Details about Ser-Huang Poon

Access statistics for papers by Ser-Huang Poon.

Last updated 2023-03-16. Update your information in the RePEc Author Service.

Short-id: ppo127

Working Papers

2012

1. High Frequency Trading and Mini Flash Crashes
   Papers, arXiv.org View citations (41)

2001

2. New Extreme-Value Dependance Measures and Finance Applications
   HEC Research Papers Series, HEC Paris View citations (5)
   Also in Working Papers, HAL (2001)
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2001) View citations (5)

Journal Articles

2015

1. Credit contagion in the presence of non-normal shocks
   International Review of Financial Analysis, 2015, 37, (C), 129-139 View citations (1)
2. Estimating dynamic copula dependence using intraday data
   Studies in Nonlinear Dynamics & Econometrics, 2015, 19, (4), 501-529 View citations (3)

2014

3. Forecasting and decomposition of portfolio credit risk using macroeconomic and frailty factors
   Journal of Economic Dynamics and Control, 2014, 41, (C), 69-92 View citations (8)
4. Non-monotonic pricing kernel and an extended class of mixture of distributions for option pricing
   Review of Derivatives Research, 2014, 17, (2), 241-259

2013

5. Market liquidity and institutional trading during the 2007–8 financial crisis
   International Review of Financial Analysis, 2013, 30, (C), 86-97 View citations (6)

2012

6. Belief rule-based system for portfolio optimisation with nonlinear cash-flows and constraints
   European Journal of Operational Research, 2012, 223, (3), 775-784 View citations (2)

2011

7. Hedging the black swan: Conditional heteroskedasticity and tail dependence in S&P500 and VIX
   Journal of Banking & Finance, 2011, 35, (9), 2374-2387 View citations (20)

2010

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

2004

9. Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications
   The Review of Financial Studies, 2004, 17, (2), 581-610 View citations (261)

2003

10. Forecasting Volatility in Financial Markets: A Review
    Journal of Economic Literature, 2003, 41, (2), 478-539 View citations (822)

2002

11. Asymmetric and crash effects in stock volatility for the S&P 100 index and its constituents
    Applied Financial Economics, 2002, 12, (5), 319-329 View citations (4)

2001

12. 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 View citations (299)
13. Modelling S&P 100 volatility: The information content of stock returns
    Journal of Banking & Finance, 2001, 25, (9), 1665-1679 View citations (26)
14. Returns synchronization and daily correlation dynamics between international stock markets
    Journal of Banking & Finance, 2001, 25, (10), 1805-1827 View citations (142)

2000

15. Trading volatility spreads: a test of index option market efficiency
    European Financial Management, 2000, 6, (2), 235-260 View citations (14)

1996

16. Persistence and mean reversion in UK stock returns
    European Financial Management, 1996, 2, (2), 169-196 View citations (9)

1992

17. Stock returns and volatility: An empirical study of the UK stock market
    Journal of Banking & Finance, 1992, 16, (1), 37-59 View citations (88)

Books

2005

1. Asset Pricing in Discrete Time: A Complete Markets Approach
   OUP Catalogue, Oxford University Press View citations (7)

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
2. Markov Chain Monte Carlo with particle filtering
   Chapter 7 in Handbook of Research Methods and Applications in Empirical Finance, 2013, pp 169-194