9
H index
9
i10 index
1687
Citations
University of Manchester | 9 H index 9 i10 index 1687 Citations RESEARCH PRODUCTION: 17 Articles 4 Papers 1 Books 2 Chapters RESEARCH ACTIVITY: 23 years (1992 - 2015). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/ppo127 |
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: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Banking & Finance | 4 |
International Review of Financial Analysis | 2 |
European Financial Management | 2 |
Year | Title of citing document |
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2023 | Nonparametric estimator of the tail dependence coefficient: balancing bias and variance. (2021). , Maxime ; Garcin, Matthieu. In: Papers. RePEc:arx:papers:2111.11128. Full description at Econpapers || Download paper |
2023 | Dynamic Risk Measurement by EVT based on Stochastic Volatility models via MCMC. (2022). , Shibo ; Bo, Shi. In: Papers. RePEc:arx:papers:2201.09434. Full description at Econpapers || Download paper |
2023 | Physics-Informed Convolutional Transformer for Predicting Volatility Surface. (2022). Hong, Youngjoon ; Lee, Muhyun ; Bae, Hyeong-Ohk ; Yun, Seok-Bae ; Kim, Soohan. In: Papers. RePEc:arx:papers:2209.10771. Full description at Econpapers || Download paper |
2023 | A Look at Financial Dependencies by Means of Econophysics and Financial Economics. (2023). di Matteo, T ; Raddant, M. In: Papers. RePEc:arx:papers:2302.08208. Full description at Econpapers || Download paper |
2023 | Comparing Deep Learning Models for the Task of Volatility Prediction Using Multivariate Data. (2023). Suominen, Hanna ; Lensky, Artem ; Isai, Leigh ; Lalbakhsh, Pooia ; Ge, Wenbo. In: Papers. RePEc:arx:papers:2306.12446. Full description at Econpapers || Download paper |
2023 | DeepVol: A Deep Transfer Learning Approach for Universal Asset Volatility Modeling. (2023). Kohn, Robert ; Gerlach, Richard ; Wang, Chao ; Tran, Minh-Ngoc ; Liu, Chen. In: Papers. RePEc:arx:papers:2309.02072. Full description at Econpapers || Download paper |
2023 | Statistical Properties of Two Asymmetric Stochastic Volatility in Mean Models. (2023). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2303. Full description at Econpapers || Download paper |
2023 | Estimation of Asymmetric Stochastic Volatility in Mean Models. (2023). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2309. Full description at Econpapers || Download paper |
2023 | Forecasting swap rate volatility with information from swaptions. (2023). Xie, Jinming ; Liu, Xiaoxi. In: BIS Working Papers. RePEc:bis:biswps:1068. Full description at Econpapers || Download paper |
2023 | Predicting stock realized variance based on an asymmetric robust regression approach. (2023). He, Mengxi ; Zhang, Yaojie ; Hao, Xianfeng ; Zhao, Yuqi. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:75:y:2023:i:4:p:1022-1047. Full description at Econpapers || Download paper |
2023 | RECENT EXAMINATION OF ENERGY MARKETS VOLATILITY. (2023). Claudiu, Booc ; Avraham, Turgeman ; Octavian, Jude. In: Studies in Business and Economics. RePEc:blg:journl:v:18:y:2023:i:1:p:118-128. Full description at Econpapers || Download paper |
2023 | A literature review on extreme price movements with reversal. (2023). Steffen, Viktoria. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:38:y:2023:i:c:s2214635023000205. Full description at Econpapers || Download paper |
2023 | Credit default swaps, the leverage effect, and cross-sectional predictability of equity and firm asset volatility. (2023). Lovreta, Lidija ; Forte, Santiago. In: Journal of Corporate Finance. RePEc:eee:corfin:v:79:y:2023:i:c:s0929119922001900. Full description at Econpapers || Download paper |
2023 | Systemic risk of optioned portfolio: Controllability and optimization. (2023). Ma, Jiali ; Cui, Xueting ; Zhu, Shushang ; Pang, Xiaochuan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:153:y:2023:i:c:s0165188923001070. Full description at Econpapers || Download paper |
2023 | Flexible inflation targeting and stock market volatility: Evidence from emerging market economies. (2023). Boughrara, Adel ; Dridi, Ichrak. In: Economic Modelling. RePEc:eee:ecmode:v:126:y:2023:i:c:s0264999323002328. Full description at Econpapers || Download paper |
2023 | Drivers of risk correlation among financial institutions: A study based on a textual risk disclosure perspective. (2023). Feng, Yuyao ; Li, Jingyu ; Jing, Zhongbo. In: Economic Modelling. RePEc:eee:ecmode:v:128:y:2023:i:c:s0264999323002808. Full description at Econpapers || Download paper |
2023 | On the role of interest rate differentials in the dynamic asymmetry of exchange rates. (2023). Ulm, M ; Hambuckers, J. In: Economic Modelling. RePEc:eee:ecmode:v:129:y:2023:i:c:s0264999323003668. Full description at Econpapers || Download paper |
2023 | Can we forecast better in periods of low uncertainty? The role of technical indicators. (2023). Stamatogiannis, Michalis P ; Pybis, Sam ; Henry, Olan ; Fernandez, Maria Ferrer. In: Journal of Empirical Finance. RePEc:eee:empfin:v:71:y:2023:i:c:p:1-12. Full description at Econpapers || Download paper |
2023 | Co-volatility and asymmetric transmission of risks between the global oil and Chinas futures markets. (2023). Klein, Tony ; Ji, Qiang ; Marfatia, Hardik A ; Luo, Jiawen. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005953. Full description at Econpapers || Download paper |
2023 | Forecasting European stock volatility: The role of the UK. (2023). Gu, Chen ; Gao, Xiang. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002442. Full description at Econpapers || Download paper |
2023 | On the topology of cryptocurrency markets. (2023). Dotko, Pawe ; Rudkin, Wanling. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002752. Full description at Econpapers || Download paper |
2023 | Forecasting Value-at-Risk using functional volatility incorporating an exogenous effect. (2023). Bee, Marco ; Tafakori, Laleh ; Pourkhanali, Armin. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003198. Full description at Econpapers || Download paper |
2023 | The role of uncertainty index in forecasting volatility of Bitcoin: Fresh evidence from GARCH-MIDAS approach. (2023). Wang, Ziyao ; He, Lingyun ; Sang, Chong ; Xia, Yufei. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322005682. Full description at Econpapers || Download paper |
2023 | Predicting the equity risk premium using the smooth cross-sectional tail risk: The importance of correlation. (2023). Faias, Jose Afonso. In: Journal of Financial Markets. RePEc:eee:finmar:v:63:y:2023:i:c:s1386418122000593. Full description at Econpapers || Download paper |
2023 | Discovering the drivers of stock market volatility in a data-rich world. (2023). Ryu, Doojin ; Cho, Hoon ; Chun, Dohyun. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001561. Full description at Econpapers || Download paper |
2023 | Global financial crisis, funding constraints, and liquidity of VIX futures. (2023). Tsai, Wei-Che ; Lien, Donald ; Chiu, Junmao. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:80:y:2023:i:c:s0927538x23001725. Full description at Econpapers || Download paper |
2023 | The empirical performance of option implied volatility surface-driven optimal portfolios. (2023). Guidolin, Massimo ; Wang, Kai. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:618:y:2023:i:c:s0378437123000511. Full description at Econpapers || Download paper |
2023 | Firm-level business uncertainty and the predictability of the aggregate U.S. stock market volatility during the COVID-19 pandemic. (2023). Salisu, Afees ; GUPTA, RANGAN ; Demirer, Riza ; van Eyden, Renee. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:88:y:2023:i:c:p:295-302. Full description at Econpapers || Download paper |
2023 | Measuring the response of clean energy stock price volatility to extreme shocks. (2023). Luo, Keyu ; Peng, Lijuan ; Wang, LU ; Zhang, LI. In: Renewable Energy. RePEc:eee:renene:v:206:y:2023:i:c:p:1289-1300. Full description at Econpapers || Download paper |
2023 | Hedging performance using google Trends–Evidence from the indian forex options market. (2023). Chang, Chia-Chien ; Liu, Hung-Tsen ; Chi, Tsung-Li. In: International Review of Economics & Finance. RePEc:eee:reveco:v:85:y:2023:i:c:p:107-123. Full description at Econpapers || Download paper |
2023 | The impacts of oil price volatility on financial stress: Is the COVID-19 period different?. (2023). GUPTA, RANGAN ; Ji, Qiang ; Kim, Won Joong ; Sheng, Xin. In: International Review of Economics & Finance. RePEc:eee:reveco:v:85:y:2023:i:c:p:520-532. Full description at Econpapers || Download paper |
2023 | Analyses for the effects of investor sentiment on the price adjustment behaviors for stock market and REIT market. (2023). Tsai, Ming Shann ; Chiang, Shu Ling. In: International Review of Economics & Finance. RePEc:eee:reveco:v:86:y:2023:i:c:p:425-439. Full description at Econpapers || Download paper |
2023 | Predicting macro-financial instability – How relevant is sentiment? Evidence from long short-term memory networks. (2023). Sahut, Jean-Michel ; Gaies, Brahim ; Nakhli, Mohamed Sahbi ; Kanzari, Dalel. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000387. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | On the Diversification Effect in Solvency II for Extremely Dependent Risks. (2023). Zeng, Jia ; Yuen, Fei Lung ; Phillip, Sheung Chi ; Cheung, Ka Chun ; Chen, Yongzhao. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:8:p:143-:d:1210898. Full description at Econpapers || Download paper |
2023 | Is There Still a Day-of-the-Week Effect in the Real Estate Sector?. (2023). Grebe, Leonard ; Reis, Julius Marcus ; Hennig, Kerstin ; Schiereck, Dirk. In: Oblik i finansi. RePEc:iaf:journl:y:2023:i:3:p:84-97. Full description at Econpapers || Download paper |
2023 | The Detection of Asset Price Bubbles in the Cryptocurrency Markets with an Application to Risk Management and the Measurement of Model Risk. (2023). Jacobs, Jr Michael. In: International Journal of Economics and Finance. RePEc:ibn:ijefaa:v:15:y:2023:i:7:p:46. Full description at Econpapers || Download paper |
2023 | Measuring Systemic Risk Using Multivariate Quantile-Located ES Models*. (2023). Sanchis-Marco, Lidia ; Garcia-Jorcano, Laura. In: The Journal of Financial Econometrics. RePEc:oup:jfinec:v:21:y:2023:i:1:p:1-72.. Full description at Econpapers || Download paper |
2023 | When a correction turns into a bear market: What explains the depth of the stock market drawdown? A discretionary global macro approach. (2023). Jackson, Dave ; Tokic, Damir. In: Journal of Asset Management. RePEc:pal:assmgt:v:24:y:2023:i:3:d:10.1057_s41260-023-00306-3. Full description at Econpapers || Download paper |
2023 | Volatility or higher moments: Which is more important in return density forecasts of stochastic volatility model?. (2023). Zhao, Ran ; Zhang, Zehua ; Li, Chenxing. In: MPRA Paper. RePEc:pra:mprapa:118459. Full description at Econpapers || Download paper |
2023 | Technological Shocks and Stock Market Volatility Over a Century: A GARCH-MIDAS Approach. (2023). Salisu, Afees ; GUPTA, RANGAN ; Demirer, Riza. In: Working Papers. RePEc:pre:wpaper:202308. Full description at Econpapers || Download paper |
2023 | Stock Market Volatility and Multi-Scale Positive and Negative Bubbles. (2023). Pierdzioch, Christian ; Nielsen, Joshua ; Nel, Jacobus ; Gupta, Rangan. In: Working Papers. RePEc:pre:wpaper:202310. Full description at Econpapers || Download paper |
2023 | Financial Stress and Realized Volatility: The Case of Agricultural Commodities. (2023). Pierdzioch, Christian ; Gupta, Rangan ; Cepni, Oguzhan ; Bonato, Matteo. In: Working Papers. RePEc:pre:wpaper:202320. Full description at Econpapers || Download paper |
2023 | Economic Conditions and Predictability of US Stock Returns Volatility: Local Factor versus National Factor in a GARCH-MIDAS Model. (2023). Cepni, Oguzhan ; Gupta, Rangan ; Liao, Wenting ; Salisu, Afees A. In: Working Papers. RePEc:pre:wpaper:202323. Full description at Econpapers || Download paper |
2023 | Climate Risks and Stock Market Volatility Over a Century in an Emerging Market Economy: The Case of South Africa. (2023). Pierdzioch, Christian ; Gupta, Rangan ; Karmakar, Sayar ; Wu, Kejin. In: Working Papers. RePEc:pre:wpaper:202326. Full description at Econpapers || Download paper |
2023 | Energy-Related Uncertainty and International Stock Market Volatility. (2023). Salisu, Afees ; Ogbonna, Ahamuefula ; Bouri, Elie ; Gupta, Rangan. In: Working Papers. RePEc:pre:wpaper:202336. Full description at Econpapers || Download paper |
2023 | Using causal graphs to test for the direction of instantaneous causality between economic policy uncertainty and stock market volatility. (2023). Raunig, Burkhard. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:4:d:10.1007_s00181-023-02409-7. Full description at Econpapers || Download paper |
2023 | Volatility and dependence in energy markets. (2023). Serletis, Apostolos ; Liu, Jinan. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:47:y:2023:i:1:d:10.1007_s12197-022-09609-4. Full description at Econpapers || Download paper |
2023 | Stock exchange volatility forecasting under market stress with MIDAS regression. (2023). Karan, Mehmet Baha ; Kors, Murat. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:1:p:295-306. Full description at Econpapers || Download paper |
2023 | Trading volume and realized volatility forecasting: Evidence from the China stock market. (2023). Lee, Chien-Chiang ; Choo, Weichong ; Liu, Min. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:1:p:76-100. Full description at Econpapers || Download paper |
2023 | Policy uncertainty and stock market volatility revisited: The predictive role of signal quality. (2023). Salisu, Afees ; Demirer, Riza ; Gupta, Rangan. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:8:p:2307-2321. Full description at Econpapers || Download paper |
2023 | Forecasting swap rate volatility with information from swaptions. (2023). Xie, Jinming ; Liu, Xiaoxi. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:4:p:455-479. Full description at Econpapers || Download paper |
2023 | Dark trading and financial markets stability. (2023). Kräussl, Roman ; Levin, Vladimir ; Kraussl, Roman ; Gonalves, Jorge. In: CFS Working Paper Series. RePEc:zbw:cfswop:691. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2003 | Forecasting Volatility in Financial Markets: A Review In: Journal of Economic Literature. [Full Text][Citation analysis] | article | 769 |
2012 | High Frequency Trading and Mini Flash Crashes In: Papers. [Full Text][Citation analysis] | paper | 39 |
1996 | Persistence and mean reversion in UK stock returns In: European Financial Management. [Full Text][Citation analysis] | article | 8 |
2000 | Trading volatility spreads: a test of index option market efficiency In: European Financial Management. [Full Text][Citation analysis] | article | 14 |
2015 | Estimating dynamic copula dependence using intraday data In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 3 |
2001 | New Extreme-Value Dependence Measures and Finance Applications In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 9 |
2001 | New Extreme-Value Dependance Measures and Finance Applications.(2001) In: HEC Research Papers Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
2001 | New Extreme-Value Dependance Measures and Finance Applications.(2001) In: Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
2014 | Forecasting and decomposition of portfolio credit risk using macroeconomic and frailty factors In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 8 |
2001 | Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns In: Journal of Econometrics. [Full Text][Citation analysis] | article | 292 |
2012 | Belief rule-based system for portfolio optimisation with nonlinear cash-flows and constraints In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 2 |
2013 | Market liquidity and institutional trading during the 2007–8 financial crisis In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 6 |
2015 | Credit contagion in the presence of non-normal shocks In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 1 |
1992 | Stock returns and volatility: An empirical study of the UK stock market In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 86 |
2001 | Returns synchronization and daily correlation dynamics between international stock markets In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 137 |
2001 | Modelling S&P 100 volatility: The information content of stock returns In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 24 |
2011 | Hedging the black swan: Conditional heteroskedasticity and tail dependence in S&P500 and VIX In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 18 |
2013 | Derivatives pricing with affine models and numerical implementation In: Chapters. [Full Text][Citation analysis] | chapter | 0 |
2013 | Markov Chain Monte Carlo with particle filtering In: Chapters. [Full Text][Citation analysis] | chapter | 0 |
2014 | Non-monotonic pricing kernel and an extended class of mixture of distributions for option pricing In: Review of Derivatives Research. [Full Text][Citation analysis] | article | 0 |
2004 | Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications In: The Review of Financial Studies. [Full Text][Citation analysis] | article | 255 |
2005 | Asset Pricing in Discrete Time: A Complete Markets Approach In: OUP Catalogue. [Citation analysis] | book | 7 |
2002 | Asymmetric and crash effects in stock volatility for the S&P 100 index and its constituents In: Applied Financial Economics. [Full Text][Citation analysis] | article | 4 |
2010 | General equilibrium and preference free model for pricing options under transformed gamma distribution In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 5 |
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