Ser-Huang Poon : Citation Profile

Are you Ser-Huang Poon?

University of Manchester

9

H index

9

i10 index

1664

Citations

RESEARCH PRODUCTION:

17

Articles

4

Papers

1

Books

2

Chapters

RESEARCH ACTIVITY:

   23 years (1992 - 2015). See details.
   Cites by year: 72
   Journals where Ser-Huang Poon has often published
   Relations with other researchers
   Recent citing documents: 121.    Total self citations: 6 (0.36 %)

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   Permalink: http://citec.repec.org/ppo127
   Updated: 2023-11-04    RAS profile: 2023-03-16    
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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:

GUPTA, RANGAN (69)

Clements, Adam (29)

Degiannakis, Stavros (21)

Demirer, Riza (20)

Fernandez, Viviana (14)

Pierdzioch, Christian (13)

Salisu, Afees (13)

Chang, Chia-Lin (11)

Olkhov, Victor (10)

Bollerslev, Tim (10)

Savva, Christos (10)

Cites to:

Bollerslev, Tim (18)

Andersen, Torben (7)

Engle, Robert (6)

de Vries, Casper (6)

Diebold, Francis (5)

Söderlind, Paul (4)

Pedersen, Lasse (4)

Svensson, Lars (4)

Lucas, Andre (4)

Jagannathan, Ravi (4)

merton, robert (3)

Main data

Where Ser-Huang Poon has published?

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

Recent works citing Ser-Huang Poon (2023 and 2022)

YearTitle of citing document
2022.

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2022Recurrent Conditional Heteroskedasticity. (2020). M. -N. Tran, ; T. -N. Nguyen, ; Kohn, R. In: Papers. RePEc:arx:papers:2010.13061.

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2022A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting. (2021). Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:2106.00288.

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2023Nonparametric estimator of the tail dependence coefficient: balancing bias and variance. (2021). , Maxime ; Garcin, Matthieu. In: Papers. RePEc:arx:papers:2111.11128.

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2023Dynamic Risk Measurement by EVT based on Stochastic Volatility models via MCMC. (2022). , Shibo ; Bo, Shi. In: Papers. RePEc:arx:papers:2201.09434.

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2022Can LSTM outperform volatility-econometric models?. (2022). Rodikov, German ; Antulov-Fantulin, Nino. In: Papers. RePEc:arx:papers:2202.11581.

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2022Variational Heteroscedastic Volatility Model. (2022). Barucca, Paolo ; Yin, Zexuan. In: Papers. RePEc:arx:papers:2204.05806.

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2022Russias Ruble during the onset of the Russian invasion of Ukraine in early 2022: The role of implied volatility and attention. (2022). Pl, Tom'Avs ; Ly, Vstefan. In: Papers. RePEc:arx:papers:2205.09179.

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2022High-frequency financial market simulation and flash crash scenarios analysis: an agent-based modelling approach. (2022). Guo, CE ; Luk, Wayne ; Weston, Stephen ; Vytelingum, Perukrishnen ; Gao, Kang. In: Papers. RePEc:arx:papers:2208.13654.

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2023Physics-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.

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2023A Look at Financial Dependencies by Means of Econophysics and Financial Economics. (2023). di Matteo, T ; Raddant, M. In: Papers. RePEc:arx:papers:2302.08208.

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2023Comparing 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.

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2023DeepVol: 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.

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2023Statistical Properties of Two Asymmetric Stochastic Volatility in Mean Models. (2023). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2303.

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2023Estimation of Asymmetric Stochastic Volatility in Mean Models. (2023). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2309.

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2023Forecasting swap rate volatility with information from swaptions. (2023). Xie, Jinming ; Liu, Xiaoxi. In: BIS Working Papers. RePEc:bis:biswps:1068.

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2022Structure learning for extremal tree models. (2022). Volgushev, Stanislav ; Engelke, Sebastian. In: Journal of the Royal Statistical Society Series B. RePEc:bla:jorssb:v:84:y:2022:i:5:p:2055-2087.

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2022Revisiting the return?volatility relationship of exchange rates: New evidence from offshore RMB. (2022). Wu, Ximing ; Lin, Juan ; Chen, Yue. In: Pacific Economic Review. RePEc:bla:pacecr:v:27:y:2022:i:3:p:277-294.

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2023RECENT 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.

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2022A Structural Dynamic Factor Model for Daily Global Stock Market Returns. (2022). Wu, J ; Tang, H ; Linton, O B. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2237.

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2022A Structural Dynamic Factor Model for Daily Global Stock Market Returns. (2022). Tang, H ; Linton, O B ; Wu, J. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:camjip:2214.

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2022.

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2022On the Effectiveness of Stock Index Futures for Tail Risk Protection. (2022). Zouari, Hammadi. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2022-03-5.

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2023A 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.

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2022New volatility evolution model after extreme events. (2022). Ren, Fei ; Yang, Ming-Yuan ; Zhang, Wei ; Xiong, Xiong ; Li, Sai-Ping ; Chen, Zhang-Hangjian ; Cai, Mei-Ling. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:154:y:2022:i:c:s0960077921009620.

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2023Credit 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.

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2022Evolving United States stock market volatility: The role of conventional and unconventional monetary policies. (2022). GUPTA, RANGAN ; Balcilar, Mehmet ; Ji, Qiang ; Plakandaras, Vasilios. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:60:y:2022:i:c:s1062940822000249.

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2022An empirical dynamic modeling framework for missing or irregular samples. (2022). Munch, Stephan B ; Johnson, Bethany. In: Ecological Modelling. RePEc:eee:ecomod:v:468:y:2022:i:c:s0304380022000680.

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2022The drift burst hypothesis. (2022). Reno, Roberto ; Oomen, Roel ; Christensen, Kim. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:2:p:461-497.

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2023Can 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.

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2022Forecasting oil and gold volatilities with sentiment indicators under structural breaks. (2022). GUPTA, RANGAN ; Demirer, Riza ; Ji, Qiang ; Luo, Jiawen. In: Energy Economics. RePEc:eee:eneeco:v:105:y:2022:i:c:s014098832100596x.

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2022Extreme price co-movement of commodity futures and industrial production growth: An empirical evaluation. (2022). Pantelous, Athanasios A ; Xie, Yuxin ; Wen, Xiaoqian. In: Energy Economics. RePEc:eee:eneeco:v:108:y:2022:i:c:s0140988322000950.

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2022Forecasting the realized variance of oil-price returns using machine learning: Is there a role for U.S. state-level uncertainty?. (2022). GUPTA, RANGAN ; Pierdzioch, Christian ; Pienaar, Daniel ; Epni, Ouzhan. In: Energy Economics. RePEc:eee:eneeco:v:114:y:2022:i:c:s0140988322003723.

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2023Co-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.

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2022Oil tail risks and the forecastability of the realized variance of oil-price: Evidence from over 150 years of data. (2022). Salisu, Afees ; Pierdzioch, Christian ; GUPTA, RANGAN. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pb:s1544612321003809.

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2022Novel alternative assets within a transmission mechanism of volatility spillovers: The role of SPACs. (2022). Pergeris, Georgios ; Koutsokostas, Drosos ; Papathanasiou, Spyros. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321005419.

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2022Russia’s ruble during the onset of the Russian invasion of Ukraine in early 2022: The role of implied volatility and attention. (2022). Lyócsa, Štefan ; Lyocsa, Tefan ; Plihal, Toma. In: Finance Research Letters. RePEc:eee:finlet:v:48:y:2022:i:c:s1544612322002410.

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2023The 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.

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2023Predicting 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.

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2022Spreading the fear: The central role of CBOE VIX in global stock market uncertainty. (2022). Smales, Lee A. In: Global Finance Journal. RePEc:eee:glofin:v:51:y:2022:i:c:s1044028321000776.

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2022Financial turbulence, systemic risk and the predictability of stock market volatility. (2022). Salisu, Afees ; GUPTA, RANGAN ; Demirer, Riza. In: Global Finance Journal. RePEc:eee:glofin:v:52:y:2022:i:c:s1044028322000011.

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2022Rethinking financial contagion: Information transmission mechanism during the COVID-19 pandemic. (2022). Marco, Chi Keung ; Lucey, Brian ; Goodell, John W ; Brzeszczyski, Janusz ; Yarovaya, Larisa. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:79:y:2022:i:c:s1042443122000725.

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2023Discovering 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.

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2022Multivariate crash risk. (2022). Weigert, Florian ; Huggenberger, Markus ; Chabi-Yo, Fousseni. In: Journal of Financial Economics. RePEc:eee:jfinec:v:145:y:2022:i:1:p:129-153.

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2022How far is too far for volatility transmission?. (2022). Karali, Berna ; Yang, Yao. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:26:y:2022:i:c:s2405851321000313.

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2022Linkage transitions between oil and the stock markets of countries with the highest COVID-19 cases. (2022). Ruza, Nadiah ; Nur-Firyal, R ; Hussain, Saiful Izzuan. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:28:y:2022:i:c:s2405851321000696.

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2022Forecasting crude oil market returns: Enhanced moving average technical indicators. (2022). Zhang, Yaojie ; Wang, Yudong ; Liu, LI ; Wen, Danyan. In: Resources Policy. RePEc:eee:jrpoli:v:76:y:2022:i:c:s0301420722000216.

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2022Monetary policy uncertainty and gold price in India: Evidence from Reserve Bank of Indias Monetary Policy Committee (MPC) review. (2022). Vallabh, Priyanka ; Shaikh, Imlak. In: Resources Policy. RePEc:eee:jrpoli:v:76:y:2022:i:c:s0301420722000915.

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2022New adaptive synchronization algorithm for a general class of complex hyperchaotic systems with unknown parameters and its application to secure communication. (2022). Mokaev, T N ; Kuznetsov, N V ; Shoreh, A. A.-H., . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:586:y:2022:i:c:s0378437121007391.

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2023The 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.

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2023Firm-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.

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2023Measuring 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.

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2022Geopolitical risks and historical exchange rate volatility of the BRICS. (2022). Salisu, Afees ; GUPTA, RANGAN ; Cuado, Juncal. In: International Review of Economics & Finance. RePEc:eee:reveco:v:77:y:2022:i:c:p:179-190.

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2023Hedging 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.

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2023The 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.

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2022The COVID-19 black swan crisis: Reaction and recovery of various financial markets. (2022). Matkovskyy, Roman ; Jalan, Akanksha ; Yarovaya, Larisa. In: Research in International Business and Finance. RePEc:eee:riibaf:v:59:y:2022:i:c:s0275531921001422.

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2022Forecasting volatility of Bitcoin. (2022). Molnár, Peter ; Polasik, Micha ; Molnar, Peter ; Lind, Andrea Falk ; Bergsli, Lykke Overland. In: Research in International Business and Finance. RePEc:eee:riibaf:v:59:y:2022:i:c:s0275531921001616.

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2023Predicting 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.

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2022Modeling and Forecasting the Volatility of NIFTY 50 Using GARCH and RNN Models. (2022). Malik, Aashish ; Thakan, Sunil ; Mahajan, Vanshu. In: Economies. RePEc:gam:jecomi:v:10:y:2022:i:5:p:102-:d:804553.

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2023.

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2022Market Quality and Short-Selling Ban during the COVID-19 Pandemic: A High-Frequency Data Approach. (2022). Ferreruela, Sandra ; lMartin, Danie . In: JRFM. RePEc:gam:jjrfmx:v:15:y:2022:i:7:p:308-:d:862960.

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2022Pricing European Currency Options with High-Frequency Data. (2022). Le, Thi ; Hoque, Ariful. In: Risks. RePEc:gam:jrisks:v:10:y:2022:i:11:p:208-:d:961318.

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2023On 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.

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2023The 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.

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2022Stock Market Synchronization and Stock Volatility: The Case of an Emerging Market. (2022). Guzman, Vicente Alfonso ; Antonio, Esteban Jose ; Pulgar, Nicolas Magner. In: Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance). RePEc:imx:journl:v:17:y:2022:i:3:a:5.

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2022Analyzing Firm Reports for Volatility Prediction: A Knowledge-Driven Text-Embedding Approach. (2022). Fan, Yangyang ; Zhang, Kunpeng ; Yang, YI. In: INFORMS Journal on Computing. RePEc:inm:orijoc:v:34:y:2022:i:1:p:522-540.

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2022Chasing Volatility of USD/TRY Foreign Exchange Rate: The Comparison of CARR, EWMA, and GARCH Models. (2022). Ari, Yakup. In: EKOIST Journal of Econometrics and Statistics. RePEc:ist:ekoist:v:0:y:2022:i:37:p:107-127.

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2022Shareholder Disputes and Commonality in Liquidity: Evidence from the Equity Markets in China. (2022). Wang, Mu-Shun. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:29:y:2022:i:2:d:10.1007_s10690-021-09350-8.

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2022Deep Learning Based Hybrid Computational Intelligence Models for Options Pricing. (2022). Ozbayoglu, Murat A ; Arin, Efe. In: Computational Economics. RePEc:kap:compec:v:59:y:2022:i:1:d:10.1007_s10614-020-10063-9.

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2022World Commodity Prices and Economic Activity in Advanced and Emerging Economies. (2022). Serletis, Apostolos ; Liu, Jinan. In: Open Economies Review. RePEc:kap:openec:v:33:y:2022:i:2:d:10.1007_s11079-021-09632-8.

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2022Option pricing with random risk aversion. (2022). Poon, Ser-Huang ; Vitiello, Luiz. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:58:y:2022:i:4:d:10.1007_s11156-021-01034-8.

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2023Measuring 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..

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2022Equity Risk Premium Predictability from Cross-Sectoral Downturns. (2022). Zambrano, Juan Arismendi ; Faias, Jos Afonso. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:12:y:2022:i:3:p:808-842..

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2023When 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.

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2022The Market-Based Asset Price Probability. (2022). Olkhov, Victor. In: MPRA Paper. RePEc:pra:mprapa:113096.

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2022The Market-Based Asset Price Probability. (2022). Olkhov, Victor. In: MPRA Paper. RePEc:pra:mprapa:115382.

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2022A Dynamic Correlation Analysis of Financial Contagion: Evidence from the Eurozone Stock Markets. (0000). Trabelsi, Mohamed Ali ; Hmida, Salma. In: MPRA Paper. RePEc:pra:mprapa:115852.

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2023Volatility 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.

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2022Statistica descriptivă a seriilor de timp financiare. (2016). Stefanescu, Razvan ; Dumitriu, Ramona. In: MPRA Paper. RePEc:pra:mprapa:72268.

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2022Policy Uncertainty and Stock Market Volatility Revisited: The Predictive Role of Signal Quality. (2022). Demirer, Riza ; Salisu, Afees A ; Gupta, Rangan. In: Working Papers. RePEc:pre:wpaper:202232.

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2022Climate Risks and State-Level Stock-Market Realized Volatility. (2022). Cepni, Oguzhan ; Gupta, Rangan ; Pierdzioch, Christian ; Bonato, Matteo. In: Working Papers. RePEc:pre:wpaper:202246.

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2022Business Applications and State-Level Stock Market Realized Volatility: A Forecasting Experiment. (2022). Pierdzioch, Christian ; Bonato, Matteo ; Cepni, Oguzhan ; Gupta, Rangan. In: Working Papers. RePEc:pre:wpaper:202247.

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2022Forecasting Multivariate Volatilities with Exogenous Predictors: An Application to Industry Diversification Strategies. (2022). Demirer, Riza ; Gupta, Rangan ; Cepni, Oguzhan ; Luo, Jiawen. In: Working Papers. RePEc:pre:wpaper:202258.

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2023Technological 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.

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2023Stock 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.

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2023Financial 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.

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2023Economic 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.

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2023Climate 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.

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2022Determinism and Non-linear Behaviour of Log-return and Conditional Volatility: Empirical Analysis for 26 Stock Markets. (2022). Dhifaoui, Zouhaier. In: South Asian Journal of Macroeconomics and Public Finance. RePEc:sae:smppub:v:11:y:2022:i:1:p:69-94.

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2022Oil price risk exposure of BRIC stock markets and hedging effectiveness. (2022). Naeem, Muhammad Abubakr ; Ur, Mobeen ; Bouri, Elie ; Hussain, Syed Jawad ; Saeed, Tareq. In: Annals of Operations Research. RePEc:spr:annopr:v:313:y:2022:i:1:d:10.1007_s10479-021-04078-0.

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2022The Brexit impact on European market co-movements. (2022). Louhichi, Wael ; ben Ameur, Hachmi. In: Annals of Operations Research. RePEc:spr:annopr:v:313:y:2022:i:2:d:10.1007_s10479-020-03899-9.

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2022Is oil price risk systemic to sectoral equity markets of an oil importing country? Evidence from a dependence-switching copula delta CoVaR approach. (2022). Tiwari, Aviral ; Hille, Erik ; Kumar, Satish ; Jena, Sangram Keshari. In: Annals of Operations Research. RePEc:spr:annopr:v:315:y:2022:i:1:d:10.1007_s10479-021-04218-6.

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2022Time connectedness of fear. (2022). Sosvilla-Rivero, Simon ; Fernandez-Rodriguez, Fernando ; Fernandez-Perez, Adrian ; Andrada-Felix, Julian. In: Empirical Economics. RePEc:spr:empeco:v:62:y:2022:i:3:d:10.1007_s00181-021-02056-w.

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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.
[Full Text][Citation analysis]		article754
2012High Frequency Trading and Mini Flash Crashes In: Papers.
[Full Text][Citation analysis]		paper39
1996Persistence and mean reversion in UK stock returns In: European Financial Management.
[Full Text][Citation analysis]		article8
2000Trading volatility spreads: a test of index option market efficiency In: European Financial Management.
[Full Text][Citation analysis]		article13
2015Estimating dynamic copula dependence using intraday data In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article3
2001New Extreme-Value Dependence Measures and Finance Applications In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper9
2001New Extreme-Value Dependance Measures and Finance Applications.(2001) In: HEC Research Papers Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9		paper
2001New Extreme-Value Dependance Measures and Finance Applications.(2001) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 9		paper
2014Forecasting and decomposition of portfolio credit risk using macroeconomic and frailty factors In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article7
2001Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns In: Journal of Econometrics.
[Full Text][Citation analysis]		article291
2012Belief rule-based system for portfolio optimisation with nonlinear cash-flows and constraints In: European Journal of Operational Research.
[Full Text][Citation analysis]		article2
2013Market liquidity and institutional trading during the 2007–8 financial crisis In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article6
2015Credit contagion in the presence of non-normal shocks In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article1
1992Stock returns and volatility: An empirical study of the UK stock market In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article86
2001Returns synchronization and daily correlation dynamics between international stock markets In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article136
2001Modelling S&P 100 volatility: The information content of stock returns In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article24
2011Hedging the black swan: Conditional heteroskedasticity and tail dependence in S&P500 and VIX In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article16
2013Derivatives pricing with affine models and numerical implementation In: Chapters.
[Full Text][Citation analysis]		chapter0
2013Markov Chain Monte Carlo with particle filtering In: Chapters.
[Full Text][Citation analysis]		chapter0
2014Non-monotonic pricing kernel and an extended class of mixture of distributions for option pricing In: Review of Derivatives Research.
[Full Text][Citation analysis]		article0
2004Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications In: Review of Financial Studies.
[Full Text][Citation analysis]		article253
2005Asset Pricing in Discrete Time: A Complete Markets Approach In: OUP Catalogue.
[Citation analysis]		book7
2002Asymmetric and crash effects in stock volatility for the S&P 100 index and its constituents In: Applied Financial Economics.
[Full Text][Citation analysis]		article4
2010General equilibrium and preference free model for pricing options under transformed gamma distribution In: Journal of Futures Markets.
[Full Text][Citation analysis]		article5

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