Professor Cathy Yi-Hsuan Chen

  • Professor in Corporate Finance and Banking (Accounting & Finance)

telephone: 01413305065
email: CathyYi-Hsuan.Chen@glasgow.ac.uk

Biography

Cathy Yi-Hsuan Chen joined the Adam Smith Business School March 2019, as Professor in Corporate Finance and Banking. Previously she held a position at the School of Business & Economics in Humboldt-Universität zu Berlin, and Mercator Fellow of International Research Training Group 1792.

Her research interests include:

  1. textual analysis in finance
  2. information distillation from social media
  3. financial technologies and cryptocurrencies
  4. systemic risk in banking industry.

Her research on systemic risk has been invited by European central bank for a seminar talk.

Personal website: Cathy Chen


Research interests

Cathy is a member of the School's Finance research cluster.

Areas of expertise:

  • Textual analysis
  • Social media in stock markets
  • Machine learning in finance
  • Cryptocurrencies
  • Sentiment analysis

Grants

October 2018 – March 2022: International Research Training Group 1792, award EUR 200,000


Supervision

  • Alla Petukhina (HU-Berlin)
  • Sergey Nasekin (HU-Berlin)
  • Hien Pham-Thu (HU-Berlin)
  • Petra Burdejova (HU-Berlin)
  • Lenka Zbonakova (HU-Berlin)

Teaching

Information retrieval with Python


Additional information

  • Associate Editor of Digital Finance and also Computational Statistics
  • Special issue editor of “Machine learning in Finance” in Digital Finance
  • PI of research project “Regulatory Risk Index for Cryptocurrency” in SKBI Singapore Management University
  • Visiting Scholar in Humboldt-Universität zu Berlin
  • Visiting Scholar in Singapore Management University
  • Reviewer in National Science Center, Poland

Publications

List by: Type | Date

Jump to: 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2011 | 2008
Number of items: 19.

2019

Chen, C. Y.-H. and Hafner, C. M. (2019) Sentiment-induced bubbles in the cryptocurrency market. Journal of Risk and Financial Management, 12(2), 53. (doi:10.3390/jrfm12020053)

Xu, X., Chen, C. Y.-H. and Härdle, W. K. (2019) Dynamic credit default swap curves in a network topology. Quantitative Finance, (doi:10.1080/14697688.2019.1585560) (Early Online Publication)

2018

Chen, C. Y.-H., Härdle, W. K. and Okhrin, Y. (2018) Tail event driven networks of SIFIs. Journal of Econometrics, 208(1), pp. 282-298. (doi:10.1016/j.jeconom.2018.09.016)

Chen, C. Y.-H., Chiang, T. C. and Härdle, W. K. (2018) Downside risk and stock returns in the G7 countries: An empirical analysis of their long-run and short-run dynamics. Journal of Banking and Finance, 93, pp. 21-32. (doi:10.1016/j.jbankfin.2018.05.012)

Tu, A. H. and Chen, C. Y.-H. (2018) A factor-based approach of bond portfolio value-at-risk: the informational roles of macroeconomic and financial stress factors. Journal of Empirical Finance, 45, pp. 243-268. (doi:10.1016/j.jempfin.2017.11.010)

2017

Lu, M.-J., Chen, C. Y.-H. and Härdle, W. K. (2017) Copula-based factor model for credit risk analysis. Review of Quantitative Finance and Accounting, 49(4), pp. 949-971. (doi:10.1007/s11156-016-0613-x)

Chen, C. Y.-H. and Chiang, T. C. (2017) Surprises, sentiments, and the expectations hypothesis of the term structure of interest rates. Review of Quantitative Finance and Accounting, 49(1), pp. 1-28. (doi:10.1007/s11156-016-0584-y)

2016

Chen, C. Y.-H. and Chiang, T. C. (2016) Empirical analysis of the intertemporal relationship between downside risk and expected returns: evidence from time-varying transition probability models. European Financial Management, 22(5), pp. 749-796. (doi:10.1111/eufm.12079)

Zhang, J. L., Härdle, W. K., Chen, C. Y. and Bommes, E. (2016) Distillation of news flow into analysis of stock reactions. Journal of Business and Economic Statistics, 34(4), pp. 547-563. (doi:10.1080/07350015.2015.1110525)

2015

Chen, C. Y.-H. and Härdle, W. K. (2015) Common factors in credit defaults swap markets. Computational Statistics, 30(3), pp. 845-863. (doi:10.1007/s00180-015-0578-6)

Chen, C. Y.-H. and Kuo, I.-D. K. (2015) Survey sentiment and interest rate option smile. International Review of Economics and Finance, 37, pp. 125-137. (doi:10.1016/j.iref.2014.11.018)

2014

Chen, C. Y.-H. (2014) Does Fear Spill Over? Asia-Pacific Journal of Financial Studies, 43(4), pp. 465-491. (doi:10.1111/ajfs.12055)

Chen, C. Y.-H. and Kuo, I.-D. (2014) Investor sentiment and interest rate volatility smile: evidence from Eurodollar options markets. Review of Quantitative Finance and Accounting, 43(2), pp. 367-391. (doi:10.1007/s11156-013-0376-6)

Chen, C. Y.-H., Kuo, I.-D. and Chiang, T. C. (2014) What explains deviations in the unbiased expectations hypothesis? Market irrationality vs. the peso problem. Journal of International Financial Markets, Institutions and Money, 30, pp. 172-190. (doi:10.1016/j.intfin.2014.01.009)

2013

Chen, Y.-H. and Tu, A. H. (2013) Estimating hedged portfolio value-at-risk using the conditional copula: an illustration of model risk. International Review of Economics and Finance, 27, pp. 514-528. (doi:10.1016/j.iref.2013.01.006)

2011

Wang, K., Chen, Y.-H. and Huang, S.-W. (2011) The dynamic dependence between the Chinese market and other international stock markets: a time-varying copula approach. International Review of Economics and Finance, 20(4), pp. 654-664. (doi:10.1016/j.iref.2010.12.003)

Chen, Y.-H., Wang, K. and Tu, A. H. (2011) Default correlation at the sovereign level: evidence from some Latin American markets. Applied Economics, 43(11), pp. 1399-1411. (doi:10.1080/00036840802600467)

Kuo, I.-D. and Chen, C. Y.-H. (2011) Regime dependent information contents of model-free volatility: evidence from the Eurodollar options markets. Review of Futures Markets, 19, pp. 347-380.

2008

Chen, Y.-H., Tu, A. H. and Wang, K. (2008) Dependence structure between the credit default swap return and the kurtosis of the equity return distribution: evidence from Japan. Journal of International Financial Markets, Institutions and Money, 18(3), pp. 259-271. (doi:10.1016/j.intfin.2006.10.004)

This list was generated on Mon May 27 11:57:53 2019 BST.
Jump to: Articles
Number of items: 19.

Articles

Chen, C. Y.-H. and Hafner, C. M. (2019) Sentiment-induced bubbles in the cryptocurrency market. Journal of Risk and Financial Management, 12(2), 53. (doi:10.3390/jrfm12020053)

Xu, X., Chen, C. Y.-H. and Härdle, W. K. (2019) Dynamic credit default swap curves in a network topology. Quantitative Finance, (doi:10.1080/14697688.2019.1585560) (Early Online Publication)

Chen, C. Y.-H., Härdle, W. K. and Okhrin, Y. (2018) Tail event driven networks of SIFIs. Journal of Econometrics, 208(1), pp. 282-298. (doi:10.1016/j.jeconom.2018.09.016)

Chen, C. Y.-H., Chiang, T. C. and Härdle, W. K. (2018) Downside risk and stock returns in the G7 countries: An empirical analysis of their long-run and short-run dynamics. Journal of Banking and Finance, 93, pp. 21-32. (doi:10.1016/j.jbankfin.2018.05.012)

Tu, A. H. and Chen, C. Y.-H. (2018) A factor-based approach of bond portfolio value-at-risk: the informational roles of macroeconomic and financial stress factors. Journal of Empirical Finance, 45, pp. 243-268. (doi:10.1016/j.jempfin.2017.11.010)

Lu, M.-J., Chen, C. Y.-H. and Härdle, W. K. (2017) Copula-based factor model for credit risk analysis. Review of Quantitative Finance and Accounting, 49(4), pp. 949-971. (doi:10.1007/s11156-016-0613-x)

Chen, C. Y.-H. and Chiang, T. C. (2017) Surprises, sentiments, and the expectations hypothesis of the term structure of interest rates. Review of Quantitative Finance and Accounting, 49(1), pp. 1-28. (doi:10.1007/s11156-016-0584-y)

Chen, C. Y.-H. and Chiang, T. C. (2016) Empirical analysis of the intertemporal relationship between downside risk and expected returns: evidence from time-varying transition probability models. European Financial Management, 22(5), pp. 749-796. (doi:10.1111/eufm.12079)

Zhang, J. L., Härdle, W. K., Chen, C. Y. and Bommes, E. (2016) Distillation of news flow into analysis of stock reactions. Journal of Business and Economic Statistics, 34(4), pp. 547-563. (doi:10.1080/07350015.2015.1110525)

Chen, C. Y.-H. and Härdle, W. K. (2015) Common factors in credit defaults swap markets. Computational Statistics, 30(3), pp. 845-863. (doi:10.1007/s00180-015-0578-6)

Chen, C. Y.-H. and Kuo, I.-D. K. (2015) Survey sentiment and interest rate option smile. International Review of Economics and Finance, 37, pp. 125-137. (doi:10.1016/j.iref.2014.11.018)

Chen, C. Y.-H. (2014) Does Fear Spill Over? Asia-Pacific Journal of Financial Studies, 43(4), pp. 465-491. (doi:10.1111/ajfs.12055)

Chen, C. Y.-H. and Kuo, I.-D. (2014) Investor sentiment and interest rate volatility smile: evidence from Eurodollar options markets. Review of Quantitative Finance and Accounting, 43(2), pp. 367-391. (doi:10.1007/s11156-013-0376-6)

Chen, C. Y.-H., Kuo, I.-D. and Chiang, T. C. (2014) What explains deviations in the unbiased expectations hypothesis? Market irrationality vs. the peso problem. Journal of International Financial Markets, Institutions and Money, 30, pp. 172-190. (doi:10.1016/j.intfin.2014.01.009)

Chen, Y.-H. and Tu, A. H. (2013) Estimating hedged portfolio value-at-risk using the conditional copula: an illustration of model risk. International Review of Economics and Finance, 27, pp. 514-528. (doi:10.1016/j.iref.2013.01.006)

Wang, K., Chen, Y.-H. and Huang, S.-W. (2011) The dynamic dependence between the Chinese market and other international stock markets: a time-varying copula approach. International Review of Economics and Finance, 20(4), pp. 654-664. (doi:10.1016/j.iref.2010.12.003)

Chen, Y.-H., Wang, K. and Tu, A. H. (2011) Default correlation at the sovereign level: evidence from some Latin American markets. Applied Economics, 43(11), pp. 1399-1411. (doi:10.1080/00036840802600467)

Kuo, I.-D. and Chen, C. Y.-H. (2011) Regime dependent information contents of model-free volatility: evidence from the Eurodollar options markets. Review of Futures Markets, 19, pp. 347-380.

Chen, Y.-H., Tu, A. H. and Wang, K. (2008) Dependence structure between the credit default swap return and the kurtosis of the equity return distribution: evidence from Japan. Journal of International Financial Markets, Institutions and Money, 18(3), pp. 259-271. (doi:10.1016/j.intfin.2006.10.004)

This list was generated on Mon May 27 11:57:53 2019 BST.