Search Results - "Lin, Edward M. H."

Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis by Chen, Cathy W.S., Gerlach, Richard,  Lin, Edward M. H., Lee, W. C. W.

“…ABSTRACT Value‐at‐risk (VaR) forecasting via a computational Bayesian framework is considered. A range of parametric models is compared, including standard,…”
Get full text

Systemic risk, financial markets, and performance of financial institutions by Lin, Edward M. H., Sun, Edward W., Yu, Min-Teh

“…This paper studies the exposure and contribution of financial institutions to systemic risks in financial markets. We employ three popular indicators of a…”
Get full text

Bayesian quantile forecasting via the realized hysteretic GARCH model by Chen, Cathy W. S., Lin, Edward M. H., Huang, Tara F. J.

“…This research introduces a new model, a realized hysteretic GARCH, that is similar to a three‐regime nonlinear framework combined with daily returns and…”
Get full text

Forecasting volatility with asymmetric smooth transition dynamic range models by Lin, Edward M.H., Chen, Cathy W.S., Gerlach, Richard

“…We propose a nonlinear smooth transition conditional autoregressive range (CARR) model for capturing smooth volatility asymmetries in international financial…”
Get full text

Bayesian estimation and inference for log-ACD models by Gerlach, Richard, Peiris, Shelton, Lin, Edward M. H.

“…This paper adapts Bayesian Markov chain Monte Carlo methods for application to some auto-regressive conditional duration models. Subsequently, the properties…”
Get full text

A bootstrap test for threshold effects in a diffusion process by Rachinger, Heiko, Lin, Edward M. H., Tsai, Henghsiu

“…This paper proposes a bootstrap testing approach based on an approximate maximum likelihood method to discern whether a diffusion process is linear or whether…”
Get full text

Volatility forecasting with double Markov switching GARCH models by Chen, Cathy W. S., So, Mike K. P., Lin, Edward M. H.

“…This paper investigates inference and volatility forecasting using a Markov switching heteroscedastic model with a fat‐tailed error distribution to analyze…”
Get full text

Bivariate asymmetric GARCH models with heavy tails and dynamic conditional correlations by Choy, S.T. Boris, Chen, Cathy W.S., Lin, Edward M.H.

“…A bivariate generalized autoregressive conditional heteroskedastic model with dynamic conditional correlation and leverage effect (DCC-GJR-GARCH) for modelling…”
Get full text

Bank systemic risk and CEO overconfidence by Lee, Jin-Ping, Lin, Edward M.H., Lin, James Juichia, Zhao, Yang

“…This study examines the relationship between CEO overconfidence and banking systemic risk. We employ the CoVaR (Conditional Value-at-Risk) approach to measure…”
Get full text

Systemic risk, interconnectedness, and non-core activities in Taiwan insurance industry by Chang, Carolyn W., Li, Xiaodan, Lin, Edward M.H., Yu, Min-Teh

“…We employ three measures− marginal expected shortfall, SRISK index, and Conditional Value-at-Risk− to assess an insurer's exposure and contribution to systemic…”
Get full text

Bayesian Assessment of Dynamic Quantile Forecasts by Gerlach, Richard, Chen, Cathy W. S., Lin, Edward M. H.

“…Bayesian methods for assessing the accuracy of dynamic financial value‐at‐risk (VaR) forecasts have not been considered in the literature. Such methods are…”
Get full text

Inference of Seasonal Long-memory Time Series with Measurement Error by Tsai, Henghsiu, Rachinger, Heiko, Lin, Edward M.H.

“…We consider the Whittle likelihood estimation of seasonal autoregressive fractionally integrated moving-average models in the presence of an additional…”
Get full text

Bayesian estimation of smoothly mixing time-varying parameter GARCH models by Chen, Cathy W.S., Gerlach, Richard, Lin, Edward M.H.

“…Smoothly time-varying (TV) GARCH models via an asymmetric logistic function mechanism are proposed, which are incorporated into the conditional volatility…”
Get full text

Bayesian estimation of realized GARCH-type models with application to financial tail risk management by Chen, Cathy W.S., Watanabe, Toshiaki, Lin, Edward M.H.

“…Advances in the various realized GARCH models have proven effective in taking account of the bias in realized volatility (RV) introduced by microstructure…”
Get full text

Behavioral data-driven analysis with Bayesian method for risk management of financial services by Lin, Edward M.H., Sun, Edward W., Yu, Min-Teh

“…Time-varying behavioral features and non-linear dependence are widely observed in big data and challenge the operating systems and processes of risk management…”
Get full text

DOUBLY CONSTRAINED FACTOR MODELS WITH APPLICATIONS by Tsai, Henghsiu, Tsay, Ruey S., Lin, Edward M. H., Cheng, Ching-Wei

“…This paper focuses on factor analysis of multivariate time series. We propose statistical methods that enable analysts to leverage their prior knowledge or…”
Get full text

Volatility forecasting using threshold heteroskedastic models of the intra-day range by Chen, Cathy W.S., Gerlach, Richard, Lin, Edward M.H.

“…An effective approach for forecasting return volatility via threshold nonlinear heteroskedastic models of the daily asset price range is provided. The range is…”
Get full text

Forecasting and Backtesting Gradient Allocations of Expected Shortfall by Koike, Takaaki, Chen, Cathy W. S, Lin, Edward M. H

“…Capital allocation is a procedure for quantifying the contribution of each source of risk to aggregated risk. The gradient allocation rule, also known as the…”
Get full text

Volatility forecasting using threshold heteroskedastic models of the intra-day range : Statistical and computational methods in France by CHEN, Cathy W. S, GERLACH, Richard, LIN, Edward M. H

Get full text