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Ser-Huang Poon

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Ser-Huang Poon & Clive W.J. Granger, 2003. "Forecasting Volatility in Financial Markets: A Review," Journal of Economic Literature, American Economic Association, vol. 41(2), pages 478-539, June.

    Mentioned in:

    1. Volatility
      by Clive Jones in Business Forecasting on 2013-04-01 22:17:43

RePEc Biblio mentions

As found on the RePEc Biblio, the curated bibliography of Economics:
  1. Ser-Huang Poon & Clive W.J. Granger, 2003. "Forecasting Volatility in Financial Markets: A Review," Journal of Economic Literature, American Economic Association, vol. 41(2), pages 478-539, June.

    Mentioned in:

    1. > Econometrics > Forecasting

Working papers

  1. Anton Golub & John Keane & Ser-Huang Poon, 2012. "High Frequency Trading and Mini Flash Crashes," Papers 1211.6667, arXiv.org.

    Cited by:

    1. Giorgio Fagiolo & Sandrine Jacob Leal & Mauro Napoletano & Andrea Roventini, 2015. "Rock around the Clock: An Agent-Based Model of Low- and High-Frequency Trading," Post-Print hal-03411703, HAL.
    2. Bastian von Beschwitz & Donald B Keim & Massimo Massa, 2020. "First to “Read” the News: News Analytics and Algorithmic Trading," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 10(1), pages 122-178.
    3. Xing Gao & Daniel Ladley, 2022. "Noise trading and market stability," The European Journal of Finance, Taylor & Francis Journals, vol. 28(13-15), pages 1283-1301, October.
    4. Marjolein E. Verhulst & Philippe Debie & Stephan Hageboeck & Joost M. E. Pennings & Cornelis Gardebroek & Axel Naumann & Paul van Leeuwen & Andres A. Trujillo-Barrera & Lorenzo Moneta, 2021. "When Two Worlds Collide: Using Particle Physics Tools to Visualize the Limit Order Book," Papers 2109.04812, arXiv.org.
    5. Gianluca Piero Maria Virgilio, 2019. "High-frequency trading: a literature review," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 33(2), pages 183-208, June.
    6. Mark Paddrik & Roy Hayes & William Scherer & Peter Beling, 2014. "Effects of Limit Order Book Information Level on Market Stability Metrics," Working Papers 14-09, Office of Financial Research, US Department of the Treasury.
    7. Sandrine Jacob Leal & Mauro Napoletano, 2016. "Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent-Based Model with Low- and High-Frequency Trading," Post-Print hal-01512779, HAL.
    8. Christensen, Kim & Oomen, Roel & Renò, Roberto, 2022. "The drift burst hypothesis," Journal of Econometrics, Elsevier, vol. 227(2), pages 461-497.
    9. Helder Rojas & Artem Logachov & Anatoly Yambartsev, 2023. "Order Book Dynamics with Liquidity Fluctuations: Asymptotic Analysis of Highly Competitive Regime," Mathematics, MDPI, vol. 11(20), pages 1-24, October.
    10. Donald B. Keim & Massimo Massa & Bastian von Beschwitz, 2018. "First to \"Read\" the News: New Analytics and Algorithmic Trading," International Finance Discussion Papers 1233, Board of Governors of the Federal Reserve System (U.S.).
    11. Sandra Ferreruela & Daniel Martín, 2022. "Market Quality and Short-Selling Ban during the COVID-19 Pandemic: A High-Frequency Data Approach," JRFM, MDPI, vol. 15(7), pages 1-29, July.
    12. Diamond, Stephen F. & Kuan, Jennifer W., 2018. "Are the stock markets “rigged”? An empirical analysis of regulatory change," International Review of Law and Economics, Elsevier, vol. 55(C), pages 33-40.
    13. Pelizzon, Loriana & Sagade, Satchit & Vozian, Katia, 2020. "Resiliency: Cross-venue dynamics with Hawkes processes," SAFE Working Paper Series 291, Leibniz Institute for Financial Research SAFE.
    14. Laly, Floris & Petitjean, Mikael, 2021. "Mini flash crashes: Review, taxonomy and policy responses," LIDAM Reprints LFIN 2021017, Université catholique de Louvain, Louvain Finance (LFIN).
    15. Francesco Cordoni & Fabrizio Lillo, 2020. "Instabilities in Multi-Asset and Multi-Agent Market Impact Games," Papers 2004.03546, arXiv.org, revised Nov 2021.
    16. Simon Gluzman, 2023. "Market Crashes and Time-Translation Invariance," FinTech, MDPI, vol. 2(2), pages 1-27, March.
    17. AlShelahi, Abdullah & Saigal, Romesh, 2018. "Insights into the macroscopic behavior of equity markets: Theory and application," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 778-793.
    18. Schneider, Michael & Lillo, Fabrizio & Pelizzon, Loriana, 2016. "How has sovereign bond market liquidity changed? An illiquidity spillover analysis," SAFE Working Paper Series 151, Leibniz Institute for Financial Research SAFE.
    19. Virgilio, Gianluca Piero Maria, 2020. "When spread bites fast – Volatility and wide bid-ask spread in a mixed high-frequency and low-frequency environment," Research in International Business and Finance, Elsevier, vol. 51(C).
    20. Kim Christensen & Roel Oomen & Roberto Renò, 2018. "The drift burst hypothesis," CREATES Research Papers 2018-21, Department of Economics and Business Economics, Aarhus University.
    21. Tobias Braun & Jonas A Fiegen & Daniel C Wagner & Sebastian M Krause & Thomas Guhr, 2018. "Impact and recovery process of mini flash crashes: An empirical study," PLOS ONE, Public Library of Science, vol. 13(5), pages 1-11, May.
    22. Gonçalves, Jorge & Kräussl, Roman & Levin, Vladimir, 2023. "Dark trading and financial markets stability," CFS Working Paper Series 691, Center for Financial Studies (CFS).
    23. Steffen, Viktoria, 2023. "A literature review on extreme price movements with reversal," Journal of Behavioral and Experimental Finance, Elsevier, vol. 38(C).
    24. Thiago W. Alves & Ionuţ Florescu & Dragoş Bozdog, 2023. "Insights on the Statistics and Market Behavior of Frequent Batch Auctions," Mathematics, MDPI, vol. 11(5), pages 1-26, March.
    25. Paulin, James & Calinescu, Anisoara & Wooldridge, Michael, 2019. "Understanding flash crash contagion and systemic risk: A micro–macro agent-based approach," Journal of Economic Dynamics and Control, Elsevier, vol. 100(C), pages 200-229.
    26. Jain, Pawan & Upadhyay, Arun, 2021. "Are REITs more resilient than non-REITs? Evidence from natural experiments," Japan and the World Economy, Elsevier, vol. 58(C).
    27. Sánchez Serrano Antonio, 2020. "High-Frequency Trading and Systemic Risk: A Structured Review of Findings and Policies," Review of Economics, De Gruyter, vol. 71(3), pages 169-195, December.
    28. Kang Gao & Perukrishnen Vytelingum & Stephen Weston & Wayne Luk & Ce Guo, 2022. "High-frequency financial market simulation and flash crash scenarios analysis: an agent-based modelling approach," Papers 2208.13654, arXiv.org.
    29. James Paulin & Anisoara Calinescu & Michael Wooldridge, 2018. "Understanding Flash Crash Contagion and Systemic Risk: A Micro-Macro Agent-Based Approach," Papers 1805.08454, arXiv.org.
    30. Banerjee, Anirban & Nawn, Samarpan, 2024. "Proprietary algorithmic traders and liquidity supply during the pandemic," Finance Research Letters, Elsevier, vol. 61(C).
    31. Tobias Braun & Jonas A. Fiegen & Daniel C. Wagner & Sebastian M. Krause & Thomas Guhr, 2017. "Impact and Recovery Process of Mini Flash Crashes: An Empirical Study," Papers 1707.05580, arXiv.org.
    32. Daniel Eisenberg & Thomas Seager & David L. Alderson, 2019. "Rethinking Resilience Analytics," Risk Analysis, John Wiley & Sons, vol. 39(9), pages 1870-1884, September.
    33. Zachary S Levine & Scott A Hale & Luciano Floridi, 2017. "The October 2014 United States Treasury bond flash crash and the contributory effect of mini flash crashes," PLOS ONE, Public Library of Science, vol. 12(11), pages 1-14, November.
    34. Erhan Bayraktar & Alexander Munk, 2017. "Mini-Flash Crashes, Model Risk, and Optimal Execution," Papers 1705.09827, arXiv.org, revised Aug 2018.
    35. Gonçalves, Jorge & Kräussl, Roman & Levin, Vladimir, 2019. "Do "speed bumps" prevent accidents in financial markets?," CFS Working Paper Series 636, Center for Financial Studies (CFS).
    36. Lucio Maria Calcagnile & Giacomo Bormetti & Michele Treccani & Stefano Marmi & Fabrizio Lillo, 2015. "Collective synchronization and high frequency systemic instabilities in financial markets," Papers 1505.00704, arXiv.org.

  2. Rockinger, Michael & Poon, Ser-Huang & Tawn, Jonathan, 2001. "New Extreme-Value Dependence Measures and Finance Applications," CEPR Discussion Papers 2762, C.E.P.R. Discussion Papers.

    Cited by:

    1. Viviana Fernández, 2003. "Extreme Value Theory: Value at Risk and Returns Dependence Around the World," Documentos de Trabajo 161, Centro de Economía Aplicada, Universidad de Chile.
    2. Geluk, J.L. & de Vries, C.G., 2004. "Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities," Econometric Institute Research Papers EI 2004-47, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    3. Viviana Fernandez, 2004. "Extremal Dependence In Exchange Rate Markets," Econometric Society 2004 Latin American Meetings 13, Econometric Society.
    4. de Vries, Casper & Hartmann, Philipp & Straetmans, Stefan, 2004. "Fundamentals and Joint Currency Crises," CEPR Discussion Papers 4338, C.E.P.R. Discussion Papers.
    5. Jonathan B. Hill, 2004. "Gaussian Tests of "Extremal White Noise" for Dependent, Heterogeneous, Heavy Tailed Time Series with an Application," Econometrics 0411014, University Library of Munich, Germany, revised 04 Nov 2005.
    6. Fukuhara, Masahiro & Saruwatari, Yasufumi, 2003. "An Analysis of Contagion in Emerging Currency Markets Using Multivariate Extreme Value Theory," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 21(2), pages 113-131, August.
    7. David Laibson & Andrea Repetto & Jeremy Tobacman, 2003. "Wealth Accumulation, Credit Card Borrowing, and Consuption-Income Comovement," Documentos de Trabajo 166, Centro de Economía Aplicada, Universidad de Chile.
    8. K. Minderhoud, 2006. "Systemic Risk in the Dutch Financial Sector," De Economist, Springer, vol. 154(2), pages 177-195, June.

Articles

  1. Batiz-Zuk, Enrique & Christodoulakis, George & Poon, Ser-Huang, 2015. "Credit contagion in the presence of non-normal shocks," International Review of Financial Analysis, Elsevier, vol. 37(C), pages 129-139.

    Cited by:

    1. Batten, Jonathan A. & Lucey, Brian M. & Peat, Maurice, 2016. "Gold and silver manipulation: What can be empirically verified?," Economic Modelling, Elsevier, vol. 56(C), pages 168-176.

  2. Grossmass Lidan & Poon Ser-Huang, 2015. "Estimating dynamic copula dependence using intraday data," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(4), pages 501-529, September.

    Cited by:

    1. Arnab Chakrabarti & Rituparna Sen, 2019. "Copula estimation for nonsynchronous financial data," Papers 1904.10182, arXiv.org, revised Sep 2020.
    2. Tobias Eckernkemper & Bastian Gribisch, 2021. "Intraday conditional value at risk: A periodic mixed‐frequency generalized autoregressive score approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(5), pages 883-910, August.
    3. Jiang, Cuixia & Ding, Xiaoyi & Xu, Qifa & Tong, Yongbo, 2020. "A TVM-Copula-MIDAS-GARCH model with applications to VaR-based portfolio selection," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).

  3. Lee, Yongwoong & Poon, Ser-Huang, 2014. "Forecasting and decomposition of portfolio credit risk using macroeconomic and frailty factors," Journal of Economic Dynamics and Control, Elsevier, vol. 41(C), pages 69-92.

    Cited by:

    1. Ferrer, Alex & Casals, José & Sotoca, Sonia, 2015. "Sample dependency during unconditional credit capital estimation," Finance Research Letters, Elsevier, vol. 15(C), pages 175-186.
    2. Lee, Yongwoong & Yang, Kisung, 2019. "Modeling diversification and spillovers of loan portfolios' losses by LHP approximation and copula," International Review of Financial Analysis, Elsevier, vol. 66(C).
    3. Ferrer, Alex & Casals, José & Sotoca, Sonia, 2015. "Capital cyclicality, conditional coverage and long-term capital assessment," Finance Research Letters, Elsevier, vol. 15(C), pages 246-256.
    4. Betz, Jennifer & Krüger, Steffen & Kellner, Ralf & Rösch, Daniel, 2020. "Macroeconomic effects and frailties in the resolution of non-performing loans," Journal of Banking & Finance, Elsevier, vol. 112(C).
    5. Azizpour, S & Giesecke, K. & Schwenkler, G., 2018. "Exploring the sources of default clustering," Journal of Financial Economics, Elsevier, vol. 129(1), pages 154-183.
    6. Alejandro Ferrer Pérez & José Casals Carro & Sonia Sotoca López, 2014. "A new approach to the unconditional measurement of default risk," Documentos de Trabajo del ICAE 2014-11, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    7. Lee, Yongwoong & Rösch, Daniel & Scheule, Harald, 2016. "Accuracy of mortgage portfolio risk forecasts during financial crises," European Journal of Operational Research, Elsevier, vol. 249(2), pages 440-456.
    8. Jaehoon Hahn & Ho-Seong Moon, 2016. "Credit Cycle and the Macroeconomy: Empirical Evidence from Korea," Economic Analysis (Quarterly), Economic Research Institute, Bank of Korea, vol. 22(4), pages 76-108, December.

  4. Poon, Ser-Huang & Rockinger, Michael & Stathopoulos, Konstantinos, 2013. "Market liquidity and institutional trading during the 2007–8 financial crisis," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 86-97.

    Cited by:

    1. Dang, Tung Lam & Moshirian, Fariborz & Zhang, Bohui, 2019. "Liquidity shocks and institutional investors," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 184-209.
    2. Majd Iskandrani & Asma'a Al-Amarneh, 2017. "The Effect of Ownership Composition on Stock's Liquidity: Evidence from Weak Corporate Governance Setting," International Journal of Economics and Financial Issues, Econjournals, vol. 7(3), pages 676-683.
    3. Emilios C. Galariotis & Styliani-Iris Krokida & Spyros I. Spyrou, 2016. "Herd behavior and equity market liquidity: Evidence from major markets," Post-Print hal-01418021, HAL.
    4. Smimou, K., 2014. "Consumer attitudes, stock market liquidity, and the macro economy: A Canadian perspective," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 186-209.
    5. Baker, H. Kent & Kumar, Satish & Goyal, Kirti & Sharma, Anuj, 2021. "International review of financial analysis: A retrospective evaluation between 1992 and 2020," International Review of Financial Analysis, Elsevier, vol. 78(C).
    6. Mu-Shun Wang, 2022. "Shareholder Disputes and Commonality in Liquidity: Evidence from the Equity Markets in China," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 29(2), pages 291-325, June.

  5. Chen, Yu-Wang & Poon, Ser-Huang & Yang, Jian-Bo & Xu, Dong-Ling & Zhang, Dongxu & Acomb, Simon, 2012. "Belief rule-based system for portfolio optimisation with nonlinear cash-flows and constraints," European Journal of Operational Research, Elsevier, vol. 223(3), pages 775-784.

    Cited by:

    1. Hua Zhu & Jianbin Zhao & Yang Xu & Limin Du, 2016. "Interval-Valued Belief Rule Inference Methodology Based on Evidential Reasoning-IRIMER," International Journal of Information Technology & Decision Making (IJITDM), World Scientific Publishing Co. Pte. Ltd., vol. 15(06), pages 1345-1366, November.
    2. Vera Ivanyuk, 2022. "Proposed Model of a Dynamic Investment Portfolio with an Adaptive Strategy," Mathematics, MDPI, vol. 10(23), pages 1-19, November.

  6. Hilal, Sawsan & Poon, Ser-Huang & Tawn, Jonathan, 2011. "Hedging the black swan: Conditional heteroskedasticity and tail dependence in S&P500 and VIX," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2374-2387, September.

    Cited by:

    1. Rhee, S. Ghon & Wu, Feng (Harry), 2020. "Conditional extreme risk, black swan hedging, and asset prices," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 412-435.
    2. Chiu, Junmao & Lien, Donald & Tsai, Wei-Che, 2023. "Global financial crisis, funding constraints, and liquidity of VIX futures," Pacific-Basin Finance Journal, Elsevier, vol. 80(C).
    3. Keef, Caroline & Papastathopoulos, Ioannis & Tawn, Jonathan A., 2013. "Estimation of the conditional distribution of a multivariate variable given that one of its components is large: Additional constraints for the Heffernan and Tawn model," Journal of Multivariate Analysis, Elsevier, vol. 115(C), pages 396-404.
    4. Stan Tendijck & Philip Jonathan & David Randell & Jonathan Tawn, 2024. "Temporal evolution of the extreme excursions of multivariate k$$ k $$th order Markov processes with application to oceanographic data," Environmetrics, John Wiley & Sons, Ltd., vol. 35(3), May.
    5. Herrera, R. & Clements, A.E., 2018. "Point process models for extreme returns: Harnessing implied volatility," Journal of Banking & Finance, Elsevier, vol. 88(C), pages 161-175.
    6. Chiang, Shu Ling & Tsai, Ming Shann, 2023. "Analyses for the effects of investor sentiment on the price adjustment behaviors for stock market and REIT market," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 425-439.
    7. Li, Feng & Kang, Yanfei, 2018. "Improving forecasting performance using covariate-dependent copula models," International Journal of Forecasting, Elsevier, vol. 34(3), pages 456-476.
    8. Papastathopoulos, Ioannis & Tawn, Jonathan A., 2016. "Conditioned limit laws for inverted max-stable processes," Journal of Multivariate Analysis, Elsevier, vol. 150(C), pages 214-228.
    9. Goodell, John W. & Vähämaa, Sami, 2013. "US presidential elections and implied volatility: The role of political uncertainty," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 1108-1117.
    10. Jun CHENG & Meriton IBRAIMI & Markus LEIPPOLD & Jin E. ZHANG, 2011. "A remark on Lin and Chang’s paper ‘Consistent modeling of S&P 500 and VIX derivatives," Swiss Finance Institute Research Paper Series 11-54, Swiss Finance Institute.
    11. Fang, Libing & Yu, Honghai & Huang, Yingbo, 2018. "The role of investor sentiment in the long-term correlation between U.S. stock and bond markets," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 127-139.
    12. José Afonso Faias & Juan Arismendi Zambrano, 2022. "Equity Risk Premium Predictability from Cross-Sectoral Downturns [International asset allocation with regime shifts]," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 12(3), pages 808-842.
    13. Yarovaya, Larisa & Brzeszczyński, Janusz & Goodell, John W. & Lucey, Brian & Lau, Chi Keung Marco, 2022. "Rethinking financial contagion: Information transmission mechanism during the COVID-19 pandemic," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
    14. Herrera, R. & Eichler, S., 2011. "Extreme dependence with asymmetric thresholds: Evidence for the European Monetary Union," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 2916-2930, November.
    15. Bangsgaard, Christine & Kokholm, Thomas, 2024. "The lead–lag relation between VIX futures and SPX futures," Journal of Financial Markets, Elsevier, vol. 67(C).
    16. Liu, Y. & Tawn, J.A., 2014. "Self-consistent estimation of conditional multivariate extreme value distributions," Journal of Multivariate Analysis, Elsevier, vol. 127(C), pages 19-35.
    17. Donald Lien & Keshab Shrestha & Jing Wu, 2016. "Quantile Estimation of Optimal Hedge Ratio," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(2), pages 194-214, February.
    18. Xingzhi Yao & Marwan Izzeldin, 2018. "Forecasting using alternative measures of model‐free option‐implied volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(2), pages 199-218, February.
    19. Gonzalez-Perez, Maria T., 2015. "Model-free volatility indexes in the financial literature: A review," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 141-159.
    20. Thomas Santoli & Christoph Siebenbrunner, 2018. "An ontological investigation of unimaginable events," Papers 1803.02570, arXiv.org, revised Jun 2018.

  7. Luiz Vitiello & Ser‐Huang Poon, 2010. "General equilibrium and preference free model for pricing options under transformed gamma distribution," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 30(5), pages 409-431, May.

    Cited by:

    1. Chang, Chuang-Chang & Tsay, Min-Hung & Lin, Jun-Biao, 2018. "A generalized Brennan–Rubinstein approach for valuing options with stochastic interest rates," The Quarterly Review of Economics and Finance, Elsevier, vol. 67(C), pages 92-99.
    2. Luiz Vitiello & Ser-Huang Poon, 2022. "Option pricing with random risk aversion," Review of Quantitative Finance and Accounting, Springer, vol. 58(4), pages 1665-1684, May.
    3. Raj Kumari Bahl & Sotirios Sabanis, 2016. "Model-Independent Price Bounds for Catastrophic Mortality Bonds," Papers 1607.07108, arXiv.org, revised Dec 2020.
    4. Bahl, Raj Kumari & Sabanis, Sotirios, 2021. "Model-independent price bounds for Catastrophic Mortality Bonds," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 276-291.
    5. Luiz Vitiello & Ivonia Rebelo, 2015. "A note on the pricing of multivariate contingent claims under a transformed-gamma distribution," Review of Derivatives Research, Springer, vol. 18(3), pages 291-300, October.

  8. Ser-Huang Poon, 2004. "Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications," The Review of Financial Studies, Society for Financial Studies, vol. 17(2), pages 581-610.

    Cited by:

    1. Hussain, Saiful Izzuan & Li, Steven, 2015. "Modeling the distribution of extreme returns in the Chinese stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 263-276.
    2. Yiguo Sun & Ximing Wu, 2018. "Leverage and Volatility Feedback Effects and Conditional Dependence Index: A Nonparametric Study," JRFM, MDPI, vol. 11(2), pages 1-20, June.
    3. Cai, J., 2012. "Estimation concerning risk under extreme value conditions," Other publications TiSEM a92b089f-bc4c-41c2-b297-c, Tilburg University, School of Economics and Management.
    4. Weidong Tian & Azamat Abdymomunov & Ibrahim Ergen, 2017. "Tail Dependence and Systemic Risk in Operational Losses of the US Banking Industry," International Review of Finance, International Review of Finance Ltd., vol. 17(2), pages 177-204, June.
    5. Fernandez, Viviana, 2008. "Copula-based measures of dependence structure in assets returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(14), pages 3615-3628.
    6. Sehgal, Sanjay & Pandey, Piyush & Diesting, Florent, 2017. "Examining dynamic currency linkages amongst South Asian economies: An empirical study," Research in International Business and Finance, Elsevier, vol. 42(C), pages 173-190.
    7. Jinan Liu & Apostolos Serletis, 2023. "Volatility and dependence in energy markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 47(1), pages 15-37, March.
    8. Chen Zhou, 2010. "Are Banks Too Big to Fail? Measuring Systemic Importance of Financial Institutions," International Journal of Central Banking, International Journal of Central Banking, vol. 6(34), pages 205-250, December.
    9. Cerrato, Mario & Crosby, John & Kim, Minjoo & Zhao, Yang, 2014. "Modeling Dependence Structure and Forecasting Portfolio Value-at-Risk with Dynamic Copulas," SIRE Discussion Papers 2015-25, Scottish Institute for Research in Economics (SIRE).
    10. Ruenzi, Stefan & Ungeheuer, Michael & Weigert, Florian, 2020. "Joint extreme events in equity returns and liquidity and their cross-sectional pricing implications," CFR Working Papers 20-01, University of Cologne, Centre for Financial Research (CFR).
    11. Francine Gresnigt & Erik Kole & Philip Hans Franses, 2017. "Specification Testing in Hawkes Models," Journal of Financial Econometrics, Oxford University Press, vol. 15(1), pages 139-171.
    12. Antonio Cosma & antonio.cosma@uni.lu & Michel Beine & Robert Vermeulen, 2009. "The Dark Side of Global Integration: Increasing Tail Dependence," LSF Research Working Paper Series 09-05, Luxembourg School of Finance, University of Luxembourg.
    13. Straetmans, Stefan & Chaudhry, Sajid M., 2015. "Tail risk and systemic risk of US and Eurozone financial institutions in the wake of the global financial crisis," Journal of International Money and Finance, Elsevier, vol. 58(C), pages 191-223.
    14. Rhee, S. Ghon & Wu, Feng (Harry), 2020. "Conditional extreme risk, black swan hedging, and asset prices," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 412-435.
    15. Cathy Ning & Tony S. Wirjanto, 2008. "Extreme Return-Volume Dependence in East-Asian Stock Markets: A Copula Approach," Working Papers 08009, University of Waterloo, Department of Economics.
    16. Bormann, Carsten & Schienle, Melanie & Schaumburg, Julia, 2014. "Beyond dimension two: A test for higher-order tail risk," SFB 649 Discussion Papers 2014-042, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    17. Cai, Mei-Ling & Chen, Zhang-HangJian & Li, Sai-Ping & Xiong, Xiong & Zhang, Wei & Yang, Ming-Yuan & Ren, Fei, 2022. "New volatility evolution model after extreme events," Chaos, Solitons & Fractals, Elsevier, vol. 154(C).
    18. Redouane Elkamhia & Denitsa Stefanova, 2011. "Dynamic Correlation or Tail Dependence Hedging for Portfolio Selection," Tinbergen Institute Discussion Papers 11-028/2/DSF10, Tinbergen Institute.
    19. Peter Christoffersen & Vihang Errunza & Kris Jacobs & Hugues Langlois, 2012. "Is the Potential for International Diversi?cation Disappearing? A Dynamic Copula Approach," CREATES Research Papers 2012-48, Department of Economics and Business Economics, Aarhus University.
    20. Chollete, Lorán & de la Peña, Victor & Lu, Ching-Chih, 2012. "International diversification: An extreme value approach," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 871-885.
    21. Saiful Izzuan Hussain & Steven Li, 2018. "The dynamic dependence between stock markets in the greater China economic area: a study based on extreme values and copulas," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 32(2), pages 207-233, May.
    22. Deven Bathia & Christos Bouras & Riza Demirer & Rangan Gupta, 2019. "Cross-Border Capital Flows and Return Dynamics in Emerging Stock Markets: Relative Roles of Equity and Debt Flows," Working Papers 201937, University of Pretoria, Department of Economics.
    23. Viviana Fernandez, 2004. "Time-Scale Decomposition of Price Transmission in International Markets," Documentos de Trabajo 189, Centro de Economía Aplicada, Universidad de Chile.
    24. Balla, Eliana & Ergen, Ibrahim & Migueis, Marco, 2014. "Tail dependence and indicators of systemic risk for large US depositories," Journal of Financial Stability, Elsevier, vol. 15(C), pages 195-209.
    25. Ruenzi, Stefan & Ungeheuer, Michael & Weigert, Florian, 2013. "Extreme Downside Liquidity Risk," Working Papers on Finance 1326, University of St. Gallen, School of Finance, revised Jul 2015.
    26. Mohamed Fakhfekh & Ahmed Ghorbel & Nadhem Selmi & Nejib Hachicha, 2017. "Dependence between oil price volatility, Islamic and conventional Dow Jones indexes: Implication for portfolio management and hedging effectiveness," Journal of Asset Management, Palgrave Macmillan, vol. 18(1), pages 29-48, January.
    27. Cumperayot, Phornchanok & Keijzer, Tjeert & Kouwenberg, Roy, 2006. "Linkages between extreme stock market and currency returns," Journal of International Money and Finance, Elsevier, vol. 25(3), pages 528-550, April.
    28. Jian Zhou & Yanmin Gao, 2012. "Tail Dependence in International Real Estate Securities Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 45(1), pages 128-151, June.
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    2. Yiguo Sun & Ximing Wu, 2018. "Leverage and Volatility Feedback Effects and Conditional Dependence Index: A Nonparametric Study," JRFM, MDPI, vol. 11(2), pages 1-20, June.
    3. Jui-Cheng Hung & Ren-Xi Ni & Matthew C. Chang, 2009. "The Information Contents of VIX Index and Range-based Volatility on Volatility Forecasting Performance of S&P 500," Economics Bulletin, AccessEcon, vol. 29(4), pages 2592-2604.
    4. Viktor Todorov & Yang Zhang, 2022. "Information gains from using short‐dated options for measuring and forecasting volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(2), pages 368-391, March.
    5. Ralf Becker & Adam Clements, 2007. "Are combination forecasts of S&P 500 volatility statistically superior?," NCER Working Paper Series 17, National Centre for Econometric Research.
    6. Thakolsri, Supachok & Sethapramote, Yuthana & Jiranyakul, Komain, 2015. "Implied volatility transmissions between Thai and selected advanced stock markets," MPRA Paper 65901, University Library of Munich, Germany.
    7. Meng, Xiaochun & Taylor, James W., 2018. "An approximate long-memory range-based approach for value at risk estimation," International Journal of Forecasting, Elsevier, vol. 34(3), pages 377-388.
    8. McAleer, Michael & Wiphatthanananthakul, Chatayan, 2010. "A simple expected volatility (SEV) index: Application to SET50 index options," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 80(10), pages 2079-2090.
    9. Liu, Xiaoquan & Shackleton, Mark B. & Taylor, Stephen J. & Xu, Xinzhong, 2007. "Closed-form transformations from risk-neutral to real-world distributions," Journal of Banking & Finance, Elsevier, vol. 31(5), pages 1501-1520, May.
    10. Jayawardena, Nirodha I. & Todorova, Neda & Li, Bin & Su, Jen-Je, 2020. "Volatility forecasting using related markets’ information for the Tokyo stock exchange," Economic Modelling, Elsevier, vol. 90(C), pages 143-158.
    11. Benavides, Guillermo & Capistrán, Carlos, 2012. "Forecasting exchange rate volatility: The superior performance of conditional combinations of time series and option implied forecasts," Journal of Empirical Finance, Elsevier, vol. 19(5), pages 627-639.
    12. Hardik A. Marfatia & Qiang Ji & Jiawen Luo, 2022. "Forecasting the volatility of agricultural commodity futures: The role of co‐volatility and oil volatility," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(2), pages 383-404, March.
    13. Jui-Cheng Hung & Tien-Wei Lou & Yi-Hsien Wang & Jun-De Lee, 2013. "Evaluating and improving GARCH-based volatility forecasts with range-based estimators," Applied Economics, Taylor & Francis Journals, vol. 45(28), pages 4041-4049, October.
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    3. Chris Heaton & George Milunovich & Anthony Passé‐De Silva, 2011. "International Commodity Prices and the Australian Stock Market," The Economic Record, The Economic Society of Australia, vol. 87(276), pages 37-44, March.
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    20. Ahrend, Rudiger & Goujard, Antoine, 2014. "Are all forms of financial integration equally risky? Asset price contagion during the global financial crisis," Journal of Financial Stability, Elsevier, vol. 14(C), pages 35-53.
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    23. Julius Marcus Reis & Leonard Grebe & Dirk Schiereck & Kerstin Hennig, 2023. "Is There Still a Day-of-the-Week Effect in the Real Estate Sector?," Oblik i finansi, Institute of Accounting and Finance, issue 3, pages 84-97, September.
    24. Linton, O. B. & Tang, H. & Wu, J., 2022. "A Structural Dynamic Factor Model for Daily Global Stock Market Returns," Cambridge Working Papers in Economics 2237, Faculty of Economics, University of Cambridge.
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    28. Das, Debojyoti & Bhowmik, Puja & Jana, R.K., 2018. "A multiscale analysis of stock return co-movements and spillovers: Evidence from Pacific developed markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 502(C), pages 379-393.
    29. Martin Hoesli & Kustrim Reka, 2013. "Volatility Spillovers, Comovements and Contagion in Securitized Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 47(1), pages 1-35, July.
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    1. Peter Carr & Liuren Wu, 2004. "Variance Risk Premia," Finance 0409015, University Library of Munich, Germany.
    2. Awartani, Basel & Aktham, Maghyereh & Cherif, Guermat, 2016. "The connectedness between crude oil and financial markets: Evidence from implied volatility indices," Journal of Commodity Markets, Elsevier, vol. 4(1), pages 56-69.
    3. Marcelo Fernandes & Marcelo Cunha Medeiros & MArcelo Scharth, 2007. "Modeling and predicting the CBOE market volatility index," Textos para discussão 548, Department of Economics PUC-Rio (Brazil).
    4. Fassas, Athanasios P. & Siriopoulos, Costas, 2021. "Implied volatility indices – A review," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 303-329.
    5. Ralf Becker & Adam Clements & Robert O'Neill, 2010. "A Kernel Technique for Forecasting the Variance-Covariance Matrix," Centre for Growth and Business Cycle Research Discussion Paper Series 151, Economics, The University of Manchester.
    6. Psaradellis, Ioannis & Sermpinis, Georgios, 2016. "Modelling and trading the U.S. implied volatility indices. Evidence from the VIX, VXN and VXD indices," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1268-1283.
    7. Tsiotas, Georgios, 2012. "On generalised asymmetric stochastic volatility models," Computational Statistics & Data Analysis, Elsevier, vol. 56(1), pages 151-172, January.
    8. Jungmu Kim & Yuen Jung Park, 2020. "Predictability of OTC Option Volatility for Future Stock Volatility," Sustainability, MDPI, vol. 12(12), pages 1-23, June.
    9. Thi Le & Ariful Hoque, 2022. "Pricing European Currency Options with High-Frequency Data," Risks, MDPI, vol. 10(11), pages 1-15, November.
    10. Gaurav Raizada & Vartika Srivastava & S. V. D. Nageswara Rao, 2020. "Shall One Sit “Longer” for a Free Lunch? Impact of Trading Durations on the Realized Variances and Volatility Spillovers," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 18(1), pages 1-28, March.
    11. Mukhoti, Sujay, 2014. "Non-Stationary Stochastic Volatility Model for Dynamic Feedback and Skewness," MPRA Paper 62532, University Library of Munich, Germany.
    12. Blair, Bevan J. & Poon, Ser-Huang & Taylor, Stephen J., 2001. "Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns," Journal of Econometrics, Elsevier, vol. 105(1), pages 5-26, November.
    13. Maghyereh, Aktham I. & Awartani, Basel & Bouri, Elie, 2016. "The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes," Energy Economics, Elsevier, vol. 57(C), pages 78-93.
    14. Yaw‐Huei Wang & Kuang‐Chieh Yen, 2018. "The information content of option‐implied tail risk on the future returns of the underlying asset," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(4), pages 493-510, April.
    15. Gagan Sharma & Parthajit Kayal & Piyush Pandey, 2019. "Information Linkages Among BRICS Countries: Empirical Evidence from Implied Volatility Indices," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 18(3), pages 263-289, December.
    16. Joo, Young C. & Park, Sung Y., 2021. "The impact of oil price volatility on stock markets: Evidences from oil-importing countries," Energy Economics, Elsevier, vol. 101(C).
    17. Ramiah, Vikash & Xu, Xiaoming & Moosa, Imad A., 2015. "Neoclassical finance, behavioral finance and noise traders: A review and assessment of the literature," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 89-100.
    18. Luo, Jiawen & Demirer, Riza & Gupta, Rangan & Ji, Qiang, 2022. "Forecasting oil and gold volatilities with sentiment indicators under structural breaks," Energy Economics, Elsevier, vol. 105(C).
    19. Kanzari, Dalel & Nakhli, Mohamed Sahbi & Gaies, Brahim & Sahut, Jean-Michel, 2023. "Predicting macro-financial instability – How relevant is sentiment? Evidence from long short-term memory networks," Research in International Business and Finance, Elsevier, vol. 65(C).
    20. Maixé-Altés, J. Carles & Iglesias, Emma M., 2009. "Domestic monetary transfers and the inland bill of exchange markets in Spain (1775-1885)," Journal of International Money and Finance, Elsevier, vol. 28(3), pages 496-521, April.

  13. Ser‐Huang Poon & Peter, F. Pope, 2000. "Trading volatility spreads: a test of index option market efficiency," European Financial Management, European Financial Management Association, vol. 6(2), pages 235-260, June.

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    1. McAleer, Michael & Wiphatthanananthakul, Chatayan, 2010. "A simple expected volatility (SEV) index: Application to SET50 index options," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 80(10), pages 2079-2090.
    2. Biao Guo & Qian Han & Hai Lin, 2018. "Are there gains from using information over the surface of implied volatilities?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(6), pages 645-672, June.
    3. Konstantinidi, Eirini & Skiadopoulos, George, 2011. "Are VIX futures prices predictable? An empirical investigation," International Journal of Forecasting, Elsevier, vol. 27(2), pages 543-560, April.
    4. Wiphatthanananthakul, C. & McAleer, M.J., 2008. "A simple expected volatility (SEV) index," Econometric Institute Research Papers EI 2008-35, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    5. Ahoniemi, Katja & Lanne, Markku, 2009. "Joint modeling of call and put implied volatility," International Journal of Forecasting, Elsevier, vol. 25(2), pages 239-258.
    6. Konstantinidi, Eirini & Skiadopoulos, George & Tzagkaraki, Emilia, 2008. "Can the evolution of implied volatility be forecasted? Evidence from European and US implied volatility indices," Journal of Banking & Finance, Elsevier, vol. 32(11), pages 2401-2411, November.

  14. Ser‐Huang Poon, 1996. "Persistence and mean reversion in UK stock returns," European Financial Management, European Financial Management Association, vol. 2(2), pages 169-196, July.

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    1. Ghada Abbas, 2014. "Testing Random Walk Behavior in the Damascus Securities Exchange," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 4(4), pages 317-325, October.
    2. Yarovaya, Larisa & Matkovskyy, Roman & Jalan, Akanksha, 2022. "The COVID-19 black swan crisis: Reaction and recovery of various financial markets," Research in International Business and Finance, Elsevier, vol. 59(C).
    3. Boya, Christophe M., 2019. "From efficient markets to adaptive markets: Evidence from the French stock exchange," Research in International Business and Finance, Elsevier, vol. 49(C), pages 156-165.
    4. DePenya, Francisco J. & Gil-Alana, Luis A., 2007. "Serial correlation in the Spanish Stock Market," Global Finance Journal, Elsevier, vol. 18(1), pages 84-103.
    5. Estrada, Javier, 2000. "The temporal dimension of risk," The Quarterly Review of Economics and Finance, Elsevier, vol. 40(2), pages 189-204.
    6. Estrada, Javier, 1997. "Random walks and the temporal dimension of risk," DEE - Working Papers. Business Economics. WB 7040, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    7. Musarrat SHAMSHIR & Mirza Jawwad BAIG & Khalid MUSTAFA, 2018. "Evidence of random walk in Pakistan stock exchange: An emerging stock market study," Journal of Economics Library, KSP Journals, vol. 5(1), pages 103-117, March.

  15. Poon, Ser-Huang & Taylor, Stephen J., 1992. "Stock returns and volatility: An empirical study of the UK stock market," Journal of Banking & Finance, Elsevier, vol. 16(1), pages 37-59, February.

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    1. J. -H. Chen & C. -Y. Huang, 2010. "An analysis of the spillover effects of exchange-traded funds," Applied Economics, Taylor & Francis Journals, vol. 42(9), pages 1155-1168.
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    7. Assaf, Ata, 2006. "The stochastic volatility in mean model and automation: Evidence from TSE," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(2), pages 241-253, May.
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    12. Siem Jan Koopman & Borus Jungbacker & Eugenie Hol, 2004. "Forecasting Daily Variability of the S&P 100 Stock Index using Historical, Realised and Implied Volatility Measurements," Tinbergen Institute Discussion Papers 04-016/4, Tinbergen Institute.
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Chapters

    Sorry, no citations of chapters recorded.

Books

  1. Poon, Ser-Huang, 2005. "Asset Pricing in Discrete Time: A Complete Markets Approach," OUP Catalogue, Oxford University Press, number 9780199271443.

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    1. Reyno SEYMORE & Margaret MABUGU & Jan VAN HEERDEN, 2010. "Border Tax Adjustments to Negate the Economic Impact of an Electricity Generation Tax," EcoMod2010 259600155, EcoMod.
    2. Alexandre Ziegler, 2007. "Why Does Implied Risk Aversion Smile?," The Review of Financial Studies, Society for Financial Studies, vol. 20(3), pages 859-904.
    3. Andrei Semenov, 2017. "Background risk in consumption and the equity risk premium," Review of Quantitative Finance and Accounting, Springer, vol. 48(2), pages 407-439, February.
    4. Masayuki Ikeda, 2010. "Equilibrium preference free pricing of derivatives under the generalized beta distributions," Review of Derivatives Research, Springer, vol. 13(3), pages 297-332, October.
    5. Ali Bendob & Naima Bentouir, 2019. "Options Pricing by Monte Carlo Simulation, Binomial Tree and BMS Model: a comparative study of Nifty50 options index," Journal of Banking and Financial Economics, University of Warsaw, Faculty of Management, vol. 1(11), pages 79-95, January.
    6. Alexandre Ziegler, 2002. "Why does Implied Risk Aversion Smile?," FAME Research Paper Series rp47, International Center for Financial Asset Management and Engineering.
    7. Len, Angel & Vaello-Sebasti, Antoni, 2009. "American GARCH employee stock option valuation," Journal of Banking & Finance, Elsevier, vol. 33(6), pages 1129-1143, June.

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