Tak Kuen Siu : Citation Profile

Macquarie University

12

H index

19

i10 index

730

Citations

RESEARCH PRODUCTION:

111

Articles

10

Papers

1

Books

11

Chapters

RESEARCH ACTIVITY:

   25 years (1999 - 2024). See details.
   Cites by year: 29
   Journals where Tak Kuen Siu has often published
   Relations with other researchers
   Recent citing documents: 89.    Total self citations: 46 (5.93 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psi241
   Updated: 2025-01-10    RAS profile: 2024-10-09    
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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 Tak Kuen Siu.

Is cited by:

Lai, Van Son (16)

Cao, Jiling (7)

Venegas-Martínez, Francisco (7)

Escobar Anel, Marcos (5)

Doko Tchatoka, Firmin (5)

Wang, Xingchun (5)

Hansen, Peter (4)

Moraux, Franck (4)

Bo, Lijun (4)

stabile, gabriele (4)

Wong, Wing-Keung (4)

Cites to:

merton, robert (37)

Hamilton, James (29)

Wong, Wing-Keung (26)

Hansen, Lars (15)

Jarrow, Robert (13)

Sargent, Thomas (12)

Artzner, Philippe (12)

Kreps, David (11)

Scholes, Myron (11)

LEHALLE, Charles-Albert (10)

Lo, Andrew (9)

Main data

Production by document typebookarticlepaperchapter199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202320240102030Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published19992000200120022003200420052006200720082009201020112012201320142015201620172018201920202021202220232024050100150Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received2004200520062007200820092010201120122013201420152016201720182019202020212022202320240255075100Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202320240100200Citations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 12Most cited documents1234567891011121314050100150Number of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution201308201309201310201311201312201401201402201403201404201405201406201407201408201409201410201411201412201501201502201503201504201505201506201507201508201509201510201511201512201601201602201603201604201605201606201607201608201609201610201611201612201701201702201703201704201705201706201707201708201709201710201711201712201801201802201803201804201805201806201807201808201809201810201811201812201901201902201903201904201905201906201907201908201909201910201911201912202001202002202003202004202005202006202007202008202009202010202011202012202101202102202103202104202105202106202107202108202109202110202111202112202201202202202203202204202205202206202207202208202209202210202211202212202301202302202303202304202305202306202307202308202309202310202311202312202401202402202403202404202405202406202407202408202409202410202411202412202501051015h-index Highcharts.comExport to raster or vector imagePrint the chart

Where Tak Kuen Siu has published?

Journals with more than one article published# docs
Insurance: Mathematics and Economics17
Quantitative Finance10
Economic Modelling9
Applied Mathematical Finance7
Computational Economics6
International Journal of Theoretical and Applied Finance (IJTAF)6
International Journal of Stochastic Analysis5
North American Actuarial Journal5
Asia-Pacific Financial Markets4
Annals of Finance4
European Journal of Operational Research3
Scandinavian Actuarial Journal3
Applied Stochastic Models in Business and Industry2
Methodology and Computing in Applied Probability2
Communications in Statistics - Theory and Methods2
JRFM2
International Journal of Production Economics2
Journal of Economic Dynamics and Control2
Annals of Operations Research2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org8

Recent works citing Tak Kuen Siu (2024 and 2023)

Year  ↓Title of citing document  ↓
2024Mind your language: Political discourse affects deforestation in the Brazilian Amazon. (2023). Borner, Jan ; Sellare, Jorge ; de Oliveira, Gustavo Magalhes. In: Discussion Papers. RePEc:ags:ubzefd:333334.

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2023On optimality of barrier dividend control under endogenous regime switching with application to Chapter 11 bankruptcy. (2021). Zhou, Xiaowen ; Yu, Xiang ; Wang, Wenyuan. In: Papers. RePEc:arx:papers:2108.01800.

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2023The optimal reinsurance strategy with price-competition between two reinsurers. (2023). Abd, Jingzhen Liu ; Liu, Fangda ; Lin, Liyuan. In: Papers. RePEc:arx:papers:2305.00509.

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2023Arbitrage across different Bitcoin exchange venues: Perspectives from investor base and market related events. (2023). Cheng, Feiyang ; Shu, AO ; Pan, Zheyao ; Liang, Zini ; Han, Jianlei. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:5:p:5183-5210.

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2023Crypto quanto and inverse options. (2023). Alexander, Carol ; Imeraj, Arben ; Chen, Ding. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:4:p:1005-1043.

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2024Time inhomogeneous multivariate Markov chains: Detecting and testing multiple structural breaks occurring at unknown dates. (2024). Nicolau, Joo ; Damasio, Bruno. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:180:y:2024:i:c:s0960077924000298.

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2024Reintegration of Russian children returned from war zones in the Middle East: Directions, actors, barriers. (2024). Lyapina, Alfiya ; Mikheev, Igor ; Kozlova, Maria. In: Children and Youth Services Review. RePEc:eee:cysrev:v:156:y:2024:i:c:s0190740923005182.

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2024Reinforcement learning for continuous-time mean-variance portfolio selection in a regime-switching market. (2024). Li, Lingfei ; Wu, BO. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:158:y:2024:i:c:s0165188923001938.

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2024Pricing cryptocurrency options with machine learning regression for handling market volatility. (2024). Lenz, Jimmie ; Brini, Alessio. In: Economic Modelling. RePEc:eee:ecmode:v:136:y:2024:i:c:s0264999324001081.

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2024Analytically pricing European options in dynamic markets: Incorporating liquidity variations and economic cycles. (2024). He, Xin-Jiang ; Lin, Sha ; Pasricha, Puneet. In: Economic Modelling. RePEc:eee:ecmode:v:139:y:2024:i:c:s0264999324001962.

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2023Analytically pricing variance and volatility swaps under a Markov-modulated model with liquidity risks. (2023). Lin, Sha ; He, Xin-Jiang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000414.

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2024Pricing vulnerable spread options with liquidity risk under Lévy processes. (2024). Yu, Baimin ; Wang, Xingchun ; Cai, Chengyou. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000494.

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2023Randomization and the valuation of guaranteed minimum death benefits. (2023). Hieber, Peter ; Deelstra, Griselda. In: European Journal of Operational Research. RePEc:eee:ejores:v:309:y:2023:i:3:p:1218-1236.

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2023Reinsurance games with two reinsurers: Tree versus chain. (2023). Zou, Bin ; Young, Virginia R ; Li, Dongchen ; Cao, Jingyi. In: European Journal of Operational Research. RePEc:eee:ejores:v:310:y:2023:i:2:p:928-941.

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2024Stochastic differential investment and reinsurance game between an insurer and a reinsurer under thinning dependence structure. (2024). Yuan, YU ; Liang, Zhibin ; Zhang, Caibin. In: European Journal of Operational Research. RePEc:eee:ejores:v:315:y:2024:i:1:p:213-227.

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2024Supply chain coordination in a dual sourcing system under the Tailored Base-Surge policy. (2024). Hamdan, Sadeque ; Boulaksil, Youssef ; Hamdouch, Younes ; Ghoudi, Kilani. In: European Journal of Operational Research. RePEc:eee:ejores:v:317:y:2024:i:2:p:533-549.

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2023Analysis about the Black-Scholes asset price under the regime-switching framework. (2023). Zhou, Duotai ; Tian, Ping. In: International Review of Financial Analysis. RePEc:eee:finana:v:88:y:2023:i:c:s1057521923002090.

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2023Frequency connectedness between FinTech, NFT and DeFi: Considering linkages to investor sentiment. (2023). Muhammed, Shahnawaz ; Goodell, John W ; Gunay, Samet ; Kirimhan, Destan. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004416.

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2023On pricing double-barrier options with Markov regime switching. (2023). Zhang, Tianqi. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322005906.

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2023Valuation of chooser options with state-dependent risks. (2023). Chen, Jun-Home ; Lian, Yu-Min. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322007036.

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2023A comparative study of firm value models: Default risk of corporate bonds. (2023). Ik, Sung. In: Finance Research Letters. RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323004099.

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2023Net buying pressure and the information in bitcoin option trades. (2023). Wan, Huning ; Feng, Jianfen ; Deng, Jun ; Alexander, Carol. In: Journal of Financial Markets. RePEc:eee:finmar:v:63:y:2023:i:c:s1386418122000544.

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2023Multiple per-claim reinsurance based on maximizing the Lundberg exponent. (2023). Zhou, Ming ; Wei, LI ; Meng, Hui. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:112:y:2023:i:c:p:33-47.

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2023Optimal risk sharing and dividend strategies under default contagion: A semi-analytical approach. (2023). Li, Shuanming ; Jin, Zhuo ; Qiu, Ming. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:113:y:2023:i:c:p:1-23.

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2023Optimal investment, consumption and life insurance purchase with learning about return predictability. (2023). Li, Baihui ; Peng, Xingchun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:113:y:2023:i:c:p:70-95.

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2024Analyzing the interest rate risk of equity-indexed annuities via scenario matrices. (2024). Hieber, Peter ; Gunther, Sascha. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:114:y:2024:i:c:p:15-28.

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2024Optimal portfolio and insurance strategy with biometric risks, habit formation and smooth ambiguity. (2024). Chen, Zhiping ; Wang, Tao. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:118:y:2024:i:c:p:195-222.

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2024Unveiling the web of interactions: Analyzing dynamic customer engagements across multiple websites. (2024). Kannan, P K ; Lim, Hyungsoo ; Kim, Chul. In: Journal of Business Research. RePEc:eee:jbrese:v:183:y:2024:i:c:s0148296324003400.

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2023Lenient vs. stringent returns policies in the presence of fraudulent returns: The role of customers’ fairness perceptions. (2023). Liu, Zhuojun ; Chen, Bintong ; Yu, BO. In: Omega. RePEc:eee:jomega:v:117:y:2023:i:c:s0305048323000099.

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2023Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg–Marquardt optimization algorithm. (2023). Hamdi, Abdelouahed ; Noorani, Idin ; Mehrdoust, Farshid. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:204:y:2023:i:c:p:660-678.

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2023An efficient algorithm for pricing reinsurance contract under the regime-switching model. (2023). Azhdari, Parvin ; Vajargah, Kianoush Fathi ; Abbaspour, Manijeh. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:211:y:2023:i:c:p:278-300.

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2024Valuation of option price in commodity markets described by a Markov-switching model: A case study of WTI crude oil market. (2024). Kanniainen, Juho ; Noorani, Idin ; Mehrdoust, Farshid. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:215:y:2024:i:c:p:228-269.

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2024Multi-regime foreign exchange rate model: Calibration and pricing. (2024). Zhang, Ziqing. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:220:y:2024:i:c:p:204-218.

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2023Stochastic control with inhomogeneous regime switching: Application to consumption and investment with unemployment and reemployment. (2023). Zhao, Hui ; Rong, Ximin ; Tao, Cheng. In: Journal of Mathematical Economics. RePEc:eee:mateco:v:107:y:2023:i:c:s0304406823000423.

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2023Incorporating improved directional change and regime change detection to formulate trading strategies in foreign exchange markets. (2023). Wu, Bing ; Li, Danping ; Zhang, Weijie ; Hu, Shicheng. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:622:y:2023:i:c:s0378437123003655.

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2023The Mixture Transition Distribution approach to networks: Evidence from stock markets. (2023). Petroni, Filippo ; de Blasis, Riccardo ; Damico, Guglielmo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:632:y:2023:i:p1:s0378437123008907.

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2023Recovering and remanufacturing to fulfill EPR regulation in the presence of secondary market. (2023). Kumar, Sanjay ; Wu, Sisi ; Cao, Jian. In: International Journal of Production Economics. RePEc:eee:proeco:v:263:y:2023:i:c:s0925527323001652.

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2023A hybrid stochastic volatility model in a Lévy market. (2023). Vives, Josep ; Makumbe, Zororo S ; Goutte, Stephane ; El-Khatib, Youssef. In: International Review of Economics & Finance. RePEc:eee:reveco:v:85:y:2023:i:c:p:220-235.

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2024Pricing vulnerable options under cross-asset markov-modulated jump-diffusion dynamics. (2024). Lian, Yu-Min ; Chen, Jun-Home. In: International Review of Economics & Finance. RePEc:eee:reveco:v:94:y:2024:i:c:s1059056024003848.

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2023COVID-19 and stock returns: Evidence from the Markov switching dependence approach. (2023). Abedin, Mohammad Zoynul ; Sharif, Taimur ; Bouteska, Ahmed. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531923000089.

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2023Models used to characterise blockchain features. A systematic literature review and bibliometric analysis. (2023). Arguedas-Sanz, Raquel ; Rico-Pea, Juan Jesus ; Lopez-Martin, Carmen. In: Technovation. RePEc:eee:techno:v:123:y:2023:i:c:s0166497223000226.

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2024Forecasting Bitcoin prices using artificial intelligence: Combination of ML, SARIMA, and Facebook Prophet models. (2024). Khaled, Djebbouri ; Tiwari, Sunil ; Cheng, Jiyang ; Shahzad, Umer ; Mahendru, Mandeep. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:198:y:2024:i:c:s0040162523006236.

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2023Markov-Switching Bayesian Vector Autoregression Model in Mortality Forecasting. (2023). Droms, Sean ; Brewer, Patrick ; Smith, Barry R ; Fu, Wanying. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:9:p:152-:d:1222432.

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2023Pricing of Averaged Variance, Volatility, Covariance and Correlation Swaps with Semi-Markov Volatilities. (2023). Franco, Sebastian ; Swishchuk, Anatoliy. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:9:p:162-:d:1236051.

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2024The Regime-Switching Structural Default Risk Model. (2024). Chisholm, Kevin ; Milidonis, Andreas. In: Risks. RePEc:gam:jrisks:v:12:y:2024:i:3:p:48-:d:1351001.

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2023Multivariate Regime Switching Model Estimation and Asset Allocation. (2023). Zhang, Xili ; Xu, Weidong ; Zheng, Kai. In: Computational Economics. RePEc:kap:compec:v:61:y:2023:i:1:d:10.1007_s10614-021-10203-9.

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2023Optimal Limit Order Book Trading Strategies with Stochastic Volatility in the Underlying Asset. (2023). Aksoy, Umit ; Uur, Omur ; Aydoan, Burcu. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:1:d:10.1007_s10614-022-10272-4.

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2024Valuations of Variance and Volatility Swaps Under Double Heston Jump-Diffusion Model With Approximative Fractional Stochastic Volatility. (2024). Wang, KE ; Guo, Xunxiang. In: Computational Economics. RePEc:kap:compec:v:63:y:2024:i:4:d:10.1007_s10614-023-10374-7.

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2023Attaining stochastic optimal control over debt ratios in U.S. markets. (2023). Liu, Wei-Han. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:61:y:2023:i:3:d:10.1007_s11156-023-01173-0.

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2023Optimal Pairs Trading Strategies: A Stochastic Mean–Variance Approach. (2023). Gu, Jia-Wen ; Wu, Chufang ; Ching, Wai-Ki ; Yu, Fenghui. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:196:y:2023:i:1:d:10.1007_s10957-022-02131-x.

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2023Fund Managers’ Competition for Investment Flows Based on Relative Performance. (2023). Ye, Jiaxuan ; Wang, GU. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:198:y:2023:i:2:d:10.1007_s10957-023-02221-4.

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2023Stochastic Differential Games on Optimal Investment and Reinsurance Strategy with Delay Under the CEV Model. (2023). Zhang, Chengke ; Zhu, Huainian ; Bin, Ning. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:25:y:2023:i:2:d:10.1007_s11009-023-10009-2.

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2023Optimal Investment-Consumption and Life Insurance Strategy with Mispricing and Model Ambiguity. (2023). Yao, Haixiang ; Chen, Shumin ; Gu, Ailing. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:25:y:2023:i:3:d:10.1007_s11009-023-10051-0.

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2023Inference of Binary Regime Models with Jump Discontinuities. (2023). Rajani, Sharan ; Goswami, Anindya ; Das, Milan Kumar. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:85:y:2023:i:1:d:10.1007_s13571-022-00277-2.

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2023Optimal Stock Portfolio Selection with a Multivariate Hidden Markov Model. (2023). Neerchal, Nagaraj K ; Ji, Qing ; Majumder, Reetam. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:85:y:2023:i:1:d:10.1007_s13571-022-00290-5.

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2023Pricing variance swaps under the Hawkes jump‐diffusion process. (2019). Zhu, Songping ; Liu, Weiyi. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:6:p:635-655.

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2023Analytically pricing exchange options with stochastic liquidity and regime switching. (2023). Lin, Sha ; He, Xinjiang. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:5:p:662-676.

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2023Analytically pricing European options under a hybrid stochastic volatility and interest rate model with a general correlation structure. (2023). Lin, Sha ; He, Xinjiang. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:7:p:951-967.

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Works by Tak Kuen Siu:

Year  ↓Title  ↓Type  ↓Cited  ↓
2012On Pricing Basket Credit Default Swaps In: Papers.
[Full Text][Citation analysis]		paper5
2013On pricing basket credit default swaps.(2013) In: Quantitative Finance.
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This paper has nother version. Agregated cites: 5		article
2013On Reduced Form Intensity-based Model with Trigger Events In: Papers.
[Full Text][Citation analysis]		paper3
2014On reduced-form intensity-based model with ‘trigger’ events.(2014) In: Journal of the Operational Research Society.
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This paper has nother version. Agregated cites: 3		article
2013On Infectious Model for Dependent Defaults In: Papers.
[Full Text][Citation analysis]		paper0
2015On Optimal Pricing Model for Multiple Dealers in a Competitive Market In: Papers.
[Full Text][Citation analysis]		paper0
2019On Optimal Pricing Model for Multiple Dealers in a Competitive Market.(2019) In: Computational Economics.
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This paper has nother version. Agregated cites: 0		article
2016Trading Strategy with Stochastic Volatility in a Limit Order Book Market In: Papers.
[Full Text][Citation analysis]		paper1
2020Trading strategy with stochastic volatility in a limit order book market.(2020) In: Decisions in Economics and Finance.
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This paper has nother version. Agregated cites: 1		article
2016Interacting Default Intensity with Hidden Markov Process In: Papers.
[Full Text][Citation analysis]		paper2
2017Interacting default intensity with a hidden Markov process.(2017) In: Quantitative Finance.
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This paper has nother version. Agregated cites: 2		article
2017Generalized Optimal Liquidation Problems Across Multiple Trading Venues In: Papers.
[Full Text][Citation analysis]		paper0
2021Regime Switching Optimal Growth Model with Risk Sensitive Preferences In: Papers.
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2022Regime switching optimal growth model with risk sensitive preferences.(2022) In: Journal of Mathematical Economics.
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This paper has nother version. Agregated cites: 0		article
2017A New Multivariate Nonlinear Time Series Model for Portfolio Risk Measurement: The Threshold Copula-Based TAR Approach In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article2
2017A new multivariate nonlinear time series model for portfolio risk measurement: the threshold copula-based TAR approach.(2017) In: LSE Research Online Documents on Economics.
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This paper has nother version. Agregated cites: 2		paper
2018A hidden Markov regime-switching smooth transition model In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article1
2006On Bayesian Mixture Credibility In: ASTIN Bulletin.
[Full Text][Citation analysis]		article2
2019Continuous-time optimal reinsurance strategy with nontrivial curved structures In: Applied Mathematics and Computation.
[Full Text][Citation analysis]		article1
2011On pricing and hedging options in regime-switching models with feedback effect In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article8
2018Market-making strategy with asymmetric information and regime-switching In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article2
2010On mean-variance portfolio selection under a hidden Markovian regime-switching model In: Economic Modelling.
[Full Text][Citation analysis]		article22
2011On optimal reinsurance, dividend and reinvestment strategies In: Economic Modelling.
[Full Text][Citation analysis]		article8
2011On optimal reinsurance, dividend and reinvestment strategies.(2011) In: Economic Modelling.
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This paper has nother version. Agregated cites: 8		article
2012Asset allocation under stochastic interest rate with regime switching In: Economic Modelling.
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2013Pricing bond options under a Markovian regime-switching Hull–White model In: Economic Modelling.
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2014Pricing foreign equity options with regime-switching In: Economic Modelling.
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2015Valuing commodity options and futures options with changing economic conditions In: Economic Modelling.
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2016Optimal reinsurance policies with two reinsurers in continuous time In: Economic Modelling.
[Full Text][Citation analysis]		article4
2017Discrete-time optimal asset allocation under Higher-Order Hidden Markov Model In: Economic Modelling.
[Full Text][Citation analysis]		article1
2024Life-cycle model with subsistence consumption constraint and state-dependent utilities In: The North American Journal of Economics and Finance.
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