61 citations · 95 across the 4 of their papers we have counts for
6 papers
SONIC: SOcial Network with Influencers and Communities
Cathy Yi-Hsuan Chen, Wolfgang Karl Härdle, Yegor Klochkov
The integration of social media characteristics into an econometric framework requires modeling a high dimensional dynamic network with dimensions of parameter typically much large…
Blockchain mechanism and distributional characteristics of cryptos
Min-Bin Lin, Kainat Khowaja, Cathy Yi-Hsuan Chen +1
We investigate the relationship between underlying blockchain mechanism of cryptocurrencies and its distributional characteristics. In addition to price, we emphasise on using actu…
Copula-Based Factor Model for Credit Risk Analysis
Meng-Jou Lu, Cathy Yi-Hsuan Chen, Wolfgang Karl Härdle
A standard quantitative method to access credit risk employs a factor model based on joint multivariate normal distribution properties. By extending a one-factor Gaussian copula mo…
A first econometric analysis of the CRIX family
Shi Chen, Cathy Yi-Hsuan Chen, Wolfgang Karl Härdle
In order to price contingent claims one needs to first understand the dynamics of these indices. Here we provide a first econometric analysis of the CRIX family within a time-serie…
Pricing Cryptocurrency Options
Ai Jun Hou, Weining Wang, Cathy Y. H. Chen +1
Cryptocurrencies, especially Bitcoin (BTC), which comprise a new digital asset class, have drawn extraordinary worldwide attention. The characteristics of the cryptocurrency/BTC in…
Distillation of News Flow into Analysis of Stock Reactions
Junni L. Zhang, Wolfgang Karl Härdle, Cathy Y. Chen +1
The gargantuan plethora of opinions, facts and tweets on financial business offers the opportunity to test and analyze the influence of such text sources on future directions of st…