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Details about Ser-Huang Poon

Homepage:http://www.personal.mbs.ac.uk/ser-huang-poon/
Workplace:Manchester Business School

Access statistics for papers by Ser-Huang Poon.

Last updated 2015-10-15. Update your information in the RePEc Author Service.

Short-id: ppo127


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Working Papers

2012

  1. High Frequency Trading and Mini Flash Crashes
    Papers, arXiv.org Downloads View citations (7)

2001

  1. New Extreme-Value Dependance Measures and Finance Applications
    Les Cahiers de Recherche, HEC Paris Downloads View citations (5)
    Also in Working Papers, HAL (2001)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2001) Downloads View citations (6)

Journal Articles

2015

  1. Credit contagion in the presence of non-normal shocks
    International Review of Financial Analysis, 2015, 37, (C), 129-139 Downloads View citations (1)
  2. Estimating dynamic copula dependence using intraday data
    Studies in Nonlinear Dynamics & Econometrics, 2015, 19, (4), 501-529 Downloads

2014

  1. Forecasting and decomposition of portfolio credit risk using macroeconomic and frailty factors
    Journal of Economic Dynamics and Control, 2014, 41, (C), 69-92 Downloads View citations (4)
  2. Non-monotonic pricing kernel and an extended class of mixture of distributions for option pricing
    Review of Derivatives Research, 2014, 17, (2), 241-259 Downloads

2013

  1. Market liquidity and institutional trading during the 2007–8 financial crisis
    International Review of Financial Analysis, 2013, 30, (C), 86-97 Downloads View citations (3)

2012

  1. Belief rule-based system for portfolio optimisation with nonlinear cash-flows and constraints
    European Journal of Operational Research, 2012, 223, (3), 775-784 Downloads

2011

  1. Hedging the black swan: Conditional heteroskedasticity and tail dependence in S&P500 and VIX
    Journal of Banking & Finance, 2011, 35, (9), 2374-2387 Downloads View citations (6)

2010

  1. General equilibrium and preference free model for pricing options under transformed gamma distribution
    Journal of Futures Markets, 2010, 30, (5), 409-431 Downloads View citations (2)

2004

  1. Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications
    Review of Financial Studies, 2004, 17, (2), 581-610 Downloads View citations (149)

2003

  1. Forecasting Volatility in Financial Markets: A Review
    Journal of Economic Literature, 2003, 41, (2), 478-539 Downloads View citations (394)

2002

  1. Asymmetric and crash effects in stock volatility for the S&P 100 index and its constituents
    Applied Financial Economics, 2002, 12, (5), 319-329 Downloads View citations (2)

2001

  1. Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns
    Journal of Econometrics, 2001, 105, (1), 5-26 Downloads View citations (173)
  2. Modelling S&P 100 volatility: The information content of stock returns
    Journal of Banking & Finance, 2001, 25, (9), 1665-1679 Downloads View citations (12)
  3. Returns synchronization and daily correlation dynamics between international stock markets
    Journal of Banking & Finance, 2001, 25, (10), 1805-1827 Downloads View citations (99)

2000

  1. The Determinants of Implied Volatility: A Test Using LIFFE Option Prices
    Journal of Business Finance & Accounting, 2000, 27, (7&8), 859-885 Downloads View citations (1)
  2. Trading volatility spreads: a test of index option market efficiency
    European Financial Management, 2000, 6, (2), 235-260 Downloads View citations (12)

1996

  1. Persistence and mean reversion in UK stock returns
    European Financial Management, 1996, 2, (2), 169-196 Downloads View citations (5)

1992

  1. Stock returns and volatility: An empirical study of the UK stock market
    Journal of Banking & Finance, 1992, 16, (1), 37-59 Downloads View citations (51)

Books

2005

  1. Asset Pricing in Discrete Time: A Complete Markets Approach
    OUP Catalogue, Oxford University Press View citations (3)

Chapters

2013

  1. Derivatives pricing with affine models and numerical implementation
    Chapter 6 in Handbook of Research Methods and Applications in Empirical Finance, 2013, pp 148-168 Downloads
  2. Markov Chain Monte Carlo with particle filtering
    Chapter 7 in Handbook of Research Methods and Applications in Empirical Finance, 2013, pp 169-194 Downloads
 
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