Articles with public access mandates - Cathy Yi-Hsuan ChenLearn more
Not available anywhere: 1
A factor-based approach of bond portfolio value-at-risk: The informational roles of macroeconomic and financial stress factors
AH Tu, CYH Chen
Journal of Empirical Finance 45, 243-268, 2018
Mandates: German Research Foundation
Available somewhere: 26
Sentiment-induced bubbles in the cryptocurrency market
CYH Chen, CM Hafner
Journal of Risk and Financial Management 12 (2), 53, 2019
Mandates: German Research Foundation
Pricing cryptocurrency options
AJ Hou, W Wang, CYH Chen, WK Härdle
Journal of Financial Econometrics 18 (2), 250-279, 2020
Mandates: National Natural Science Foundation of China, German Research Foundation
Tail event driven networks of SIFIs
CYH Chen, WK Härdle, Y Okhrin
Journal of Econometrics 208 (1), 282-298, 2019
Mandates: German Research Foundation
Distillation of news flow into analysis of stock reactions
JL Zhang, WK Härdle, CY Chen, E Bommes
Journal of Business & Economic Statistics 34 (4), 547-563, 2016
Mandates: German Research Foundation
Downside risk and stock returns in the G7 countries: An empirical analysis of their long-run and short-run dynamics
CYH Chen, TC Chiang, WK Härdle
Journal of Banking & Finance 93, 21-32, 2018
Mandates: German Research Foundation
FRM financial risk meter
A Mihoci, M Althof, CYH Chen, WK Härdle
The econometrics of networks, 335-368, 2020
Mandates: German Research Foundation, European Commission
Pricing cryptocurrency options: the case of CRIX and Bitcoin
CYH Chen, WK Härdle, AJ Hou, W Wang
IRTG 1792 Discussion Paper, 2018
Mandates: National Natural Science Foundation of China, German Research Foundation
Common factors in credit defaults swaps markets
CYH Chen, WK Härdle
SFB 649 Discussion Paper, 2012
Mandates: German Research Foundation
Dynamic credit default swap curves in a network topology
X Xu, CYH Chen, WK Härdle
Quantitative Finance 19 (10), 1705-1726, 2019
Mandates: National Natural Science Foundation of China, German Research Foundation
Monitoring network changes in social media
CYH Chen, Y Okhrin, T Wang
Journal of Business & Economic Statistics 42 (2), 391-406, 2024
Mandates: UK Engineering and Physical Sciences Research Council
Textual sentiment, option characteristics, and stock return predictability
CYH Chen, MR Fengler, WK Härdle, Y Liu
IRTG 1792 Discussion Paper, 2018
Mandates: German Research Foundation
Media-expressed tone, option characteristics, and stock return predictability
CYH Chen, MR Fengler, WK Härdle, Y Liu
Journal of Economic Dynamics and Control 134, 104290, 2022
Mandates: National Natural Science Foundation of China
Sonic: Social network analysis with influencers and communities
CYH Chen, WK Härdle, Y Klochkov
Journal of Econometrics 228 (2), 177-220, 2022
Mandates: German Research Foundation, European Commission
Quantifying systemic risk with factor copulas
CYH Chen, S Nasekin
The European Journal of Finance 26 (18), 1926-1947, 2020
Mandates: German Research Foundation
Adaptive weights clustering of research papers
L Adamyan, K Efimov, CY Chen, WK Härdle
Digital Finance 2 (3), 169-187, 2020
Mandates: German Research Foundation
Textual Sentiment and Sector specific reaction
E Bommes, CYH Chen, WK Härdle
Available at SSRN 3658203, 2018
Mandates: German Research Foundation
Coins with benefits: On existence, pricing kernel and risk premium of cryptocurrencies
CYH Chen, D Vinogradov
Pricing Kernel and Risk Premium of Cryptocurrencies (June 10, 2021), 2021
Mandates: German Research Foundation
TERES: Tail event risk expectile shortfall
A Mihoci, WK Härdle, CYH Chen
Quantitative finance 21 (3), 449-460, 2021
Mandates: German Research Foundation
The integration of credit default swap markets in the pre and post-subprime crisis in common stochastic trends
C Chen, WK Härdle, PT Hien
SFB 649 Discussion Paper 2014-038, 2014
Mandates: German Research Foundation
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