Details about Ser-Huang Poon

Access statistics for papers by Ser-Huang Poon.

Last updated 2026-09-14. Update your information in the RePEc Author Service.

Short-id: ppo127

Working Papers

2026

1. Realised Volatility Forecasting: Machine Learning via Financial Word Embedding
   Papers, arXiv.org

2012

2. High Frequency Trading and Mini Flash Crashes
   Papers, arXiv.org View citations (47)

2001

3. New Extreme-Value Dependance Measures and Finance Applications
   Working Papers, HAL
   Also in HEC Research Papers Series, HEC Paris (2001) View citations (5)
   CEPR Discussion Papers, Centre for Economic Policy Research (2001) View citations (5)

Journal Articles

2026

1. Machine learning for realised volatility forecasting
   Journal of Empirical Finance, 2026, 88, (C)

2024

2. Vocabulary Herfindahl Index (VocaHIn): Linguistic dominance and collective effervescence in WallStreetBets
   Economics Letters, 2024, 244, (C)
3. Women on boards and corporate social irresponsibility: evidence from a Granger style reverse causality minimisation procedure
   The European Journal of Finance, 2024, 30, (1), 1-27 View citations (6)

2023

4. Moneyness, Underlying Asset Volatility, and the Cross-Section of Option Returns*
   Review of Finance, 2023, 27, (1), 289-323 View citations (2)
5. Price convergence between credit default swap and put option: New evidence
   Journal of Empirical Finance, 2023, 72, (C), 188-213

2022

6. Option pricing with random risk aversion
   Review of Quantitative Finance and Accounting, 2022, 58, (4), 1665-1684

2021

7. Slow- and fast-moving information content of CDS spreads: new endogenous systematic factors
   The European Journal of Finance, 2021, 27, (1-2), 136-157
8. Ultra-short tenor yield curve for intraday trading and settlement
   The European Journal of Finance, 2021, 27, (4-5), 441-459 View citations (1)

2020

9. Too big to ignore? Hedge fund flows and bond yields
   Journal of Banking & Finance, 2020, 112, (C) View citations (3)

2019

10. Corporate social responsibility reports: topic analysis and big data approach
    The European Journal of Finance, 2019, 25, (17), 1637-1654 View citations (18)
11. Rating-based CDS curves
    The European Journal of Finance, 2019, 25, (7), 689-723 View citations (4)

2018

12. The reality of stock market jumps diversification
    Journal of International Money and Finance, 2018, 86, (C), 171-188 View citations (5)

2017

13. What Does Risk-Neutral Skewness Tell Us About Future Stock Returns?
    Management Science, 2017, 63, (6), 1814-1834 View citations (41)

2015

14. Credit contagion in the presence of non-normal shocks
    International Review of Financial Analysis, 2015, 37, (C), 129-139 View citations (1)
15. Estimating dynamic copula dependence using intraday data
    Studies in Nonlinear Dynamics & Econometrics, 2015, 19, (4), 501-529 View citations (3)
16. Loan Portfolio Loss Models With More Flexible Asymmetry and Tails for Korean Banks and a Comparison of Their Regional Concentrations
    Emerging Markets Finance and Trade, 2015, 51, (S3), 118-139 View citations (2)

2014

17. Fast Approximation of Loan Portfolio Loss
    Global Credit Review (GCR), 2014, 04, (01), 67-85
18. 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)
19. 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

20. Market liquidity and institutional trading during the 2007–8 financial crisis
    International Review of Financial Analysis, 2013, 30, (C), 86-97 View citations (9)

2012

21. 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

22. 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

23. 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)

2005

24. Practical Issues in Forecasting Volatility
    Financial Analysts Journal, 2005, 61, (1), 45-56 View citations (4)

2004

25. Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications
    The Review of Financial Studies, 2004, 17, (2), 581-610 View citations (279)

2003

26. Forecasting Volatility in Financial Markets: A Review
    Journal of Economic Literature, 2003, 41, (2), 478-539 View citations (903)

2002

27. 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

28. 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 (306)
29. Modelling S&P 100 volatility: The information content of stock returns
    Journal of Banking & Finance, 2001, 25, (9), 1665-1679 View citations (27)
30. Returns synchronization and daily correlation dynamics between international stock markets
    Journal of Banking & Finance, 2001, 25, (10), 1805-1827 View citations (148)

2000

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

1996

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

1992

33. Stock returns and volatility: An empirical study of the UK stock market
    Journal of Banking & Finance, 1992, 16, (1), 37-59 View citations (95)

Books

2018

1. Advanced Finance Theories
   World Scientific Books, World Scientific Publishing Co. Pte. Ltd.

2007

2. Financial Modeling Under Non-Gaussian Distributions
   Springer Finance, Springer View citations (20)

2005

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

Chapters

2018

1. Consumption and Portfolio Selection
   Chapter 4 in Advanced Finance Theories, 2018, pp 39-63
2. Pricing Kernel and Stochastic Discount Factor
   Chapter 2 in Advanced Finance Theories, 2018, pp 5-17
3. Risk Measures
   Chapter 3 in Advanced Finance Theories, 2018, pp 19-38
4. Utility Theory
   Chapter 1 in Advanced Finance Theories, 2018, pp 1-4

2013

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

2008

7. Chapter 9 A Source of Long Memory in Volatility
   A chapter in Forecasting in the Presence of Structural Breaks and Model Uncertainty, 2008, pp 329-380