Ser-Huang Poon : Citation Profile

University of Manchester

9

H index

9

i10 index

1854

Citations

RESEARCH PRODUCTION:

17

Articles

4

Papers

1

Books

2

Chapters

RESEARCH ACTIVITY:

   23 years (1992 - 2015). See details.
   Cites by year: 80
   Journals where Ser-Huang Poon has often published
   Relations with other researchers
   Recent citing documents: 151.    Total self citations: 6 (0.32 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ppo127
   Updated: 2026-05-02    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 (101)

Pierdzioch, Christian (35)

Clements, Adam (29)

Demirer, Riza (23)

Salisu, Afees (22)

Degiannakis, Stavros (21)

Cepni, Oguzhan (20)

Chang, Chia-Lin (15)

Fernandez, Viviana (14)

Ji, Qiang (12)

Savva, Christos (10)

Cites to:

Bollerslev, Tim (18)

Andersen, Torben (7)

de Vries, Casper (6)

Engle, Robert (6)

Diebold, Francis (5)

Lucas, Andre (4)

Pedersen, Lasse (4)

Schwert, G. (4)

Söderlind, Paul (4)

Svensson, Lars (4)

Jagannathan, Ravi (4)

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 (2025 and 2024)

YearTitle of citing document
2024The Impacts of USDA Reports on Pre-Harvest Volatility Expectations: the Case of Corn New Crop Futures. (2024). Yang, Yao ; McKenzie, Andrew. In: 2024 Conference, April 22-23, 2024, St. Louis, Missouri. RePEc:ags:nccc24:379014.

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2024Volatility Depends on Market Trades and Macro Theory. (2024). Olkhov, Victor. In: Papers. RePEc:arx:papers:2008.07907.

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2024Data-Driven Risk Measurement by SV-GARCH-EVT Model. (2024). , Shibo. In: Papers. RePEc:arx:papers:2201.09434.

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2025Global Neural Networks and The Data Scaling Effect in Financial Time Series Forecasting. (2025). Kohn, Robert ; Gerlach, Richard ; Tran, Minh-Ngoc ; Liu, Chen ; Wang, Chao. In: Papers. RePEc:arx:papers:2309.02072.

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2025SpotV2Net: Multivariate Intraday Spot Volatility Forecasting via Vol-of-Vol-Informed Graph Attention Networks. (2025). Toscano, Giacomo ; Brini, Alessio. In: Papers. RePEc:arx:papers:2401.06249.

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2024Analyzing Currency Fluctuations: A Comparative Study of GARCH, EWMA, and IV Models for GBP/USD and EUR/GBP Pairs. (2024). Tondapu, Narayan. In: Papers. RePEc:arx:papers:2402.07435.

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2024Synchronization in a market model with time delays. (2024). el Deeb, Omar ; Dibeh, Ghassan. In: Papers. RePEc:arx:papers:2405.00046.

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2025Global Stock Market Volatility Forecasting Incorporating Dynamic Graphs and All Trading Days. (2024). Wang, Chao ; Gao, Junbin ; Chi, Zhengyang. In: Papers. RePEc:arx:papers:2409.15320.

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2025Graph Signal Processing for Global Stock Market Realized Volatility Forecasting. (2025). Wang, Chao ; Gao, Junbin ; Chi, Zhengyang. In: Papers. RePEc:arx:papers:2410.22706.

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2024Autoencoder Enhanced Realised GARCH on Volatility Forecasting. (2024). Zhang, Lingxiang ; Storti, Giuseppe ; Gerlach, Richard ; Wang, Chao ; Zhao, Qianli. In: Papers. RePEc:arx:papers:2411.17136.

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2025Systemic Risk Management via Maximum Independent Set in Extremal Dependence Networks. (2025). Wang, Tiandong ; Hui, Qian. In: Papers. RePEc:arx:papers:2503.15534.

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2025Causal analysis of extreme risk in a network of industry portfolios. (2025). Kluppelberg, Claudia ; Krali, Mario. In: Papers. RePEc:arx:papers:2504.00523.

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2025Cross-Modal Temporal Fusion for Financial Market Forecasting. (2025). Mazzon, Riccardo ; Marcilio, Enrique ; Gold, Daniel ; Mandal, Anandadeep ; Cartlidge, John ; Pei, Yunhua. In: Papers. RePEc:arx:papers:2504.13522.

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2026Roughness Analysis of Realized Volatility and VIX through Randomized Kolmogorov-Smirnov Distribution. (2025). Bianchi, Sergio ; Angelini, Daniele. In: Papers. RePEc:arx:papers:2509.20015.

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2025U.S. Economy and Global Stock Markets: Insights from a Distributional Approach. (2025). Wu, Ping ; Zhu, Dan. In: Papers. RePEc:arx:papers:2511.17140.

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2026The drift burst hypothesis. (2026). , Roel ; Reno, Roberto ; Christensen, Kim. In: Papers. RePEc:arx:papers:2601.08974.

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2026Temporal Coverage Bias in Financial Panel Data: A Coverage-Aware Structuring Framework with Evidence from the Dhaka Stock Exchange. (2026). Muhammad, Tashreef. In: Papers. RePEc:arx:papers:2603.20237.

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2025Statistical Properties of Two Asymmetric Stochastic Volatility in Power Mean Models. (2025). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2546.

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2024Cryptocurrency and African fiat currencies: A peaceful coexistence?. (2024). Kumah, Seyram P. In: Economic Notes. RePEc:bla:ecnote:v:53:y:2024:i:1:n:e12229.

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2025Forecasting the Impact of Extreme Weather Events on Electricity Prices in Italy: A GARCH-MIDAS Approach with Enhanced Variable Selection. (2025). Riso, Luigi ; Zoia, Maria Grazia ; Guerzoni, Marco. In: DISCE - Working Papers del Dipartimento di Politica Economica. RePEc:ctc:serie5:dipe0043.

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2024Estimating Value at Risk and Expected Shortfall: A Kalman Filter Approach. (2024). van der Lecq, Max ; van Vuuren, Gary. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2024-01-1.

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2024Forecasting Stock Market Realized Volatility using Random Forest and Artificial Neural Network in South Africa. (2024). Brijlal, Pradeep ; Diane, Lamine. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2024-02-2.

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2026Beyond volatility: Using differential entropy to detect financial market regimes. (2026). Matsushita, Raul ; Da Silva, Sergio ; Nobre, Iuri. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:202:y:2026:i:p2:s0960077925015668.

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2024Nonnegative GARCH-type models with conditional Gamma distributions and their applications. (2024). Hwang, Eunju ; Jeon, Chanhyeok. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:198:y:2024:i:c:s0167947324000902.

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2024Nominal exchange rates and heterogeneous beliefs. (2024). Lu, Lei ; Jiao, Feng ; Croitoru, Benjamin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:166:y:2024:i:c:s0165188924000964.

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2024The impact of COVID-19 uncertainties on energy market volatility: Evidence from the US markets. (2024). Ghouli, Jihene ; Sharif, Taimur ; Abedin, Mohammad Zoynul ; Bouteska, Ahmed. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:84:y:2024:i:c:p:25-41.

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2024The volume-implied volatility relation in financial markets: A behavioral explanation. (2024). Cheuathonghua, Massaporn ; Padungsaksawasdi, Chaiyuth. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:71:y:2024:i:c:s1062940824000238.

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2024Forecasting volatility of stock indices: Improved GARCH-type models through combined weighted volatility measure and weighted volatility indicators. (2024). de Khoo, Zhi ; Koh, You Beng ; Ng, Kooi Huat. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:71:y:2024:i:c:s1062940824000378.

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2024Market risk modeling with option-implied covariances and score-driven dynamics. (2024). Herrera, Rodrigo ; Pia, Marco. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000615.

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2025Stock market volatility and multi-scale positive and negative bubbles. (2025). Nel, Jacobus ; Gupta, Rangan ; Pierdzioch, Christian ; Nielsen, Joshua. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824002250.

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2025Spillover of fear among the US and BRICS equity markets during the COVID-19 crisis and the Russo-Ukrainian conflict. (2025). Zhou, Long ; Zhang, YI ; Wu, Baoxiu ; Liu, Zhidong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pa:s106294082400233x.

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2026Extreme weather events as the main driver of electricity price volatility in Italy: A GARCH-MIDAS approach with machine learning-based variable selection. (2026). Guerzoni, Marco ; Riso, Luigi ; Zoia, Grazia M. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:81:y:2026:i:c:s1062940825001524.

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2024Algorithmic trading and mini flash crashes: Evidence from Austria. (2024). Theissen, Erik ; Steffen, Viktoria ; Mestel, Roland. In: Economics Letters. RePEc:eee:ecolet:v:244:y:2024:i:c:s016517652400466x.

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2025Supply chain constraints and the predictability of the conditional distribution of international stock market returns and volatility. (2025). GUPTA, RANGAN ; Cepni, Oguzhan ; Bouri, Elie ; Liu, Ruipeng. In: Economics Letters. RePEc:eee:ecolet:v:247:y:2025:i:c:s0165176525000138.

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2024Volatility prediction comparison via robust volatility proxies: An empirical deviation perspective. (2024). Zhu, Ziwei ; Wang, Weichen. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407623003494.

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2024Equity markets volatility clustering: A multiscale analysis of intraday and overnight returns. (2024). Zhang, Yali ; Zhao, Xiaojun ; Shang, Pengjian ; Xu, Chao. In: Journal of Empirical Finance. RePEc:eee:empfin:v:77:y:2024:i:c:s0927539824000227.

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2024Technological shocks and stock market volatility over a century. (2024). Salisu, Afees ; GUPTA, RANGAN ; Demirer, Riza. In: Journal of Empirical Finance. RePEc:eee:empfin:v:79:y:2024:i:c:s0927539824000951.

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2024Efficient predictability of oil price: The role of VIX-based panic index shadow line difference. (2024). Dai, Zhifeng ; Zhang, Xiaotong ; Liang, Chao. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s0140988323007326.

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2024Stock market bubbles and the realized volatility of oil price returns. (2024). Pierdzioch, Christian ; GUPTA, RANGAN ; Nielsen, Joshua. In: Energy Economics. RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001403.

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2024The impact of liquidity conditions on the time-varying link between U.S. municipal green bonds and major risky markets during the COVID-19 crisis: A machine learning approach. (2024). Mushtaq, Rizwan ; Kocaarslan, Baris. In: Energy Policy. RePEc:eee:enepol:v:184:y:2024:i:c:s0301421523004962.

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2025Stock and sovereign returns linkages: Time-varying causality and extreme-quantile determinants. (2025). Alves, José ; Afonso, Antonio ; Grabowski, Wojciech ; Monteiro, Sofia. In: International Review of Financial Analysis. RePEc:eee:finana:v:108:y:2025:i:pa:s105752192500794x.

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2024Prediction of realized volatility and implied volatility indices using AI and machine learning: A review. (2024). Westgaard, Sjur ; Risstad, Morten ; Isern, Hkon Ramon ; Gunnarsson, Elias Sovik ; Vigdel, Benjamin ; Kaloudis, Aristidis. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924001534.

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2024Temporal-spatial dependencies enhanced deep learning model for time series forecast. (2024). Chen, Kedong ; Yang, HU ; Wang, Haijun. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924001935.

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2024Spillover between investor sentiment and volatility: The role of social media. (2024). Indriawan, Ivan ; Fernandez-Perez, Adrian ; Yang, NI. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005751.

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2024Impact of crude oil price innovations on global stock market volatility: Evidence across time and space. (2024). Xin, YU ; Cao, Hong ; Yin, Libo. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pb:s1057521924006173.

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2025Which corporate leaders matter to financial markets?. (2025). Philipps, Collin S ; Ratliff, David J. In: International Review of Financial Analysis. RePEc:eee:finana:v:97:y:2025:i:c:s1057521924007129.

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2024Proprietary algorithmic traders and liquidity supply during the pandemic. (2024). Nawn, Samarpan ; Banerjee, Anirban. In: Finance Research Letters. RePEc:eee:finlet:v:61:y:2024:i:c:s1544612324000825.

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2024Dynamic linkages among bitcoin, equity, gold and oil: An implied volatility perspective. (2024). Choudhary, Sangita ; Biswal, Pratap Chandra ; Jain, Anshul. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pb:s1544612324002502.

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2024US dollar and oil market uncertainty: New evidence from explainable machine learning. (2024). Kocaarslan, Baris. In: Finance Research Letters. RePEc:eee:finlet:v:64:y:2024:i:c:s1544612324004057.

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2024The spillover effects of U.S. uncertainties on the systemic tail risk of Chinese enterprises. (2024). Liu, Liping ; Xu, Jietian. In: Finance Research Letters. RePEc:eee:finlet:v:64:y:2024:i:c:s1544612324004690.

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2024Volatility or higher moments: Which is more important in return density forecasts of stochastic volatility model?. (2024). Li, Chenxing ; Zhang, Zehua ; Zhao, Ran. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pb:s1544612324008547.

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2025Wall Street sneezes and global finance catches a cold: How does geopolitical risk contribute? A tale of tail. (2025). Neto, David. In: Finance Research Letters. RePEc:eee:finlet:v:73:y:2025:i:c:s154461232401691x.

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2025A benchmark-asset principal component factorization for index tracking on large investment universes. (2025). Bufalo, M ; di Paolo, A ; Cesarone, F ; Orlando, G. In: Finance Research Letters. RePEc:eee:finlet:v:79:y:2025:i:c:s1544612325005070.

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2025Supply bottlenecks and machine learning forecasting of international stock market volatility. (2025). GUPTA, RANGAN ; Plakandaras, Vasilios ; Karmakar, Sayar ; Somani, Dhanashree. In: Finance Research Letters. RePEc:eee:finlet:v:86:y:2025:i:pg:s1544612325021841.

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2024The lead–lag relation between VIX futures and SPX futures. (2024). Kokholm, Thomas ; Bangsgaard, Christine. In: Journal of Financial Markets. RePEc:eee:finmar:v:67:y:2024:i:c:s1386418123000496.

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2025Distributionally robust tail bounds based on Wasserstein distance and f-divergence. (2025). Engelke, Sebastian ; Aigner, Maximilian ; Birghila, Corina. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:125:y:2025:i:c:s016766872500085x.

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2024A False Discovery Rate approach to optimal volatility forecasting model selection. (2024). Baker, Paul L ; Platanakis, Emmanouil ; Hassanniakalager, Arman. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:3:p:881-902.

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2024Forecasting day-ahead expected shortfall on the EUR/USD exchange rate: The (I)relevance of implied volatility. (2024). Vrost, Toma ; Plihal, Toma ; Lyocsa, Tefan. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:4:p:1275-1301.

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2025SpotV2Net: Multivariate intraday spot volatility forecasting via vol-of-vol-informed graph attention networks. (2025). Toscano, Giacomo ; Brini, Alessio. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:3:p:1093-1111.

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2025A general option pricing framework for affine fractionally integrated models. (2025). Badescu, Alexandru ; Augustyniak, Maciej ; Jayaraman, Sarath Kumar ; Bgin, Jean-Franois. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:171:y:2025:i:c:s0378426624002607.

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2026Your fear is (partly) mine: the role of non-VIX volatility in forecasting regional stock market volatility using interpretable machine learning. (2026). Kutan, Ali ; Feng, Lingbing ; Shi, Jingyi. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:160:y:2026:i:c:s0261560625002025.

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2025Performance of systemic stress in agricultural commodities and its implication for volatility prediction in SSA equities. (2025). Lin, Boqiang ; Zheng, Qingying ; Wu, Jintao. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:39:y:2025:i:c:s2405851325000248.

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2025Twin commodity shocks: A multi-to-one CoVaR analysis of systemic risk spillovers from gold and crude oil to emerging market currencies. (2025). Wang, Mengjiao ; Liu, Jianxu. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:39:y:2025:i:c:s2405851325000443.

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2024Market turbulence and investor decision-making in currency option market. (2024). Frikha, Wajdi ; Dammak, Wael ; Souissi, Mohamed Naceur. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:30:y:2024:i:c:s1703494924000227.

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2024The international linkages of market risk perception. (2024). Vaello-Sebastià, Antoni ; Serrano, Pedro ; Vich-Llompart, Magdalena M ; Vaello-Sebastia, Antoni. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:72:y:2024:i:c:s1042444x23000452.

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2024Geopolitical risk and the predictability of spillovers between exchange, commodity and stock markets. (2024). Ma, Yong ; Hao, Xinlei ; Pan, Dongtao. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:73:y:2024:i:c:s1042444x24000082.

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2024Switching spillovers and connectedness between Sukuk and international Islamic stock markets. (2024). Yoon, Seong-Min ; Lee, Yeonjeong ; Mensi, Walid ; Al-Kharusi, Sami. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:84:y:2024:i:c:s0927538x24000696.

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2025Decoding financial markets: Empirical DGPs as the key to model selection and forecasting excellence – A proof of concept. (2025). Stanisic, Nikola ; Sharma, Abhishek ; Koji, Milena ; Vogl, Markus. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:666:y:2025:i:c:s0378437125001943.

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2025Forecasting realized volatility using news flow. (2025). Fernandes, Marcelo. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:104:y:2025:i:c:s106297692500081x.

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2024Energy-related uncertainty and international stock market volatility. (2024). Salisu, Afees ; Ogbonna, Ahamuefula ; GUPTA, RANGAN ; Bouri, Elie. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:95:y:2024:i:c:p:280-293.

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2025Volatility characteristics of stock markets during the US-China trade war. (2025). Yang, Ting. In: International Review of Economics & Finance. RePEc:eee:reveco:v:102:y:2025:i:c:s1059056025004988.

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2024Inflation returns. Revisiting the role of external and domestic shocks with Bayesian structural VAR. (2024). Szafranek, Karol ; Szafraski, Grzegorz ; Leszczyska-Paczesna, Agnieszka. In: International Review of Economics & Finance. RePEc:eee:reveco:v:93:y:2024:i:pa:p:789-810.

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2025Hybrid ML models for volatility prediction in financial risk management. (2025). Rao, Amar ; Dhochak, Monika ; Kumar, Satish. In: International Review of Economics & Finance. RePEc:eee:reveco:v:98:y:2025:i:c:s1059056025000784.

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2024The role of investors’ fear in crude oil volatility forecasting. (2024). Molnar, Peter ; Haukvik, Nicole ; Cheraghali, Hamid. In: Research in International Business and Finance. RePEc:eee:riibaf:v:70:y:2024:i:pb:s0275531924001466.

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2024Financial stress and realized volatility: The case of agricultural commodities. (2024). Pierdzioch, Christian ; GUPTA, RANGAN ; Cepni, Oguzhan ; Bonato, Matteo. In: Research in International Business and Finance. RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002356.

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2024Cryptocurrency volatility: A review, synthesis, and research agenda. (2024). Kumar, Satish ; Ahmed, Mohamed Shaker ; Al-Maghyereh, Aktham I ; El-Masry, Ahmed A. In: Research in International Business and Finance. RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002654.

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2025Price limits, investor asset allocation, and price volatility: Evidence from China’s registration-based IPO reform. (2025). Shi, Peiyao ; Li, Zixian ; Hou, Wanyue ; Liu, Zhaoda. In: Research in International Business and Finance. RePEc:eee:riibaf:v:75:y:2025:i:c:s0275531925000133.

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2025Uncertainty or investor attention: Which has more impact on Bitcoin volatility?. (2025). Ilgin, Cihan ; Zdemir, Mehmet Ozan ; Aras, Serkan. In: Research in International Business and Finance. RePEc:eee:riibaf:v:77:y:2025:i:pb:s0275531925002582.

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2025Stock illiquidity and economic policy uncertainty in Chinese security market. (2025). Xie, Linyin. In: Research in International Business and Finance. RePEc:eee:riibaf:v:78:y:2025:i:c:s0275531925002776.

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2025Forecasting spot and futures price volatility of agricultural commodities: The role of climate-related migration uncertainty. (2025). Salisu, Afees ; Ogbonna, Ahamuefula ; GUPTA, RANGAN ; Bouri, Elie. In: Research in International Business and Finance. RePEc:eee:riibaf:v:80:y:2025:i:c:s0275531925003897.

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2024Forecasting the CBOE VIX and SKEW Indices Using Heterogeneous Autoregressive Models. (2024). Guidolin, Massimo ; Panzeri, Giulia F. In: Forecasting. RePEc:gam:jforec:v:6:y:2024:i:3:p:40-814:d:1478296.

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2024Multi-Task Forecasting of the Realized Volatilities of Agricultural Commodity Prices. (2024). Pierdzioch, Christian ; GUPTA, RANGAN. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:18:p:2952-:d:1483479.

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2025Time Series Determinism Recognition by LSTM Model. (2025). Witkowicz, Pawe ; Mikiewicz, Janusz. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:12:p:2000-:d:1680999.

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2025From Inequality to Extremes and Back: A Lorenz Representation of the Pickands Dependence Function. (2025). Fontanari, Andrea ; Cirillo, Pasquale. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:13:p:2047-:d:1683715.

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2025Semiparametric Estimation and Application of Realized GARCH Model with Time-Varying Leverage Effect. (2025). Liu, Guangying ; Lin, Jinguan ; Mao, Yizhi ; Hao, Hongxia. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:9:p:1506-:d:1648583.

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2024Trading Option Portfolios Using Expected Profit and Expected Loss Metrics. (2024). de Jongh, Pieter Juriaan ; Venter, Johannes Hendrik. In: Risks. RePEc:gam:jrisks:v:12:y:2024:i:8:p:130-:d:1458063.

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2025Historical Perspectives in Volatility Forecasting Methods with Machine Learning. (2025). Qiu, Zhiang ; Kownatzki, Clemens ; Scalzo, Fabien ; Cha, Eun Sang. In: Risks. RePEc:gam:jrisks:v:13:y:2025:i:5:p:98-:d:1660024.

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2024Volatility Modeling and Spillover: The Turkish and Russian Stock Markets. (2024). Genyurk, Galip. In: Istanbul Business Research. RePEc:ist:ibsibr:v:53:y:2024:i:1:p:81-101.

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2024High-Frequency Financial Market Simulation and Flash Crash Scenarios Analysis: An Agent-Based Modelling Approach. (2024). Weston, Stephen ; Vytelingum, Perukrishnen ; Gao, Kang ; Guo, CE ; Luk, Wayne. In: Journal of Artificial Societies and Social Simulation. RePEc:jas:jasssj:2022-169-3.

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2024Forecasting Trading-Session Return Volatility in Taiwan Futures Market: A Periodic Regime Switching with Jump Approach. (2024). Chang, Yu-Ching ; Lai, Yi-Hao ; Wang, Yi-Chiuan. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:31:y:2024:i:2:d:10.1007_s10690-023-09415-w.

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2024volatilityforecastingpackage: A Financial Volatility Package in Mathematica. (2024). Khodabaccus, Noorshanaaz. In: Computational Economics. RePEc:kap:compec:v:63:y:2024:i:6:d:10.1007_s10614-023-10406-2.

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2025Multi-Scale Event Detection in Financial Time Series. (2025). Ogasawara, Eduardo ; Bezerra, Eduardo ; Coutinho, Rafaelli ; Assis, Laura ; Mello, Carlos E ; Gea, Cristiane ; Salles, Diego Silva. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:1:d:10.1007_s10614-024-10582-9.

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2025Using CNN to Model Stock Prices. (2025). Steinbacher, Mitja. In: Computational Economics. RePEc:kap:compec:v:66:y:2025:i:6:d:10.1007_s10614-025-10887-3.

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2025Reserve currency and the time-varying link between uncertainties in commodity and financial markets. (2025). Kocaarslan, Baris. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:39:y:2025:i:3:d:10.1007_s11408-025-00472-x.

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2024Oil shocks and state-level stock market volatility of the United States: a GARCH-MIDAS approach. (2024). Salisu, Afees ; GUPTA, RANGAN ; Cepni, Oguzhan ; Caraiani, Petre. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:63:y:2024:i:4:d:10.1007_s11156-024-01295-z.

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2025Decoding Futures Price Dynamics: A Regularized Sparse Autoencoder for Interpretable Multi-Horizon Forecasting and Factor Discovery. (2025). Gupta, Abhijit. In: OSF Preprints. RePEc:osf:osfxxx:4rzky_v1.

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2025Cointegration-based pairs trading: identifying and exploiting similar exchange-traded funds. (2025). Alexiou, Constantinos ; Chen, Kezhong. In: Journal of Asset Management. RePEc:pal:assmgt:v:26:y:2025:i:5:d:10.1057_s41260-025-00416-0.

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2026Forecasting the worst: is implied volatility forward-looking enough?. (2026). de Vincentiis, Paola ; Confalonieri, Carlo. In: Journal of Banking Regulation. RePEc:pal:jbkreg:v:27:y:2026:i:1:d:10.1057_s41261-025-00306-w.

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2025Black swan dynamics: a network-based framework for systemic risk detection and mitigation. (2025). Sudheer, Krishna A ; Balasundaram, Elamurugan ; Sujatha, D. In: Risk Management. RePEc:pal:risman:v:27:y:2025:i:4:d:10.1057_s41283-025-00177-5.

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2026New value-at-risk method adjusted for a long time horizon with application to exchange rates. (2026). Mrkvika, Tom ; Krsnick, Martina ; Hlskov, Gabriela. In: Risk Management. RePEc:pal:risman:v:28:y:2026:i:1:d:10.1057_s41283-025-00188-2.

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2026Extreme volatility of crude oil futures in the wake of a black swan event. (2026). Jin, YI ; Jiang, Wenting ; Yang, Wanping ; Ren, Xiaohang. In: Risk Management. RePEc:pal:risman:v:28:y:2026:i:2:d:10.1057_s41283-026-00198-8.

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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]		article879
2012High Frequency Trading and Mini Flash Crashes In: Papers.
[Full Text][Citation analysis]		paper45
1996Persistence and mean reversion in UK stock returns In: European Financial Management.
[Full Text][Citation analysis]		article9
2000Trading volatility spreads: a test of index option market efficiency In: European Financial Management.
[Full Text][Citation analysis]		article14
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 nother version. Agregated cites: 9		paper
2001New Extreme-Value Dependance Measures and Finance Applications.(2001) In: Working Papers.
[Citation analysis]
This paper has nother 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]		article8
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]		article303
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]		article8
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]		article92
2001Returns synchronization and daily correlation dynamics between international stock markets In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article146
2001Modelling S&P 100 volatility: The information content of stock returns In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article26
2011Hedging the black swan: Conditional heteroskedasticity and tail dependence in S&P500 and VIX In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article20
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: The Review of Financial Studies.
[Full Text][Citation analysis]		article273
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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