Details about Simon Sai Man Kwok

Access statistics for papers by Simon Sai Man Kwok.

Last updated 2022-12-06. Update your information in the RePEc Author Service.

Short-id: pkw22

Working Papers

2021

1. Inferring Financial Bubbles from Option Data
   Working Papers, University of Sydney, School of Economics View citations (8)
   See also Journal Article Inferring financial bubbles from option data, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2021) View citations (8) (2021)
2. Nonparametric Inference of Jump Autocorrelation
   Working Papers, University of Sydney, School of Economics

2020

3. The PCDID Approach: Difference-in-Differences when Trends are Potentially Unparallel and Stochastic
   Working Papers, University of Sydney, School of Economics View citations (5)
   See also Journal Article The PCDID Approach: Difference-in-Differences When Trends Are Potentially Unparallel and Stochastic, Journal of Business & Economic Statistics, Taylor & Francis Journals (2022) View citations (10) (2022)

2016

4. A Flexible Generalised Hyperbolic Option Pricing Model and its Special Cases
   Working Papers, University of Sydney, School of Economics
   See also Journal Article A Flexible Generalized Hyperbolic Option Pricing Model and Its Special Cases, Journal of Financial Econometrics, Oxford University Press (2018) View citations (2) (2018)
5. Policy Evaluation with Interactive Fixed Effects
   Working Papers, University of Sydney, School of Economics View citations (7)

2015

6. The Effect of Risk Sharing on Asset Prices: Natural Experiment from the Chinese Stock Market Liberalization
   Working Papers, University of Sydney, School of Economics

2014

7. Capital Account Liberalization and Dynamic Price Discovery: Evidence from Chinese Cross-Listed Stocks
   Working Paper Series, Economics Discipline Group, UTS Business School, University of Technology, Sydney View citations (1)
   Also in Working Papers, University of Sydney, School of Economics (2014) View citations (2)
   See also Journal Article Capital account liberalization and dynamic price discovery: evidence from Chinese cross-listed stocks, Applied Economics, Taylor & Francis Journals (2016) View citations (12) (2016)
8. Connecting the Markets? Recent Evidence on China's Capital Account Liberalization
   Working Papers, University of Sydney, School of Economics View citations (1)
   See also Journal Article Connecting the markets? Recent evidence on China’s capital account liberalization, Economic Modelling, Elsevier (2018) View citations (4) (2018)
9. Specification Tests of Calibrated Option Pricing Models
   Working Papers, University of Sydney, School of Economics
   See also Journal Article Specification tests of calibrated option pricing models, Journal of Econometrics, Elsevier (2015) View citations (8) (2015)

Journal Articles

2022

1. Financial wealth, investment, and confidence in a DSGE model for China
   International Review of Economics & Finance, 2022, 79, (C), 114-134
2. The PCDID Approach: Difference-in-Differences When Trends Are Potentially Unparallel and Stochastic
   Journal of Business & Economic Statistics, 2022, 40, (3), 1216-1233 View citations (10)
   See also Working Paper The PCDID Approach: Difference-in-Differences when Trends are Potentially Unparallel and Stochastic, Working Papers (2020) View citations (5) (2020)

2021

3. Inferring financial bubbles from option data
   Journal of Applied Econometrics, 2021, 36, (7), 1013-1046 View citations (8)
   See also Working Paper Inferring Financial Bubbles from Option Data, Working Papers (2021) View citations (8) (2021)
4. Jointly determining the state dimension and lag order for Markov‐switching vector autoregressive models
   Journal of Time Series Analysis, 2021, 42, (4), 471-491 View citations (2)

2018

5. A Flexible Generalized Hyperbolic Option Pricing Model and Its Special Cases
   Journal of Financial Econometrics, 2018, 16, (3), 425-460 View citations (2)
   See also Working Paper A Flexible Generalised Hyperbolic Option Pricing Model and its Special Cases, Working Papers (2016) (2016)
6. Connecting the markets? Recent evidence on China’s capital account liberalization
   Economic Modelling, 2018, 70, (C), 417-428 View citations (4)
   See also Working Paper Connecting the Markets? Recent Evidence on China's Capital Account Liberalization, Working Papers (2014) View citations (1) (2014)

2017

7. Risk-sharing, market imperfections, asset prices: Evidence from China’s stock market liberalization
   Journal of Banking & Finance, 2017, 84, (C), 166-187 View citations (26)

2016

8. Capital account liberalization and dynamic price discovery: evidence from Chinese cross-listed stocks
   Applied Economics, 2016, 48, (6), 517-535 View citations (12)
   See also Working Paper Capital Account Liberalization and Dynamic Price Discovery: Evidence from Chinese Cross-Listed Stocks, Working Paper Series (2014) View citations (1) (2014)

2015

9. Specification tests of calibrated option pricing models
   Journal of Econometrics, 2015, 189, (2), 397-414 View citations (8)
   See also Working Paper Specification Tests of Calibrated Option Pricing Models, Working Papers (2014) (2014)

Software Items

2021

1. PCDID: Stata module to perform principal components difference-in-differences
   Statistical Software Components, Boston College Department of Economics