描述: 描述: D:\CWS_webpage\cchen_08_2012.jpg

 

 

Cathy W. S. Chen, Ph.D., CStat.

Professor of Statistics

 Feng Chia University

Taichung 40724, Taiwan

Tel+(886)4-24517250 ext 4412

Fax+(886)4-24517092

E-mail: chenws描述: 描述: D:\CWS_webpage\at.pngmail.fcu.edu.tw;

              chenws描述: 描述: D:\CWS_webpage\at.pngfcu.edu.tw

Web home page: http://myweb.fcu.edu.tw/~chenws/

Research Interests

l   Time series analysis

l   Bayesian analysis

l   Forecasting

l   Statistical computing

l   Financial Econometrics

l   Statistical methods in epidemiology

 

EDUCATION

 

 

PROFESSIONAL QUALIFICATIONS

  • 2009/11   Fellow, the Royal Statistical Society, UK
  • 2010/2     Chartered Statistician, the Royal Statistical Society, UK, (Designation: CStat.)

·       2008        Elected Member, International Statistical Institute

 

ACADEMIC POSITIONS

·       2004/8 - present  Distinguished Professor, Feng Chia University

·       2007/8  Adjunct Professor, Faculty of Economics, Chiang Mai University, Chiang Mai, Thailand.

·       2000/8 - 2002/7, 2005/8 – 2008/7    Department Head, Department of Statistics / Graduate Institute of Statistics & Actuarial Science / Graduate Institute of Applied Statistics, Feng Chia University

  • 1998/8 - present   Feng Chia University, Professor
  • 1993/2 – 1998/7    Feng Chia University, Associate Professor

 

VISITING POSITIONS

 

2.1.2010-2.6.2010

Visiting Professor, Department of Economics, University of Tokyo, Japan.

8.11.2009-8.20.2009

Visiting Professor, Discipline of Operations Management and Econometrics, University of Sydney, Australia.

8.9.2008 - 8.17.2008

Visiting Professor, Faculty of Economics, Chiang Mai University, Thailand

1.21.2008 - 2.5.2008

Visiting Professor, Discipline of Econometrics and Business Statistics, University of Sydney, Australia.

1.11.2008 -1.16.2008

Visiting Professor, Faculty of Economics, Chiang Mai University, Thailand

2006/7 – 2007/1

Visiting Professor, the Discipline of Econometrics and Business Statistics, University of Sydney, Australia. (Visit funded by University of Sydney, to teach a course on Forecasting for Economics and Business)

2002/8 – 2002/12

Visiting scholar, Department of Economics, University of California, San Diego, USA. (Funded by NSC)

3.30.2002 –4.6.2002

Visiting professor, Department of Statistics and Actuarial Science, University of Hong Kong, HK

(Funded by University of Hong Kong and Taipei Trade Centre Exchange Scheme 2001)

4.1.2001-4.8.2001

Visiting scholar, Graduate School of Business, University of Chicago, USA.  (Funded by NSC)

11.23.2000-11.28.2000

Visiting scholar, Department of Information and Systems Management, the Hong Kong University of Science & Technology, HK  (Funded by UST)

3.4.1998-4.10.1998

Visiting scholar, Graduate School of Business, University of Chicago, USA. (Funded by NSC)

1997/8 – 1998/2

Visiting scholar, University of Oxford, UK (Funded by NSC)

1996/8

Visiting scholar, Department of Mathematics, University of Memphis, USA

1991/8 – 1992/7

Visiting Ph.D. student, Graduate School of Business, University of Chicago, USA. (Funded by Ministry of Education, ROC)

Honors and Awards

1.           Honorary member of the Phi Tau Phi Scholastic Honor Society, 2006/6

2.          Distinguished Professor of Feng Chia University, 2004/8 - present 

3.          Listed in "Who's Who in Science and Engineering", 2003, Marquis

4.         Awarded research grant, Academic Links Collaboration & Research of the University of Hong Kong and Taipei Trade Centre Exchange Scheme 2001

5.          National Science Council Research Awards (1995/8 – 2000/7, discontinued after year 2000)

6.         Feng Chia University Faculty Research Publication Awards (1995-2012)

7.          Feng Chia University Excellence in Teaching Award (1996/11)

8.         National Science Council Young Research Awards (1993/4 – 1994/7)

9.         Ministry of Education Scholarship for Ph.D. candidates studying abroad, Ministry of Education, Taiwan, 1991/9 – 1992/9.

10.      Statistics Scholarship, Directorate-General of Budget, Accounting, and Statistics, Executive Yuan, Taiwan, 1989

Editorial Activities

     

1.           Associate Editor,  PLOS ONE (SCI), 2014 - present

2.          Associate Editor,  Journal of Business & Economic Statistics (JBES) (SCI), 2013 - present

3.          Associate Editor, Computational Statistics & Data Analysis (CSDA) (SCI), 2009 – present

l   Annals Guest Associate Editor, CSDA Annals of Computational and Financial Econometrics, 2010

l   Editor, the 6th special issue on Computational Econometrics of the Computational Statistics & Data Analysis.

l   Editor, the special issue on “Bayesian Computing, Methods and Applications” of the Computational Statistics & Data Analysis.

4.         Associate Editor, the Australian and New Zealand Journal of Statistics (SCI), 2008 – present.

5.          Associate Editor, Computational Statistics (SCI), 2008 – present.

6.         Associate Editor, International Journal of Business and Economics (EconLit), 2004 – present.

7.          Founding Editor, Journal of Economics and Management (EconLit), 2004 – present.

8.         Associate Editor, Journal of the Chinese Statistical Association (EconLit), 2006/8 – 2010/7. 2012/8 –now.

Service to External Academic Organizations and conferences

l   Council Member, International Association for Statistical Computing (IASC), ISI, 2013-2017.

l   Committee member, Women in Statistics, ISI, 2013-2015

l   ISBA/EFaB Nominating Committee 2013.

l   ISI Nominations Committee for the period 2013-2015.

l   Chair, East Asia Outreach Committee (EAOC), ISI, August 2011 –present.

l   Board of Directors of the IASC-ARS (The Asian Regional Section of the International Association for Statistical Computing), 2008 – present.

l   Panel member, Mathematics Research Promotion Center of the National Science Council in Taiwan. 01.01.2013-12.31.2015

l   Panel member for grants and awards, statistics Discipline, National Science Council of Taiwan, 1.1.2011 to 12.31.2013.

l   Panel member, Mathematics Research Promotion Center of the National Science Council in Taiwan. 01.01.2007-12.31.2009. 01.01.2013-12.31.2015.

l   Executive council member, the Chinese Statistical Association, Taiwan, 2012-2014.

l   External Examiner for Ph. D. dissertation, title: Bayesian analysis of stochastic volatility models: Modelling and application (Joanna Wang), School of Mathematics and Statistics, the University of Sydney, Australia. November, 2011.

l   External Examiner for Ph. D. dissertation, Title: “Bayesian Methods for Estimation, Inference and Forecasting of Flexible Models for Value-at-Risk and Tail Conditional Expectations”. (Qian Chen), University of Sydney, Australia. 2011

l   External Examiner for Ph. D. dissertation, title: “Nonlinear time series modeling with application to finance and other fields”. (Shusong Jin), Department Statistics and Actuarial Science, University of Hong Kong, Hong Kong. 2005.

l   External Examiner for Ph. D. dissertation, title: Estimating, diagnosing and comparing time series models (Richard Gerlach), University of New South Wales, Australia. 2000

l   Adjunct Professor and workshop speaker, School of Economics, Chiang Mai University, Chiang Mai, Thailand.

(Visit funded by Chiang Mai University, to teach a Ph.D. course on Selected Topic in Advanced Econometrics: Bayesian Time Series Econometrics Markov chain Monte Carlo Estimation)

l   Visiting Professor, the Discipline of Econometrics and Business Statistics, University of Sydney, Australia. (Visit funded by University of Sydney, to teach a course on Forecasting for Economics and Business)

l   SPC (Scientific Program Committee), the 8th International conference on Computational and Financial Econometrics (CFE 2014), December 6-8, 2014, Pisa, Italy.

l   SPC, Computationally Intensive Methods in Statistics & Econometrics, Satellite meeting of COMPSTAT August 23-24 2014, Neuchâtel, Switzerland.

l   SPC, Joint Meeting of the IASC Satellite Conference for the 59th ISI WSC and the 8th Asian Regional Section (ARS) of the IASC, August 22-23, 2013, Seoul, Korea.

l   SPC, ISI Young Statisticians' Meeting, August 23-24, 2013, Hong Kong.

l   SPC, the 6th International conference on Computational and Financial Econometrics (CFE 2012), December 1-3, 2012, Oviedo, Spain.

l   SPC, the 20th International Conference on Computational Statistics (COMPSTAT 2012), August 27-31, 2012, Limassol, Cyprus.

l   SPC, Joint Meeting of the 2011 Taipei International Statistical Symposium and 7th Conference of the Asian Regional Section of the IASC, December 16-19, 2011, Taipei, Taiwan.

l   Conference Chair, International Workshop on Statistical Computing in Quantitative Finance and Biostatistics: A Satellite Meeting for the Asian Regional Section of the IASC, December 20-21, 2011, Taichung, Taiwan.

l   SPC, the 5th International conference on Computational and Financial Econometrics (CFE'11), December 17-19, 2011, London, UK.

l   SPC, the 4th International Conference on Computational and Financial Econometrics (CFE’10), December 10-12, 2010, London, UK.

l   SPC, Empirical Likelihood Method and Its Application to Theory of Classification, December 2-5, 2011, Wakayama University, Wakayama, Japan.

l   SPC, the 10th World Conference of the ISBA, June 3-8, 2010, Italy.

l   SPC, the 10th World Conference of the International Society for Bayesian Analysis (ISBA), June 3-8, 2010, Valencia, Spain.

l   SPC, the third Meeting of the Econometric Society of Thailand, January 7-8, 2010, Chiang Mai University, Thailand.

l   SPC, and session organizer, Computational and Financial Econometrics (CFE09), October 29-31, 2009, Limassol, Cyprus.

l   Organizer, the 29th Annual International Symposium on Forecasting (ISF) 2009 June 21-24, 2009, Hong Kong.

l   SPC, the Joint Meeting of 4th World Conference of the IASC and 6th Conference of the Asian Regional Section of the IASC on Computational Statistics & Data Analysis, December 5-8, 2008, Yokohama, Japan.

l   SPC, Computational and Financial Econometrics (CFE08), June 19-21, 2008, Neuchâtel, Switzerland.

l   SPC, the 9th International Society for Bayesian Analysis (ISBA) World Meeting, July 21-25, 2008, Hamilton Island, Australia.

l   SPC, the Joint Meeting of 4th World Conference of the IASC and 6th Conference of the Asian Regional Section of the IASC on Computational Statistics & Data Analysis, December 5-8, 2008, Yokohama, Japan.

 

Publications Google Scholar Profile

 Journal Article/s and Book Section/s

“*”: Corresponding author

    : masters students supervised by Cathy Chen

     (Ph.D. st): Ph.D. students supervised by Cathy Chen

     (Postdoc): Postdoctoral students supervised by Cathy Chen

 

2014            

1.       Gerlach, R. and Chen*, C.W.S. (2014) Semi-parametric expected shortfall forecasting incorporating the intra-day range, Journal of Financial Econometrics, accepted. (2012 SSCI Business, Finance Rank 36/86, Economics Rank 137/332, Impact Factor 0.976)

2.          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. http://dx.doi.org/10.1016/j.csda.2013.09.019.  (2012 SCI Statistics & Probability, Rank 35/117, Computer Science Interdisciplinary Applications, Rank 51/99, Impact Factor 1.304)

[NSC 99-2118-M-035-001-MY2 and NSC 101-2118-M-035-006-MY2]

3.          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] (2012 SSCI Business, Finance Rank 49/86, Economics Rank 161/332, Social Sciences, Mathematical Methods, Rank 28/44, Impact Factor 0.824)

4.         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, 127-40. [NSC 101-2118-M-035-006-MY2]

2013             

5.          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] (2012 SCI Statistics & Probability, Rank 96/117, Impact Factor 0.482)

6.         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] (2012 SSCI Economics, Rank 238/333, Management, Rank 149/172, Impact Factor 0.463)

7.          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] (2012 SCI Statistics & Probability, Rank 96/117, Impact Factor 0.482)

8.         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] (2012 SCI Mathematics, Interdisciplinary Applications, Rank 85/93, Impact Factor 0.396)

9.         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

10.      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]  (2012 SSCI Management, Rank 124/172, Economics, Rank 194/332, Impact Factor 0.769)

11.       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] (2012 SCI Statistics & Probability, Rank 35/117, Computer Science Interdisciplinary Applications, Rank 51/99, Impact Factor 1.304)

12.      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 STD & AIDS, 23, 606-607. (2012 SCI Infectious diseases, Rank 62/69, Impact Factor 1.000)

13.      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] (2012 SSCI Economics, Rank 87/332, Management, Rank 66/172, Impact Factor 1.424)

14.      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] (2012 SSCI Economics, Rank 237/332, Management, Rank 149/172, Impact Factor 0.463)

15.      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] (2012 SSCI Economics, Rank 87/332, Management, Rank 66/172, Impact Factor 1.424)

2011

16.      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] (2012 SCI Statistics & Probability, Rank 73/117, Impact Factor 0.713)

17.       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]  (2012 SCI Statistics & Probability, Rank 15/117, Impact Factor 1.932)

18.      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] (2012 SSCI Business, Finance Rank 49/86, Economics Rank 161/332, Social Sciences, Mathematical Methods, Rank 28/44, Impact Factor 0.824).

19.      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, 167-182. [NSC 99-2118-M-035-001-MY2] (2012 SCI Mathematics, Interdisciplinary Applications, Rank 84/92, Impact Factor 0.396)

20.     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]  (2012 SCI Statistics & Probability, Rank 12/117, Computer Science, Theory & Methods, Rank 11/100, Impact Factor 1.977)

21.      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 Analysis55, 2276-2287.  [NSC 99-2118-M-035-001-MY2; NSC 96-2118-M-035-002-MY3] (2012 SCI Statistics & Probability, Rank 35/117, Computer Science Interdisciplinary Applications, Rank 51/99, Impact Factor 1.304)

22.     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 (2012 SCI Statistics & Probability, Rank 96/117, Impact Factor 0.482)

2010

23.     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] (2012 SCI Statistics & Probability, Rank 73/117, Impact Factor 0.713)

24.     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. (2012 SCI Mathematical & Computational Biology, Rank 18/47, Impact Factor 2.023)

25.     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]  (2012 SCI Statistics & Probability, Rank 87/117, Impact Factor 0.544)

2009

26.     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.] (2012 SSCI Management, Rank 124/172, Economics, Rank 194/332, Impact Factor 0.769

27.      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.  (2012 SCI Public, Environmental & Occupational Health, Rank 31/158, Tropical Medicine, Rank 3/22, Impact Factor 2.938)

28.     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]  (2012 SCI Mathematics, Applied, Rank 103/247, Impact Factor 0.836)

29.     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]  (2012 SCI Mathematics, Applied, Rank 103/247, Impact Factor 0.836)

30.     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] (2012 SCI Statistics & Probability, Rank 35/117, Computer Science Interdisciplinary Applications, Rank 51/99, Impact Factor 1.304)

2008

31.      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. (2012 SCI Statistics & Probability, Rank 12/117, Computer Science, Theory & Methods, Rank 11/100, Impact Factor 1.977)

32.     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.

33.     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] (2012 SCI Mathematics, Applied, Rank 103/247, Impact Factor 0.836)

34.     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, the R Journal, 8, 26-33. [NSC96-2118-M-002-MY3] and grant 06G27022 from FCU.

35.     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. (2012 SCI Statistics & Probability, Rank 91/117, Impact Factor 0.529)

36.     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]  (2012 SCI Statistics & Probability, Rank 35/117, Computer Science Interdisciplinary Applications, Rank 51/99, Impact Factor 1.304)

37.      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] (2012 SCI Mathematics, Applied, Rank 103/247, Impact Factor 0. 836)

2007

38.     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. (EconLit)

39.     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]  (2012 SCI Statistics & Probability, Rank 87/117, Impact Factor 0.544)

40.    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. (2012 SCI Biology, Rank 45/83, Impact Factor 1.376)

2006

41.      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]  (2012 SCI Statistics & Probability, Rank 35/117, Computer Science Interdisciplinary Applications, Rank 51/99, Impact Factor 1.304)

42.     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]  (2012 SCI Physics, Multidisciplinary, Rank 28/83, Impact Factor 1.676)

43.     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]  (2012 SCI Statistics & Probability, Rank 91/117, Impact Factor 0.529)

44.     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 of Statistical Society Series CApplied Statistics, 55, 201-224. [NSC93-2118-M-035-003]  (2012 SCI Statistics & Probability, Rank 40/117, Impact Factor 1.253)

45.     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] (2012 SCI Physics, Multidisciplinary, Rank 28/83, Impact Factor 1.676)

46.     Chen*, C.W.S. and Hsieh, Y.H. (1/2006) Bias may be unintentional but it's still there, Nature, 439, 18. (2012 SCI Multidisciplinary Science, Rank 1/56, Impact Factor 38.597)

47.     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]  (2012 SCI Physics, Multidisciplinary, Rank 28/83, Impact Factor 1.676)

48.     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]  (2012 SSCI Economics, Rank 87/332, Management, Rank 66/172, Impact Factor 1.424)

2005

49.     Chen*, C.W.S., So, M.K.P., and, Gerlach, R.H.  (12/2005)  Assessing and testing for shold nonlinearity in stock returns, Australian & New Zealand Journal of Statistics, 47, 473-488. [NSC92-2118-M-035-006] (2012 SCI Statistics & Probability, Rank 91/117, Impact Factor 0.529)

50.     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]  (2012 SCI Physics, Multidisciplinary, Rank 28/83, Impact Factor 1.676)

51.      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]  (2012 SCI Statistics & Probability, Rank 87/117, Impact Factor 0.544)

52.     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. (2012 SCI Immunology, Rank 17/135, Infectious Disease, Rank 4/69, Impact Factor 5.993) 

53.     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] (2012 SSCI Management, Rank 124/172, Economics, Rank 194/332, Impact Factor 0.769)

2004

54.     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]  (2012 SCI Statistics & Probability, Rank 79/117, Impact Factor 0.629)

55.     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. (2012 SCI Immunology, Rank 17/135, Infectious Disease, Rank 4/69, Impact Factor 5.993)

56.     Hsieh, Y.H. and Chen, C.W.S.  (5/2004) Mathematical modeling of SARS: errata and updates, Online, Journal of Epidemiology and Community Health (2012 SCI Public, Environmental & Occupational Health, Rank 21/158, Impact Factor 3.392)

57.      Hsieh, Y.H., Chen, C.W.S., and Hsu, S.B. (2/2004) SARS outbreak, Taiwan, 2003, Emerging Infectious Diseases, 10, 201-206. (2012 SCI Immunology, Rank 17/135, Infectious Disease, Rank 4/69, Impact Factor 5.993)

2003

58.     So, M.K.P. and Chen, C.W.S. (1/2003) Subset threshold autoregression. Journal of Forecasting, 22, 49-66. (2012 SSCI Management, Rank 124/172, Economics, Rank 194/332, Impact Factor 0.769) [NSC90-2118-M-035-008] 

59.     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. (2012 SCI Medicine, General & Internal, Rank 4/151, Impact Factor 17.215) 

60.    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.   The Journal of Economics and Business.  Special issue on Globalization in the New Millennium: Evidence on Financial and Economic Integration. 55, 487-502.  (EconLit) [NSC90-2118-M-035-008] 

61.      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 (2012 SCI Public, Environmental & Occupational Health, Rank 21/158, Impact Factor 3.392)

2002

62.     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. (2012 SCI Public, Environmental & Occupational Health, Rank 3/158, Impact Factor 6.982)  [NSC88-2118-M-035-001] 

2001

63.     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.  (2012 SCI Statistics & Probability, Rank 96/117, Impact Factor 0.482) [NSC87-2118-M-035-004], [NSC88-2118-M-035-001] 

64.     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. (2012 SCI Statistics & Probability, Rank 79/117, Impact Factor 0.629) [NSC89-2118-M-035-003]

65.     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. (2012 SCI Infectious diseases, Rank 3/69, Impact Factor 6.407)  [NSC88-2118-M-035-001] 

2000

66.     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.  (2012 SCI Statistics & Probability, Rank 11/117, Impact Factor 2.044) [NSC87-2118-M-035-004] 

1999

67.     Chen*, C.W.S. (12/1999) Subset selection of autoregressive time series models.  Journal of Forecasting, 18, 505-516. (2012 SSCI Management, Rank 124/172, Economics, Rank 194/332, Impact Factor 0.769)  [NSC86-2115-M-035-017]

68.     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. (2012 SCI Statistics & Probability, Rank 35/117, Computer Science Interdisciplinary Applications, Rank 51/99, Impact Factor 1.304) [NSC86-2115-M-035-017]

1998

69.     Chen*, C.W.S. (9/1998) A Bayesian analysis of generalized threshold autoregressive models. Statistics & Probability Letters, 40, 15-22. (2012 SCI Statistics & Probability, Rank 90/117, Impact Factor 0.531)  [NSC85-2115-M-035-007]

70.     Lee, S.-M. and Chen*, C.W.S. (10/1998) Bayesian inference of population size for Behavioral response models. Statistica Sinica, 8, 1233-1247. (2012 SCI Statistics & Probability, Rank 25/117, Impact Factor 1.440) [NSC86-2115-M-035-017]

1997

71.       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. (2012 SCI Statistics & Probability, Rank 25/117, Impact Factor 1.440)

72.      Chen*, C.W.S. (5/1997) Detection of additive outliers in bilinear time series.  Computational Statistics & Data Analysis, 24, 283-294.  (2012 SCI Statistics & Probability, Rank 35/117, Computer Science Interdisciplinary Applications, Rank 51/99, Impact Factor 1.304)  [NSC83-0208-M-035-011]

73.      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. (2012 SSCI Management, Rank 124/172, Economics, Rank 194/332, Impact Factor 0.769) [NSC84-2121-M-035-007]

1995-1992

74.     Chen*, C.W.S. and Lee, J.C. (9/1995) Bayesian inference of threshold autoregressive models.   Journal of Time Series Analysis, 16, 483-492.  (2012 SCI Statistics & Probability, Rank 66/117, Impact Factor 0.787) [NSC82-0115-M-035-012-T]

75.      Chen*, C.W.S. (6/1992a) Bayesian inferences and forecasting in bilinear time series models.  Communications in statistics - Theory and Methods, 21, 1725-1743. (2012 SCI Statistics & Probability, Rank 111/117, Impact Factor 0.298)

76.     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. (2012 SCI Statistics & Probability, Rank 111/117, Impact Factor 0.298)