Ser-Huang Poon : Citation Profile


Are you Ser-Huang Poon?

University of Manchester

10

H index

10

i10 index

1269

Citations

RESEARCH PRODUCTION:

18

Articles

4

Papers

1

Books

2

Chapters

RESEARCH ACTIVITY:

   23 years (1992 - 2015). See details.
   Cites by year: 55
   Journals where Ser-Huang Poon has often published
   Relations with other researchers
   Recent citing documents: 104.    Total self citations: 6 (0.47 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppo127
   Updated: 2020-09-14    RAS profile: 2015-10-15    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Ser-Huang Poon.

Is cited by:

McAleer, Michael (31)

Clements, Adam (26)

GUPTA, RANGAN (25)

Degiannakis, Stavros (19)

Chang, Chia-Lin (15)

Fernandez, Viviana (14)

Christoffersen, Peter (13)

Savva, Christos (10)

Koopman, Siem Jan (9)

Osborn, Denise (9)

Wohar, Mark (9)

Cites to:

Bollerslev, Tim (17)

de Vries, Casper (6)

Andersen, Torben (6)

Diebold, Francis (5)

Engle, Robert (5)

Svensson, Lars (4)

Söderlind, Paul (4)

Pedersen, Lasse (4)

Jagannathan, Ravi (4)

Lucas, Andre (4)

Maudos, Joaquin (3)

Main data


Where Ser-Huang Poon has published?


Journals with more than one article published# docs
Journal of Banking & Finance4
International Review of Financial Analysis2
European Financial Management2

Recent works citing Ser-Huang Poon (2020 and 2019)


YearTitle of citing document
2019Volatility experience of major world stock markets. (2019). Rao, Prabhakara R ; Mallikarjuna, M. In: Theoretical and Applied Economics. RePEc:agr:journl:v:4(621):y:2019:i:4(621):p:35-52.

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2019Volatility experience of major world stock markets. (2019). Mallikarjuna, Mejari ; Rao, Prabhakara R. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxvi:y:2019:i:4(621):p:35-52.

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2020Interconnectedness in the Global Financial Market. (2017). Raddant, Matthias ; Kenett, Dror Y. In: Papers. RePEc:arx:papers:1704.01028.

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2019The Changing Geopolitics in the Arab World: Implications of the 2017 Gulf Crisis for Business. (2019). bouoiyour, jamal ; Selmi, Refk. In: Papers. RePEc:arx:papers:1903.08076.

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2019Copula estimation for nonsynchronous financial data. (2019). Sen, Rituparna ; Chakrabarti, Arnab. In: Papers. RePEc:arx:papers:1904.10182.

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2020Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling. (2020). Cerqueti, Roy ; Mattera, Raffaele ; Giacalone, Massimiliano. In: Papers. RePEc:arx:papers:2004.11674.

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2020Hidden Markov Models Applied To Intraday Momentum Trading With Side Information. (2020). Turner, Richard ; Godsill, Simon ; Christensen, Hugh. In: Papers. RePEc:arx:papers:2006.08307.

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2020Forecasting volatility with a stacked model based on a hybridized Artificial Neural Network. (2020). Alonso-Gonz, P J ; Ramos, E ; J. J. N'u~nez-Vel'azquez, . In: Papers. RePEc:arx:papers:2006.16383.

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2020Applying Dynamic Training-Subset Selection Methods Using Genetic Programming for Forecasting Implied Volatility. (2020). Abdelmalek, Wafa ; ben Hamida, Sana ; Abid, Fathi. In: Papers. RePEc:arx:papers:2007.07207.

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2020Volatility Depend on Market Trades and Macro Theory. (2020). Olkhov, Victor. In: Papers. RePEc:arx:papers:2008.07907.

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2020Mini flash crashes: Review, taxonomy and policy responses. (2020). Petitjean, Mikael ; Laly, Floris. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:72:y:2020:i:3:p:251-271.

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2020Commodity option pricing efficiency before Black, Scholes, and Merton. (2020). Saleuddin, Rasheed ; Chambers, David. In: Economic History Review. RePEc:bla:ehsrev:v:73:y:2020:i:2:p:540-564.

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2019The Core, Periphery, and Beyond: Stock Market Comovements among EU and Non‐EU Countries. (2019). McCarthy, Joseph ; Goldstein, Michael A ; Orlov, Alexei G. In: The Financial Review. RePEc:bla:finrev:v:54:y:2019:i:1:p:5-56.

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2020Freight rates in downside and upside markets: pricing of own and spillover risks from other shipping segments. (2020). Savva, Christos ; Tsouknidis, Dimitris ; Theodossiou, Panayiotis. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:183:y:2020:i:3:p:1097-1119.

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2019Commodity Option Pricing Efficiency before Black Scholes Merton. (2019). Chambers, David. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13975.

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2019Empirical Analysis on Price-Volume Relation in the Stock Market of China. (2019). Zhu, Lu-Jie ; Yan, Surong ; Lin, Li-Wei ; Wei, Shih-Yung. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2019-05-14.

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2019Understanding flash crash contagion and systemic risk: A micro–macro agent-based approach. (2019). Wooldridge, Michael ; Calinescu, Anisoara ; Paulin, James. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:100:y:2019:i:c:p:200-229.

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2019Improving forecasts with the co-range dynamic conditional correlation model. (2019). Fiszeder, Piotr ; Fadziski, Marcin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:108:y:2019:i:c:s0165188919301356.

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2019Liquidity pull-back and predictability of government security yield volatility. (2019). Sasidharan, Subash ; Chundakkadan, Radeef. In: Economic Modelling. RePEc:eee:ecmode:v:77:y:2019:i:c:p:124-132.

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2020Volatility transmission to the fine wine market. (2020). ben Ameur, Hachmi ; le Fur, Eric ; Lefur, Eric . In: Economic Modelling. RePEc:eee:ecmode:v:85:y:2020:i:c:p:307-316.

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2019Liquidity shocks and institutional investors. (2019). Dang, Tung ; Zhang, Bohui ; Moshirian, Fariborz. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:184-209.

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2019Time-varying risk aversion and realized gold volatility. (2019). GUPTA, RANGAN ; Demirer, Riza ; Pierdzioch, Christian ; Gkillas, Konstantinos. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818306399.

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2020A TVM-Copula-MIDAS-GARCH model with applications to VaR-based portfolio selection. (2020). Tong, Yongbo ; Xu, Qifa ; Ding, Xiaoyi ; Jiang, Cuixia. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819300993.

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2020The economic and financial properties of crude oil: A review. (2020). Auer, Benjamin R ; Lang, Korbinian. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940818302559.

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2020A comparison of tail dependence estimators. (2020). Weiss, Gregor ; Irresberger, Felix ; Supper, Hendrik . In: European Journal of Operational Research. RePEc:eee:ejores:v:284:y:2020:i:2:p:728-742.

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2020On a High-Dimensional Model Representation method based on Copulas. (2020). Andrikopoulos, Athanasios ; Tsionas, Mike G. In: European Journal of Operational Research. RePEc:eee:ejores:v:284:y:2020:i:3:p:967-979.

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2019Network-based estimation of systematic and idiosyncratic contagion: The case of Chinese financial institutions. (2019). Zhu, Xiaoqian ; Li, Jianping ; Yao, Yanzhen. In: Emerging Markets Review. RePEc:eee:ememar:v:40:y:2019:i:c:2.

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2019Range-based DCC models for covariance and value-at-risk forecasting. (2019). Fiszeder, Piotr ; Molnar, Peter ; Fadziski, Marcin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:54:y:2019:i:c:p:58-76.

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2019Dynamic correlations between oil prices and the stock prices of clean energy and technology firms: The role of reserve currency (US dollar). (2019). Soytas, Ugur ; Kocaarslan, Baris. In: Energy Economics. RePEc:eee:eneeco:v:84:y:2019:i:c:s014098831930283x.

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2020The asymmetric impact of oil prices, interest rates and oil price uncertainty on unemployment in the US. (2020). Soytas, Mehmet ; Kocaarslan, Baris. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988319304220.

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2019Modeling intraday volatility of European bond markets: A data filtering application. (2019). Dufour, Alfonso ; Zhang, Hanyu. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:131-146.

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2019Modeling diversification and spillovers of loan portfolios losses by LHP approximation and copula. (2019). Yang, Kisung ; Lee, Yongwoong . In: International Review of Financial Analysis. RePEc:eee:finana:v:66:y:2019:i:c:s1057521919300894.

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2019Intraday information from S&P 500 Index futures options. (2019). , Nelson ; Chen, Ying ; Lim, Kian Guan. In: Journal of Financial Markets. RePEc:eee:finmar:v:42:y:2019:i:c:p:29-55.

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2019Good and bad volatility spillovers: An asymmetric connectedness. (2019). Bensaida, Ahmed. In: Journal of Financial Markets. RePEc:eee:finmar:v:43:y:2019:i:c:p:78-95.

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2019The information content of short-term options. (2019). Simen, Chardin Wese ; Symeonidis, Lazaros ; Stancu, Andrei ; Oikonomou, Ioannis. In: Journal of Financial Markets. RePEc:eee:finmar:v:46:y:2019:i:c:s1386418118303057.

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2020Arab geopolitics in turmoil: Implications of Qatar-Gulf crisis for business. (2020). Selmi, Refk ; bouoiyour, jamal. In: International Economics. RePEc:eee:inteco:v:161:y:2020:i:c:p:100-119.

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2019Does the volatility of volatility risk forecast future stock returns?. (2019). JAWADI, Fredj ; Fu, XI ; Bu, Ruijun. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:61:y:2019:i:c:p:16-36.

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2019Robust optimization of forecast combinations. (2019). Karabati, Seluk ; Post, Thierry ; Arvanitis, Stelios. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:3:p:910-926.

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2020Trading and non-trading period realized market volatility: Does it matter for forecasting the volatility of US stocks?. (2020). Lyócsa, Štefan ; Todorova, Neda. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:628-645.

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2020Forecasting stock price volatility: New evidence from the GARCH-MIDAS model. (2020). Yang, Lin ; Liu, Jing ; Ma, Feng ; Wang, LU. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:684-694.

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2020The term structure of volatility predictability. (2020). Zakamulin, Valeriy. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:723-737.

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2019Modelling the volatility of international visitor arrivals to New Zealand. (2019). Balli, Hatice ; Kan, Wai Hong. In: Journal of Air Transport Management. RePEc:eee:jaitra:v:75:y:2019:i:c:p:204-214.

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2020Macroeconomic effects and frailties in the resolution of non-performing loans. (2020). Rosch, Daniel ; Kellner, Ralf ; Kruger, Steffen ; Betz, Jennifer. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:112:y:2020:i:c:s0378426617302224.

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2019Market stability vs. market resilience: Regulatory policies experiments in an agent-based model with low- and high-frequency trading. (2019). Napoletano, Mauro ; Leal, Sandrine Jacob. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:157:y:2019:i:c:p:15-41.

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2020Is there a risk-return trade-off in cryptocurrency markets? The case of Bitcoin. (2020). , Walid. In: Journal of Economics and Business. RePEc:eee:jebusi:v:108:y:2020:i:c:s0148619519302206.

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2020Global currency hedging with common risk factors. (2020). Riddiough, Steven J ; Opie, Wei. In: Journal of Financial Economics. RePEc:eee:jfinec:v:136:y:2020:i:3:p:780-805.

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2019Price volatility and speculative activities in futures commodity markets: A combination of combinations of p-values test. (2019). Leccadito, Arturo ; Algieri, Bernardina. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:13:y:2019:i:c:p:40-54.

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2019Forecasting the KOSPI200 spot volatility using various volatility measures. (2019). Chun, Dohyun ; Ryu, Doojin ; Cho, Hoon. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:514:y:2019:i:c:p:156-166.

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2019Financial time series forecasting model based on CEEMDAN and LSTM. (2019). Li, Jian ; Cao, Jian. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:519:y:2019:i:c:p:127-139.

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2020Hedging effectiveness of precious metals across frequencies: Evidence from Wavelet based Dynamic Conditional Correlation analysis. (2020). Kumar, Surya Bhushan ; Das, Debojyoti ; Bhatia, Vaneet. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:541:y:2020:i:c:s0378437119320242.

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2020Forecast model for financial time series: An approach based on harmonic oscillators. (2020). Bosco, A R ; Acebal, J L ; Machado, A C ; Garcia, M M. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:549:y:2020:i:c:s0378437120301321.

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2019A statistical analysis of uncertainty for conventional and ethical stock indexes. (2019). JAWADI, Fredj ; Cheffou, Abdoukarim Idi. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:74:y:2019:i:c:p:9-17.

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2019The role of economic policy uncertainties in predicting stock returns and their volatility for Hong Kong, Malaysia and South Korea. (2019). Balcilar, Mehmet ; Kyei, Clement ; Kim, Won Joong ; Gupta, Rangan. In: International Review of Economics & Finance. RePEc:eee:reveco:v:59:y:2019:i:c:p:150-163.

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2019From efficient markets to adaptive markets: Evidence from the French stock exchange. (2019). Boya, Christophe. In: Research in International Business and Finance. RePEc:eee:riibaf:v:49:y:2019:i:c:p:156-165.

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2019Investor attention and Google Search Volume Index: Evidence from an emerging market using quantile regression analysis. (2019). Takeda, Fumiko ; Swamy, Vighneswara ; Dharani, M. In: Research in International Business and Finance. RePEc:eee:riibaf:v:50:y:2019:i:c:p:1-17.

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2020When spread bites fast – Volatility and wide bid-ask spread in a mixed high-frequency and low-frequency environment. (2020). Maria, Gianluca Piero. In: Research in International Business and Finance. RePEc:eee:riibaf:v:51:y:2020:i:c:s0275531919302636.

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2020Investors’ risk perceptions in the US and global stock market integration. (2020). Marfatia, Hardik A. In: Research in International Business and Finance. RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531919301266.

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2020The forecasting ability of solar and space weather data on NASDAQ’s finance sector price index volatility. (2020). Michaelides, Panayotis ; Konstantakis, Konstantinos ; Daglis, Theodoros ; Papadakis, Theodoulos Eleftherios. In: Research in International Business and Finance. RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531919307639.

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2019The High Holidays: Psychological mechanisms of honesty in real-life financial decisions. (2019). Qadan, Mahmoud ; Kliger, Doron. In: Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics). RePEc:eee:soceco:v:78:y:2019:i:c:p:121-137.

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2019Arab Geopolitics in Turmoil: Implications Of Qatar-Gulf Crisis for Business. (2019). bouoiyour, jamal ; Selmi, Refk. In: Working Papers. RePEc:erg:wpaper:1337.

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2020What is Certain about Uncertainty?. (2020). Sarisoy, Cisil ; Rodriguez, Marius ; Rogers, John ; Ma, Sai ; Jahan-Parvar, Mohammad ; Grishchenko, Olesya ; Datta, Deepa ; Cascaldi-Garcia, Danilo ; del Giudice, Marius ; Loria, Francesca ; Londono, Juan M ; Revil, Thiago ; Zer, Ilknur. In: International Finance Discussion Papers. RePEc:fip:fedgif:1294.

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2019Bivariate Volatility Modeling with High-Frequency Data. (2019). Agell, Nuria ; Rovira, Xari ; Matei, Marius. In: Econometrics. RePEc:gam:jecnmx:v:7:y:2019:i:3:p:41-:d:267457.

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2019Can Central Banking Policies Make a Difference in Financial Market Performance in Emerging Economies? The Case of India. (2019). Srivastava, Mrinalini ; Mahendru, Mandeep ; Sharma, Gagan Deep. In: Economies. RePEc:gam:jecomi:v:7:y:2019:i:2:p:49-:d:232721.

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2019Forecasting Realized Volatility Using a Nonnegative Semiparametric Model. (2019). Yu, Jun ; JunYu, ; Daniel, ; Eriksson, Anders. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:3:p:139-:d:262198.

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2019Dynamic Responses of Major Equity Markets to the US Fear Index. (2019). Raffiee, Kambiz ; Macri, Joseph ; Chatrath, Arjun ; Adrangi, Bahram. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:4:p:156-:d:270481.

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2020Long Memory in the Volatility of Selected Cryptocurrencies: Bitcoin, Ethereum and Ripple. (2020). Altintig, Ayca Z ; Atikka, Ozgur ; Okur, Mustafa ; Soylu, Pinar Kaya. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:6:p:107-:d:364466.

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2020Realized Measures to Explain Volatility Changes over Time. (2020). Tsagkanos, Athanasios ; Konstantatos, Christoforos ; Gkillas, Konstantinos ; Floros, Christos. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:6:p:125-:d:371152.

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2020Do We Need Stochastic Volatility and Generalised Autoregressive Conditional Heteroscedasticity? Comparing Squared End-Of-Day Returns on FTSE. (2020). McAleer, Michael ; Allen, David. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:1:p:12-:d:315296.

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2020Estimating Stochastic Volatility under the Assumption of Stochastic Volatility of Volatility. (2020). Gkillas, Konstantinos ; Floros, Christos ; Alghalith, Moawia. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:2:p:35-:d:344228.

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2020Predictability of OTC Option Volatility for Future Stock Volatility. (2020). Park, Yuen Jung ; Kim, Jungmu. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:12:p:5200-:d:376450.

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2019The Changing Geopolitics in the Arab World: Implications of the 2017 Gulf Crisis for Business. (2019). bouoiyour, jamal ; Selmi, Refk. In: Post-Print. RePEc:hal:journl:hal-02071921.

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2019Forecasting Inflation Uncertainty in the United States and Euro Area. (2019). JAWADI, Fredj ; Ftiti, Zied. In: Computational Economics. RePEc:kap:compec:v:54:y:2019:i:1:d:10.1007_s10614-018-9794-9.

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2020Oil shocks and volatility jumps. (2020). GUPTA, RANGAN ; Wohar, Mark E ; Gkillas, Konstantinos. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:54:y:2020:i:1:d:10.1007_s11156-018-00788-y.

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2020Triple Regime Stochastic Volatility Model with Threshold and Leverage Effects. (2020). Lee, Eunhee ; Han, Heejoon. In: Korean Economic Review. RePEc:kea:keappr:ker-20200701-36-2-07.

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2020First to “Read” the News: News Analytics and Algorithmic Trading. (2020). Keim, Donald B ; von Beschwitz, Bastian ; Massa, Massimo. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:10:y:2020:i:1:p:122-178..

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2019The role of monetary policy uncertainty in predicting equity market volatility of the United Kingdom: evidence from over 150 years of data. (2019). Wohar, Mark ; GUPTA, RANGAN. In: Economics and Business Letters. RePEc:ove:journl:aid:13257.

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2020Oil price assumptions for macroeconomic policy. (2020). Filis, George ; Degiannakis, Stavros. In: MPRA Paper. RePEc:pra:mprapa:100705.

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2020Volatility Depend on Market Trades and Macro Theory. (2020). Olkhov, Victor. In: MPRA Paper. RePEc:pra:mprapa:102434.

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2019Influence of US Presidential Terms on S&P500 Index Using a Time Series Analysis Approach. (2019). Ogbonna, Ahamuefula ; Yaya, Olaoluwa S ; Mudida, Robert ; Gil-Alana, Luis A ; Osuolale, Kazeem. In: MPRA Paper. RePEc:pra:mprapa:93941.

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2019Monetary Policy Uncertainty and Volatility Jumps in Advanced Equity Markets. (2019). Kyei, Clement ; GUPTA, RANGAN ; Gkillas (Gillas), Konstantinos ; Bouri, Elie. In: Working Papers. RePEc:pre:wpaper:201939.

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2019Forecasting Volatility and Co-volatility of Crude Oil and Gold Futures: Effects of Leverage, Jumps, Spillovers, and Geopolitical Risks. (2019). McAleer, Michael ; GUPTA, RANGAN ; Asai, Manabu. In: Working Papers. RePEc:pre:wpaper:201951.

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2019A Moving Average Heterogeneous Autoregressive Model for Forecasting the Realized Volatility of the US Stock Market: Evidence from Over a Century of Data. (2019). Salisu, Afees ; Ogbonna, Ahamuefula ; GUPTA, RANGAN. In: Working Papers. RePEc:pre:wpaper:201978.

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2020Forecasting Realized Volatility of Bitcoin: The Role of the Trade War. (2020). GUPTA, RANGAN ; Pierdzioch, Christian ; Gkillas, Konstantinos ; Bouri, Elie. In: Working Papers. RePEc:pre:wpaper:202003.

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2020OPEC News and Jumps in the Oil Market. (2020). Yoon, Seong-Min ; Pierdzioch, Christian ; GUPTA, RANGAN ; Gkillas, Konstantinos. In: Working Papers. RePEc:pre:wpaper:202053.

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2019Options Pricing by Monte Carlo Simulation, Binomial Tree and BMS Model: a comparative study of Nifty50 options index. (2019). BENDOB, ALI ; Bentouir, Naima. In: Journal of Banking and Financial Economics. RePEc:sgm:jbfeuw:v:1:y:2019:i:11:p:79-95.

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2020The analysis on Chinese e-commerce tax losses based on the perspective of information asymmetry. (2020). Han, Wei. In: Electronic Commerce Research. RePEc:spr:elcore:v:20:y:2020:i:3:d:10.1007_s10660-018-9318-7.

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2020Tail dependence in emerging ASEAN-6 equity markets: empirical evidence from quantitative approaches. (2020). Duc, Toan Luu ; Duong, Duy. In: Financial Innovation. RePEc:spr:fininn:v:6:y:2020:i:1:d:10.1186_s40854-019-0168-7.

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2020Google Search Intensity and the Investor Attention Effect: A Quantile Regression Approach. (2020). Swamy, Vighneswara ; Dharani, M. In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:18:y:2020:i:2:d:10.1007_s40953-019-00185-9.

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2019Forecasting Realized Volatility: The role of implied volatility, leverage effect, overnight returns and volatility of realized volatility. (2019). Tsakou, Katerina ; McMillan, David ; Kambouroudis, Dimos. In: Working Papers. RePEc:swn:wpaper:2019-03.

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2019Multivariate Crash Risk. (2019). Weigert, Florian ; Huggenberger, Markus ; Chabi-Yo, Fousseni. In: Working Papers on Finance. RePEc:usg:sfwpfi:2019:01.

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2019Does the inclusion of exposure to volatility into diversified portfolio improve the investment results? Portfolio construction from the perspective of a Polish investor.. (2019). Ślepaczuk, Robert ; Latoszek, Micha. In: Working Papers. RePEc:war:wpaper:2019-14.

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2020Realized Semicovariances. (2020). Quaedvlieg, Rogier ; Bollerslev, Tim ; Patton, Andrew J. In: Econometrica. RePEc:wly:emetrp:v:88:y:2020:i:4:p:1515-1551.

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2019Exploring the predictability of range‐based volatility estimators using recurrent neural networks. (2019). Gall, Jozsef ; Petnehazi, Gabor. In: Intelligent Systems in Accounting, Finance and Management. RePEc:wly:isacfm:v:26:y:2019:i:3:p:109-116.

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2019Derivatives pricing with liquidity risk. (2019). Ding, Shusheng ; Zhang, Yongmin ; Duygun, Meryem. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:11:p:1471-1485.

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2019Oil price volatility and real options: 35 years of evidence. (2019). Elder, John. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:12:p:1549-1564.

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2019Volatility information implied in the term structure of VIX. (2019). Hung, Mao Wei ; Chang, Kaijiun ; Yen, Kuangchieh ; Wang, Yawhuei. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:1:p:56-71.

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2019Indian equity options: Smile, risk premiums, and efficiency. (2019). Varma, Jayanth ; Jain, Sonali ; Agarwalla, Sobhesh Kumar. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:2:p:150-163.

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2019Properties and the predictive power of implied volatility in the New Zealand dairy market. (2019). Frijns, Bart ; Fernandezperez, Adrian ; Touranirad, Alireza ; Gafiatullina, Ilnara. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:5:p:612-631.

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2020Uncertainty and the volatility forecasting power of option‐implied volatility. (2020). Jeon, Byounghyun ; Kim, Jun Sik ; Seo, Sung Won. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:7:p:1109-1126.

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2020Price risk management by using dynamic hedging based on advanced Black–Scholes model. (2020). Ye, Zhongxing ; Liu, Xunzhi ; Qin, Haoyang ; Zhao, Liheng ; Shen, Jiaqi ; Lu, Peili. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:07:y:2020:i:01:n:s2424786320500115.

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2020Impact of Expected Shortfall Approach on Capital Requirement Under Basel. (2020). Siu, Yam Wing. In: Review of Pacific Basin Financial Markets and Policies (RPBFMP). RePEc:wsi:rpbfmp:v:22:y:2020:i:04:n:s0219091519500255.

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More than 100 citations found, this list is not complete...

Works by Ser-Huang Poon:


YearTitleTypeCited
2003Forecasting Volatility in Financial Markets: A Review In: Journal of Economic Literature.
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article577
2012High Frequency Trading and Mini Flash Crashes In: Papers.
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paper19
1996Persistence and mean reversion in UK stock returns In: European Financial Management.
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article7
2000Trading volatility spreads: a test of index option market efficiency In: European Financial Management.
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article13
2000The Determinants of Implied Volatility: A Test Using LIFFE Option Prices In: Journal of Business Finance & Accounting.
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article1
2015Estimating dynamic copula dependence using intraday data In: Studies in Nonlinear Dynamics & Econometrics.
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article2
2001New Extreme-Value Dependence Measures and Finance Applications In: CEPR Discussion Papers.
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paper10
2001New Extreme-Value Dependance Measures and Finance Applications.(2001) In: HEC Research Papers Series.
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This paper has another version. Agregated cites: 10
paper
2001New Extreme-Value Dependance Measures and Finance Applications.(2001) In: Working Papers.
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This paper has another version. Agregated cites: 10
paper
2014Forecasting and decomposition of portfolio credit risk using macroeconomic and frailty factors In: Journal of Economic Dynamics and Control.
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article8
2001Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns In: Journal of Econometrics.
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article221
2012Belief rule-based system for portfolio optimisation with nonlinear cash-flows and constraints In: European Journal of Operational Research.
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article1
2013Market liquidity and institutional trading during the 2007–8 financial crisis In: International Review of Financial Analysis.
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article4
2015Credit contagion in the presence of non-normal shocks In: International Review of Financial Analysis.
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article1
1992Stock returns and volatility: An empirical study of the UK stock market In: Journal of Banking & Finance.
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article66
2001Returns synchronization and daily correlation dynamics between international stock markets In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article118
2001Modelling S&P 100 volatility: The information content of stock returns In: Journal of Banking & Finance.
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article14
2011Hedging the black swan: Conditional heteroskedasticity and tail dependence in S&P500 and VIX In: Journal of Banking & Finance.
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article11
2013Derivatives pricing with affine models and numerical implementation In: Chapters.
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chapter0
2013Markov Chain Monte Carlo with particle filtering In: Chapters.
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chapter0
2014Non-monotonic pricing kernel and an extended class of mixture of distributions for option pricing In: Review of Derivatives Research.
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article0
2004Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications In: Review of Financial Studies.
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article184
2005Asset Pricing in Discrete Time: A Complete Markets Approach In: OUP Catalogue.
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book6
2002Asymmetric and crash effects in stock volatility for the S&P 100 index and its constituents In: Applied Financial Economics.
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article3
2010General equilibrium and preference free model for pricing options under transformed gamma distribution In: Journal of Futures Markets.
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article3

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