By Associate Professor Feng Chen

Journal articles

Shao Z; Yao X; Chen F; Wang Z; Gao J, 2024, 'Revisiting time-varying dynamics in stock market forecasting: A Multi-source sentiment analysis approach with large language model', Decision Support Systems, pp. 114362 - 114362, http://dx.doi.org/10.1016/j.dss.2024.114362

Stindl T; Chen F, 2023, 'STOCHASTIC DECLUSTERING OF EARTHQUAKES WITH THE SPATIOTEMPORAL RENEWAL ETAS MODEL', Annals of Applied Statistics, 17, pp. 3173 - 3194, http://dx.doi.org/10.1214/23-AOAS1756

Xuan H; Maestrini L; Chen F; Grazian C, 2023, 'Stochastic Variational Inference for GARCH Models', Statistics and Computing

Stindl T; Chen F, 2023, 'EM algorithm for the estimation of the RETAS model', Journal of Computational and Graphical Statistics, http://dx.doi.org/10.1080/10618600.2023.2253293

Stindl T; Chen F, 2023, 'Stochastic declustering of earthquakes with the spatiotemporal renewal ETAS model', Annals of Applied Statistics, http://dx.doi.org/10.1080/10618600.2023.2253293

Kwan J; Chen F; Dunsmuir W, 2023, 'Alternative asymptotic inference theory for a non-stationary Hawkes process', Journal of Statistical Planning and Inference, http://dx.doi.org/10.1016/j.jspi.2023.03.004

Wee D; Chen F; Dunsmuir W, 2023, 'ESTIMATING GARCH(1,1) IN THE PRESENCE OF MISSING DATA', Annals of Applied Statistics, http://dx.doi.org/10.1214/23-AOAS1734

Chen Y-Y; Chen F; Wu KC-C; Lu T-H; Chi Y-C; Yip PSF, 2023, 'Dynamic reciprocal relationships between traditional media reports, social media postings, and youth suicide in Taiwan between 2012 and 2021', SSM - Population Health, 24, pp. 101543 - 101543, http://dx.doi.org/10.1016/j.ssmph.2023.101543

Stindl T; Chen F, 2022, 'Spatiotemporal ETAS model with a renewal main-shock arrival process', Journal of the Royal Statistical Society Series C: Applied Statistics, 71, pp. 1356 - 1380, http://dx.doi.org/10.1111/rssc.12579

Wee DCH; Chen F; Dunsmuir WTM, 2022, 'Likelihood inference for Markov switching GARCH(1,1) models using sequential Monte Carlo', Econometrics and Statistics, 21, pp. 50 - 68, http://dx.doi.org/10.1016/j.ecosta.2020.03.004

Stindl T; Chen F, 2021, 'Accelerating the estimation of renewal Hawkes self-exciting point processes', Statistics and Computing, https://web.maths.unsw.edu.au/~fengchen/pubs/StindlChen2021-FastRH.pdf

Tan WH; Chen F, 2021, 'Predicting the Popularity of Tweets Using Internal and External Knowledge: An Empirical Bayes Type Approach', AStA Advances in Statistical Analysis, 105, pp. 335 - 352, http://dx.doi.org/10.1007/s10182-021-00390-z

Stindl T; Chen F, 2019, 'Modeling extreme negative returns using marked renewal Hawkes processes', Extremes, 22, pp. 705 - 728, http://dx.doi.org/10.1007/s10687-019-00352-4

Wee D; Chen F; Dunsmuir W, 2019, 'Likelihood inference for a COGARCH process using sequential Monte Carlo', Journal Of Financial Econometrics, 17, pp. 229 - 253, http://dx.doi.org/10.1093/jjfinec/nby012

stindl ; Chen F, 2018, 'Likelihood Based Inference for the Multivariate Renewal Hawkes Process', Computational Statistics and Data Analysis, 123, pp. 131 - 145, http://dx.doi.org/10.1016/j.csda.2018.01.021

Chen F; Tan WH, 2018, 'Marked self-exciting point process modelling of information diffusion on Twitter', Annals of Applied Statistics, 12, pp. 2175 - 2196, http://dx.doi.org/10.1214/18-AOAS1148

Cheng Q; Chen F; Lee EST; Yip PSF, 2018, 'The role of media in preventing student suicides: A Hong Kong experience', Journal of Affective Disorders, 227, pp. 643 - 648, http://dx.doi.org/10.1016/j.jad.2017.11.007

Xu J; Lam KF; Chen F; Milligan P; Cheung YB, 2017, 'Semiparametric estimation of time-varying intervention effects using recurrent event data', Statistics in Medicine, 36, pp. 2682 - 2696, http://dx.doi.org/10.1002/sim.7319

Yip PSF; Cheng Q; Chang SS; Lee EST; Lai CSC; Chen F; Law YWF; Cheng TME; Chiu SM; Tse TLJ; Cheung KWR; Tse ML; Morgan PR; Beh P, 2017, 'A public health approach in responding to the spread of helium suicide in Hong Kong: A case report', Crisis, 38, pp. 269 - 277, http://dx.doi.org/10.1027/0227-5910/a000449

Cheng Q; Chen F; Yip PSF, 2017, 'Media effects on suicide methods: A case study on Hong Kong 1998-2005', PLoS ONE, 12, pp. e0175580, http://dx.doi.org/10.1371/journal.pone.0175580

Chen F; Stindl T, 2017, 'Direct Likelihood Evaluation for the Renewal Hawkes Process', Journal of Computational and Graphical Statistics, 27, pp. 119 - 131, http://dx.doi.org/10.1080/10618600.2017.1341324

Chen F; Hall P, 2016, 'Nonparametric Estimation for Self-Exciting Point Processes—A Parsimonious Approach', Journal of Computational and Graphical Statistics, 25, pp. 209 - 224, http://dx.doi.org/10.1080/10618600.2014.1001491

Bai F; Chen F; Chen K, 2015, 'Semiparametric estimation of a self-exciting regression model with an application in recurrent event data analysis', Statistica Sinica, 25, pp. 1503 - 1526, http://dx.doi.org/10.5705/ss.2013.217

Chen YY; Chen F; Chang SS; Wong J; Yip PSF, 2015, 'Assessing the efficacy of Restricting access to barbecue charcoal for suicide prevention in Taiwan: A community-based intervention trial', PLoS ONE, 10, pp. e0133809, http://dx.doi.org/10.1371/journal.pone.0133809

Chen F; Yip PS, 2015, 'The influence of cold weather on the usage of emergency link calls: A case study in Hong Kong', BMC Medical Informatics and Decision Making, 15, pp. 66, http://dx.doi.org/10.1186/s12911-015-0191-1

Zhu J; Chen F, 2015, 'Dividend optimization under reserve constraints for the Cramér-Lundberg model compounded by force of interest', Economic Modelling, 46, pp. 142 - 156, http://dx.doi.org/10.1016/j.econmod.2014.11.019

Chen F; Chen K, 2014, 'Modeling event clustering using the m-Memory Cox-type self-exciting intensity model', International Journal of Statistics and Probability, 3, pp. 126 - 137, http://dx.doi.org/10.5539/ijsp.v3n3p126

Yip P; Chen F, 2014, 'A study on the effect of exclusion period on the suicidal risk among the insured', Social Science & Medicine, 110, pp. 26 - 30, http://dx.doi.org/10.1016/j.socscimed.2014.03.023

Chen F; Chen K, 2014, 'Case-cohort analysis of clusters of recurrent events', Lifetime Data Analysis, 20, pp. 1 - 15, http://dx.doi.org/10.1007/s10985-013-9275-3

Yip PSF; Kwok S; Chen F; Xu X; Chen Y, 2013, 'A study on the mutual causation of suicide reporting and suicide incidences', Journal of Affective Disorders, 148, pp. 98 - 103, http://dx.doi.org/10.1016/j.jad.2012.11.056

Chen F; Chen K, 2013, 'Case-cohort analysis of clusters of recurrent events', Lifetime Data Analysis, pp. 1 - 15, http://dx.doi.org/10.1007/s10985-013-9275-3

Zhu J; Chen F, 2013, 'Dividend optimization for regime-switching general diffusions', Insurance Mathematics and Economics, 53, pp. 439 - 456, http://dx.doi.org/10.1016/j.insmatheco.2013.07.006

Chen F; Hall P, 2013, 'Inference for a non-stationary self-exciting point process with an application in ultra-high frequency financial data modeling', Journal of Applied Probability, 50, pp. 1006 - 1024, http://dx.doi.org/10.1239/jap/1389370096

Chen F; Hall P, 2013, 'Inference for a Nonstationary Self-Exciting Point Process with an Application in Ultra-High Frequency Financial Data Modeling', Journal of Applied Probability, 50, pp. 1006 - 1024, http://dx.doi.org/10.1017/s0021900200013760

Chen Y; Chen F; Gunnell D; Yip PSF, 2013, 'The impact of media reporting on the emergence of charcoal burning suicide in Taiwan', PLoS One, 8, pp. e55000, http://dx.doi.org/10.1371/journal.pone.0055000

Chen F, 2011, 'Maximum local partial likelihood estimators for the counting process intensity function and its derivatives', Statistica Sinica, 21, pp. 107 - 128, http://www3.stat.sinica.edu.tw/statistica/j21n1/J21N14/J21N14.html

Chen F; Yip PS; Lam KF, 2011, 'On the Local Polynomial Estimators of the Counting Process Intensity Function and its Derivatives', Scandinavian Journal of Statistics, 38, pp. 631 - 649, http://dx.doi.org/10.1111/j.1467-9469.2011.00733.x

Cheng Q; Chen F; Yip PS, 2011, 'The Foxconn suicides and their media prominence: is the Werther Effect applicable in China?', BMC Public Health, 11, pp. 11pp, http://dx.doi.org/10.1186/1471-2458-11-841

Chen Y; Chen F; Yip PS, 2011, 'The impact of media reporting of suicide on actual suicides in Taiwan, 2002-05', Journal of Epidemiology and Community Health, 65, pp. 934 - 940, http://dx.doi.org/10.1136/jech.2010.117903

Yip PSF; Watson R; Chan KS; Lau EHY; Chen F; Xu Y; Xi L; Cheung DYT; Ip BYT; Liu D, 2010, 'Estimation of the number of people in a demonstration', Australian and New Zealand Journal of Statistics, 52, pp. 17 - 26, http://dx.doi.org/10.1111/j.1467-842x.2009.00562.x

Lin H; Yip PS; Chen F, 2009, 'Estimating the population size for a multiple list problem with an open population', Statistica Sinica, 19, pp. 177 - 196, http://www3.stat.sinica.edu.tw/sstest/oldpdf/A19n19.pdf

Chen F; Huggins RM; Yip PSF; Lam E, 2008, 'Local polynomial estimation of Poisson intensities in the presence of reporting delays', Journal of the Royal Statistical Society Series C - Applied Statistics, 57, pp. 447 - 459

Chen F; Huggins RM; Yip PS; Lam KF, 2008, 'Nonparametric estimation of multiplicative counting process intensity functions with an application to the Beijing SARS epidemic', Communications in Statistics - Theory and Methods, 37, pp. 294 - 306

Feng C; Zhu J; Li Z, 2008, 'Upper bounds for the ruin probabilities of the entrance-based risk model', Communications in Statistics - Theory and Methods, 37, pp. 2634 - 2652, http://dx.doi.org/10.1080/03610920801942447

Li Z; Zhu J; Feng C, 2005, 'Study of a risk model based on the entrance process', Statistics and Probability Letters, 72, pp. 1 - 10, http://dx.doi.org/10.1016/j.spl.2004.10.028

Conference Papers

Tan WH; Chen F, 2022, 'On the Choice of Functionals Obtained from the Predictive Distribution of Future Retweet Counts', Pahang, Malaysia, presented at 3rd International Conference on Applied & Industrial Mathematics and Statistics 2022, Pahang, Malaysia, 24 August 2022 - 26 August 2022

Conference Presentations

Chen F, 2007, 'Local Polynomial Estimation of Counting Process Intensities', presented at 56th Session of the ISI, Lisbon, Portugal

Software / Code

Stindl T, 2018, Multivariate Renewal Hawkes Process, CRAN, R Package, Published: 15 August 2018, Software / Code, https://cran.r-project.org/web/packages/MRHawkes/index.html

Stindl T, 2017, Renewal Hawkes Process, CRAN, R Package, Published: 16 November 2017, Software / Code, https://cran.r-project.org/web/packages/RHawkes/index.html

Chen F, 2016, Inhomogeneous Self-Exciting Process, CRAN, R package, Published: 18 August 2016, Software / Code, https://cran.r-project.org/package=IHSEP

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