics, 16, 505-517. [NSC87-2118-M-035-004], [NSC88-2118-M-035-001] (2021 SCI Statistics & Probability, IF 1.405)

122. Chen*, C.W.S. and Wen, Y.W. (6/2001) On goodness of fit for time series regression models. Journal of Statistical Computation and Simulation, 69, 239-256. [NSC89-2118-M-035-003] (2020 SCI Statistics & Probability, IF 1.424)

123. Hsieh, Y. H., Chen, C.W.S., Lee, S.-M., and de Arazoza, H. (2/2001) On the Recent Sharp Increase of HIV Detections in Cuba. Aids, 426-428. [NSC88-2118-M-035-001] (2021 SCI Infectious diseases, IF 4.632)

2000

124. Hsieh, Y.-H., Chen, C.W.S., and Lee, S.-M. (11/2000) Empirical Bayes approach to estimating the number of HIV-infected individuals in hidden and elusive populations. Statistics in Medicine, 19, 3095-3108. [NSC87-2118-M-035-004] (2021 SCI Statistics & Probability, IF 2.497)

1999

125. Chen*, C.W.S. (12/1999) Subset selection of autoregressive time series models. Journal of Forecasting, 18, 505-516. [NSC86-2115-M-035-017] (2021 SSCI Management, Economics, IF 2.627)

126. Chen*, C.W.S., Lee, S.-M., Hsieh, Y.-H., and Ungchusak, K. (11/1999) A unified approach to estimating population size for a births only model.  Computational Statistics & Data Analysis, 32, 29-46. [NSC86-2115-M-035-017] (2021 SCI Statistics & Probability, IF 2.035)

1998

127. Chen*, C.W.S. (9/1998) A Bayesian analysis of generalized threshold autoregressive models. Statistics & Probability Letters, 40, 15-22. [NSC85-2115-M-035-007] (2020 SCI Statistics & Probability, IF 0.870)

128. Lee, S.-M. and Chen*, C.W.S. (10/1998) Bayesian inference of population size for Behavioral response models. Statistica Sinica, 8, 1233-1247. [NSC86-2115-M-035-017] (2021 SCI Statistics & Probability, IF 1.330)

1997

129. Chen, C.W.S., McCulloch, R.E., and Tsay, R.S. (4/1997) A unified approach to estimating and modeling linear and nonlinear time series. Statistica Sinica, 7, 451-472. (2021 SCI Statistics & Probability, IF 1.330)

130. Chen*, C.W.S. (5/1997) Detection of additive outliers in bilinear time series. Computational Statistics & Data Analysis, 24, 283-294. [NSC83-0208-M-035-011] (2021 SCI Statistics & Probability, IF 2.035)

131. Chen*, C.W.S. and Lee, J.C. (9/1997) On selecting a power transformation in time-series analysis.  Journal of Forecasting, 16, 343-354. [NSC84-2121-M-035-007] (2021 SSCI Management, Economics, IF 2.627)

1995-1992

132. Chen*, C.W.S. and Lee, J.C. (9/1995) Bayesian inference of threshold autoregressive models.   Journal of Time Series Analysis, 16, 483-492. [NSC82-0115-M-035-012-T] (2020 SCI Statistics & Probability, IF 1.366)

133. Chen*, C.W.S. (6/1992a) Bayesian inferences and forecasting in bilinear time series models.  Communications in Statistics - Theory and Methods, 21, 1725-1743. (2020 SCI Statistics & Probability, IF 0.893)

134. Chen*, C.W.S. (12/1992b) Bayesian analysis of bilinear time series models: a Gibbs sampling approach.  Communications in Statistics - Theory and Methods, 21, 3407-3425. (2020 SCI Statistics & Probability, IF 0.893)