Ser-Huang Poon : Citation Profile


Are you Ser-Huang Poon?

University of Manchester

10

H index

10

i10 index

1172

Citations

RESEARCH PRODUCTION:

18

Articles

4

Papers

1

Books

2

Chapters

RESEARCH ACTIVITY:

   23 years (1992 - 2015). See details.
   Cites by year: 50
   Journals where Ser-Huang Poon has often published
   Relations with other researchers
   Recent citing documents: 194.    Total self citations: 6 (0.51 %)

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   Permalink: http://citec.repec.org/ppo127
   Updated: 2019-11-16    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 (30)

Clements, Adam (26)

GUPTA, RANGAN (19)

Degiannakis, Stavros (18)

Chang, Chia-Lin (15)

Fernandez, Viviana (13)

Christoffersen, Peter (13)

Osborn, Denise (9)

Savva, Christos (9)

Koopman, Siem Jan (9)

cotter, john (8)

Cites to:

Bollerslev, Tim (17)

Andersen, Torben (6)

de Vries, Casper (6)

Engle, Robert (5)

Diebold, Francis (5)

Söderlind, Paul (4)

Svensson, Lars (4)

Lucas, Andre (4)

Jagannathan, Ravi (4)

Pedersen, Lasse (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 (2018 and 2017)


YearTitle of citing document
2018The drift burst hypothesis. (2018). Reno, Roberto ; Oomen, Roel ; Christensen, Kim. In: CREATES Research Papers. RePEc:aah:create:2018-21.

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2017Future volatility forecast in agricultural commodity markets. (2017). Cruz, Jose Cesar ; Guimaraes, Jonathan S. In: 2017 Annual Meeting, July 30-August 1, Chicago, Illinois. RePEc:ags:aaea17:258480.

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2017SYSTEMATIC RISK FACTORS AND STOCK RETURN VOLATILITY. (2017). Ali, Syed Kamran ; Ahmed, Ishtiaq ; Hashmi, Shujahat Haider. In: APSTRACT: Applied Studies in Agribusiness and Commerce. RePEc:ags:apstra:265587.

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2017Impacts of Export Restrictions on Food Price Volatility: Evidence from VAR-X and EGARCH-X Models. (2017). Jaghdani, Tinoush Jamali ; Brummer, Bernhard ; Dalheimer, Bernhard. In: 57th Annual Conference, Weihenstephan, Germany, September 13-15, 2017. RePEc:ags:gewi17:262151.

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

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2017A Novel Approach to Forecasting Financial Volatility with Gaussian Process Envelopes. (2017). Nyikosa, Favour ; Osborne, Michael A ; Roberts, Stephen J ; Asad, Syed Ali . In: Papers. RePEc:arx:papers:1705.00891.

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2018Mini-Flash Crashes, Model Risk, and Optimal Execution. (2018). Bayraktar, Erhan ; Munk, Alexander . In: Papers. RePEc:arx:papers:1705.09827.

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2018Online Adaptive Machine Learning Based Algorithm for Implied Volatility Surface Modeling. (2018). Klabjan, Diego ; Zeng, Yaxiong . In: Papers. RePEc:arx:papers:1706.01833.

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2017Time-Varying Extreme Value Dependence with Application to Leading European Stock Markets. (2017). de Carvalho, Miguel ; Wadsworth, Jennifer ; Camilo, Daniela Castro . In: Papers. RePEc:arx:papers:1709.01198.

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2018A Neural Stochastic Volatility Model. (2018). Wang, Jun ; Xu, Xiaojun ; Zhang, Weinan ; Luo, Rui. In: Papers. RePEc:arx:papers:1712.00504.

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2018Financial density forecasts: A comprehensive comparison of risk-neutral and historical schemes. (2018). Crisóstomo, Ricardo ; Couso, Lorena. In: Papers. RePEc:arx:papers:1801.08007.

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2018An ontological investigation of unimaginable events. (2018). Siebenbrunner, Christoph ; Santoli, Thomas. In: Papers. RePEc:arx:papers:1803.02570.

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2018Exploring the predictability of range-based volatility estimators using RNNs. (2018). , J'Ozsef ; Petneh, G'Abor. In: Papers. RePEc:arx:papers:1803.07152.

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2018Understanding Flash Crash Contagion and Systemic Risk: A Micro-Macro Agent-Based Approach. (2018). Wooldridge, Michael ; Calinescu, Anisoara ; Paulin, James. In: Papers. RePEc:arx:papers:1805.08454.

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2018Entropy Analysis of Financial Time Series. (2018). Schwill, Stephan. In: Papers. RePEc:arx:papers:1807.09423.

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2018Benchmarking Deep Sequential Models on Volatility Predictions for Financial Time Series. (2018). Liu, Yuanyuan ; Yang, Yaodong ; Luo, Rui ; Zhang, Qiang. In: Papers. RePEc:arx:papers:1811.03711.

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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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2018Multivariate Jump Diffusion Model with Markovian Contagion. (2018). de Carvalho, Pablo ; Gupta, Aparna ; Campos, Pablo Jose. In: Working Papers Series. RePEc:bcb:wpaper:482.

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2018Asset price volatility in EU-6 economies: how large is the role played by the ECB?. (2018). Colabella, Andrea ; Ciarlone, Alessio. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1175_18.

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2017Insight from a Time-Varying VAR Model with Stochastic Volatility of the French Housing and Credit Markets.. (2017). Lecat, Remy ; Avouyi-Dovi, Sanvi ; Ray, S ; Labonne, C. In: Working papers. RePEc:bfr:banfra:620.

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2017State-preference pricing and volatility indices. (2017). Liu, Zhangxin ; Smith, Tom ; O'Neill, Michael J. In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i:3:p:815-836.

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2017Fund Volatility Index using equity market state prices. (2017). O'Neill, Michael J ; Smith, Tom ; Liu, Zhangxin. In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i:3:p:837-853.

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2018PREDICTING STOCK RETURNS AND VOLATILITY WITH INVESTOR SENTIMENT INDICES: A RECONSIDERATION USING A NONPARAMETRIC CAUSALITY†IN†QUANTILES TEST. (2018). GUPTA, RANGAN ; Balcilar, Mehmet ; Kyei, Clement. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:70:y:2018:i:1:p:74-87.

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2017Tail Dependence and Systemic Risk in Operational Losses of the US Banking Industry. (2017). Tian, Weidong ; Ergen, Ibrahim ; Abdymomunov, Azamat . In: International Review of Finance. RePEc:bla:irvfin:v:17:y:2017:i:2:p:177-204.

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2017Multivariate Hill Estimators. (2017). Dominicy, Yves ; Veredas, David ; Ilmonen, Pauliina. In: International Statistical Review. RePEc:bla:istatr:v:85:y:2017:i:1:p:108-142.

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2018Modeling the Interactions between Volatility and Returns using EGARCH‐M. (2018). Lange, Rutger-Jan ; Harvey, Andrew. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:909-919.

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2017THE IMPACT OF MACROECONOMIC INDICATORS ON INDIAN STOCK PRICES: AN EMPIRICAL ANALYSIS. (2017). , Giri ; Pooja, Joshi . In: Studies in Business and Economics. RePEc:blg:journl:v:12:y:2017:i:1:p:61-78.

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2018Volatility, Diversification and Contagion. (2018). Sentana, Enrique. In: Working Papers. RePEc:cmf:wpaper:wp2018_1803.

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2017Financial density forecasts: A comprehensive comparison of risk-neutral and historical schemes. (2017). Crisóstomo, Ricardo ; Couso, Lorena ; Crisostomo, Ricardo . In: CNMV Working Papers. RePEc:cnv:wpaper:dt_67en.

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2017La volatilidad del tipo de cambio paralelo en Venezuela 2005-2015. (2017). Castillo, Laura Daniela ; Ramoni-Perazzi, Josefa . In: REVISTA APUNTES DEL CENES. RePEc:col:000152:015363.

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2018Forecasting Methods in Finance. (2018). Timmermann, Allan G. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12692.

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2018Volatility, diversification and contagion. (2018). Sentana, Enrique. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12824.

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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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2017Entropy-based implied moments. (2017). Zhou, Chen ; Xiao, Xiao. In: DNB Working Papers. RePEc:dnb:dnbwpp:581.

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2018Stocks and Bonds: Flight-to-Safety for Ever?. (2018). Tokpavi, Sessi ; Boucher, Christophe. In: EconomiX Working Papers. RePEc:drm:wpaper:2018-39.

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2017The Effect of Ownership Composition on Stock’s Liquidity: Evidence from Weak Corporate Governance Setting. (2017). Iskandrani, Majd ; Al-Amarneh, Asmaa . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-03-88.

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2018Examining the Value-at-risk Performance of Fractionally Integrated GARCH Models: Evidence from Energy Commodities. (2018). Buberkoku, Onder. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2018-03-6.

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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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2018Analysis and forecasting of the carbon price using multi—resolution singular value decomposition and extreme learning machine optimized by adaptive whale optimization algorithm. (2018). Sun, Wei ; Zhang, Chongchong. In: Applied Energy. RePEc:eee:appene:v:231:y:2018:i:c:p:1354-1371.

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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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2017Return and volatility spillovers effects: Evaluating the impact of Shanghai-Hong Kong Stock Connect. (2017). Ahmed, Abdullahi ; Huo, Rui. In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:260-272.

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2017Equity market information and credit risk signaling: A quantile cointegrating regression approach. (2017). Gatfaoui, Hayette. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:48-59.

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2017Modeling volatility linkages between Shanghai and Hong Kong stock markets before and after the connect program. (2017). Lin, Wensheng. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:346-354.

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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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2017Does REIT index hedge inflation risk? New evidence from the tail quantile dependences of the Markov-switching GRG copula. (2017). Chang, Kuang-Liang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:39:y:2017:i:c:p:56-67.

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2017Herding behavior, market sentiment and volatility: Will the bubble resume?. (2017). Uddin, Gazi ; naoui, kamel ; Bekiros, Stelios ; Lucey, Brian ; Jlassi, Mouna. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:107-131.

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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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2017From bond yield to macroeconomic instability: A parsimonious affine model. (2017). Tedeschi, Gabriele ; Recchioni, Maria Cristina . In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:3:p:1116-1135.

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2017Asset allocation with correlation: A composite trade-off. (2017). Conlon, Thomas ; cotter, john ; Salvador, Enrique ; Carroll, Rachael . In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:3:p:1164-1180.

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2018Risk management of time varying floors for dynamic portfolio insurance. (2018). Prigent, Jean-Luc ; Prigent, J.-L., ; ben Ameur, H. In: European Journal of Operational Research. RePEc:eee:ejores:v:269:y:2018:i:1:p:363-381.

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2018Long-run wavelet-based correlation for financial time series. (2018). cotter, john ; Genay, Ramazan ; Conlon, Thomas. In: European Journal of Operational Research. RePEc:eee:ejores:v:271:y:2018:i:2:p:676-696.

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2017Mutual funds and stock market volatility: An empirical analysis of Asian emerging markets. (2017). Kutan, Ali ; Chan, Sok-Gee ; Gee, Chan Sok ; Ismail, Izlin ; Qureshi, Fiza. In: Emerging Markets Review. RePEc:eee:ememar:v:31:y:2017:i:c:p:176-192.

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2018Tail systemic risk and contagion: Evidence from the Brazilian and Latin America banking network. (2018). Ugolini, Andrea ; Arismendi Zambrano, Juan ; Rivera-Castro, Miguel A. In: Emerging Markets Review. RePEc:eee:ememar:v:35:y:2018:i:c:p:164-189.

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2018Asymmetric linkages among the fear index and emerging market volatility indices. (2018). Badshah, Ihsan ; Uddin, Gazi Salah ; Lucey, Brian M ; Bekiros, Stelios. In: Emerging Markets Review. RePEc:eee:ememar:v:37:y:2018:i:c:p:17-31.

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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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2017Time-varying continuous and jump betas: The role of firm characteristics and periods of stress. (2017). Yao, Wenying ; Dungey, Mardi ; Alexeev, Vitali. In: Journal of Empirical Finance. RePEc:eee:empfin:v:40:y:2017:i:c:p:1-19.

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2018Asymmetric attention and volatility asymmetry. (2018). Dzieliski, Micha ; Talpsepp, Tnn ; Rieger, Marc Oliver. In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:59-67.

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2018Forecasting global stock market implied volatility indices. (2018). Filis, George ; Degiannakis, Stavros ; Hassani, Hossein. In: Journal of Empirical Finance. RePEc:eee:empfin:v:46:y:2018:i:c:p:111-129.

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2018Default prediction models: The role of forward-looking measures of returns and volatility. (2018). Miao, Hong ; Wang, Tianyang ; Ryan, Patricia ; Ramchander, Sanjay. In: Journal of Empirical Finance. RePEc:eee:empfin:v:46:y:2018:i:c:p:146-162.

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2018Testing for leverage effects in the returns of US equities. (2018). Chorro, Christophe ; Lalaharison, Hanjarivo ; Ielpo, Florian ; Guegan, Dominique. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:290-306.

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2017Modeling and predicting oil VIX: Internet search volume versus traditional mariables. (2017). Campos, I ; Reyes, T ; Cortazar, G. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:194-204.

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2018The dependence and risk spillover between crude oil market and China stock market: New evidence from a variational mode decomposition-based copula method. (2018). Li, Xiafei ; Wei, YU. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:565-581.

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2017Impact of oil price uncertainty on Middle East and African stock markets. (2017). Dutta, Anupam ; Rothovius, Timo ; Nikkinen, Jussi . In: Energy. RePEc:eee:energy:v:123:y:2017:i:c:p:189-197.

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2018Risk perception in financial markets: On the flip side. (2018). naoui, kamel ; Bekiros, Stelios ; Uddin, Gazi Salah ; Jlassi, Mouna. In: International Review of Financial Analysis. RePEc:eee:finana:v:57:y:2018:i:c:p:184-206.

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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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2018Volatility jumps: The role of geopolitical risks. (2018). Gkillas, Konstantinos ; Wohar, Mark E ; Gupta, Rangan. In: Finance Research Letters. RePEc:eee:finlet:v:27:y:2018:i:c:p:247-258.

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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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2017The asymmetric relationship between returns and implied volatility: Evidence from global stock markets. (2017). Uddin, Gazi ; naoui, kamel ; Bekiros, Stelios ; Jlassi, Mouna. In: Journal of Financial Stability. RePEc:eee:finsta:v:30:y:2017:i:c:p:156-174.

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2017International stock market leadership and its determinants. (2017). Cai, Charlie X ; Zhang, QI ; Mobarek, Asma. In: Journal of Financial Stability. RePEc:eee:finsta:v:33:y:2017:i:c:p:150-162.

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2018Measuring systemic risk across financial market infrastructures. (2018). Li, Fu Chun ; Perez-Saiz, Hector. In: Journal of Financial Stability. RePEc:eee:finsta:v:34:y:2018:i:c:p:1-11.

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2018Network linkages to predict bank distress. (2018). Constantin, Andreea ; Sarlin, Peter ; Peltonen, Tuomas A. In: Journal of Financial Stability. RePEc:eee:finsta:v:35:y:2018:i:c:p:226-241.

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2017Range-based and GARCH volatility estimation: Evidence from the French asset market. (2017). Benlagha, Noureddine ; Chargui, Sana . In: Global Finance Journal. RePEc:eee:glofin:v:32:y:2017:i:c:p:149-165.

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2018Multiple days ahead realized volatility forecasting: Single, combined and average forecasts. (2018). Degiannakis, Stavros. In: Global Finance Journal. RePEc:eee:glofin:v:36:y:2018:i:c:p:41-61.

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2018Volatility co-movements and spillover effects within the Eurozone economies: A multivariate GARCH approach using the financial stress index. (2018). Tsopanakis, Andreas ; Sogiakas, Vasilios ; MacDonald, Ronald. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:52:y:2018:i:c:p:17-36.

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2018An approximate long-memory range-based approach for value at risk estimation. (2018). Meng, Xiaochun ; Taylor, James W. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:3:p:377-388.

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2018Improving forecasting performance using covariate-dependent copula models. (2018). Li, Feng ; Kang, Yanfei. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:3:p:456-476.

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2018Forecasting crude oil price volatility. (2018). Herrera, Ana Maria ; Pastor, Daniel ; Hu, Liang. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:4:p:622-635.

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

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2018Are the stock markets “rigged”? An empirical analysis of regulatory change. (2018). Diamond, Stephen F ; Kuan, Jennifer W. In: International Review of Law and Economics. RePEc:eee:irlaec:v:55:y:2018:i:c:p:33-40.

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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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2017Aggregate earnings and stock market returns: The good, the bad, and the state-dependent. (2017). Zolotoy, Leon ; Lyon, John D ; Frederickson, James R. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:77:y:2017:i:c:p:157-175.

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2018Point process models for extreme returns: Harnessing implied volatility. (2018). Herrera, Rodrigo ; Clements, Adam. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:88:y:2018:i:c:p:161-175.

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2018Covariance forecasting in equity markets. (2018). Symeonidis, Lazaros ; Markellos, Raphael ; Kourtis, Apostolos ; Symitsi, Efthymia. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:96:y:2018:i:c:p:153-168.

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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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2018Exploring the sources of default clustering. (2018). Azizpour, S ; Schwenkler, G ; Giesecke, K. In: Journal of Financial Economics. RePEc:eee:jfinec:v:129:y:2018:i:1:p:154-183.

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2017Dynamic information spillovers in intraregionally-focused spot and forward currency markets. (2017). Fawson, Chris ; Yang, Jiao-Hui ; Wang, XI. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:71:y:2017:i:c:p:78-110.

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2018Information demand and stock return predictability. (2018). Vlastakis, Nikolaos ; Papadimitriou, Fotios I ; Chronopoulos, Dimitris K. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:80:y:2018:i:c:p:59-74.

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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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2017Heterogeneous traders, liquidity, and volatility in crude oil futures market. (2017). Ray, Rina ; Haugom, Erik. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:5:y:2017:i:c:p:36-49.

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2017Dynamic correlations between BRIC and U.S. stock markets: The asymmetric impact of volatility expectations in oil, gold and financial markets. (2017). Soytas, Ugur ; Sarı, Ramazan ; Gormus, Alper ; Sari, Ramazan ; Kocaarslan, Baris. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:7:y:2017:i:c:p:41-56.

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2017Volatility forecasting using high frequency data: The role of after-hours information and leverage effects. (2017). Zhu, Xuehong ; Zhong, Meirui ; Zhang, Hongwei. In: Resources Policy. RePEc:eee:jrpoli:v:54:y:2017:i:c:p:58-70.

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2017Volatility measurement with directional change in Chinese stock market: Statistical property and investment strategy. (2017). Ma, Junjun ; Zhang, Wei ; He, Feng ; Xiong, Xiong. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:471:y:2017:i:c:p:169-180.

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2017Investigating market efficiency through a forecasting model based on differential equations. (2017). de Resende, Charlene C ; Bosco, A R. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:474:y:2017:i:c:p:199-212.

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2017On the relation between implied and realized volatility indices: Evidence from the BRIC countries. (2017). Bentes, Sonia R. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:482:y:2017:i:c:p:243-248.

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2018Does the U.S. exercise contagion on Italy? A theoretical model and empirical evidence. (2018). Ventura, Marco ; Fenga, Livio ; Cerqueti, Roy. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:499:y:2018:i:c:p:436-442.

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2018Forecasting the realized volatility of the Chinese stock market: Do the G7 stock markets help?. (2018). Peng, Huan ; Diao, Xiaohua ; Mei, Dexiang ; Chen, Ruoxun. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:501:y:2018:i:c:p:78-85.

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2018A multiscale analysis of stock return co-movements and spillovers: Evidence from Pacific developed markets. (2018). Das, Debojyoti ; Jana, R K ; Bhowmik, Puja. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:502:y:2018:i:c:p:379-393.

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2018Estimating option greeks under the stochastic volatility using simulation. (2018). Shafi, Khuram ; Gulzar, Saqib ; Idrees, Zahra ; Shad, Shafqat Ali ; Latif, Natasha. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:503:y:2018:i:c:p:1288-1296.

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2018Insights into the macroscopic behavior of equity markets: Theory and application. (2018). Alshelahi, Abdullah ; Saigal, Romesh. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:505:y:2018:i:c:p:778-793.

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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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article519
2012High Frequency Trading and Mini Flash Crashes In: Papers.
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paper15
1996Persistence and mean reversion in UK stock returns In: European Financial Management.
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article5
2000Trading volatility spreads: a test of index option market efficiency In: European Financial Management.
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article12
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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article1
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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article6
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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article210
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.
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article113
2001Modelling S&P 100 volatility: The information content of stock returns In: Journal of Banking & Finance.
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article12
2011Hedging the black swan: Conditional heteroskedasticity and tail dependence in S&P500 and VIX In: Journal of Banking & Finance.
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article10
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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article174
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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