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Information about:
Ser-Huang Poon

Personal Details | Affiliation | Works
This is information that was supplied by Ser-Huang Poon in registering through RePEc. If you are Ser-Huang Poon , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

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Personal Details

First Name: Ser-Huang
Middle Name:
Last Name: Poon
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RePEc Short-ID: ppo127

Email: [This author has chosen not to make the email address public]
Homepage: http://www.personal.mbs.ac.uk/ser-huang-poon/
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Affiliation

(in no particular order)

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. POON, Ser-Huang & ROCKINGER, Michael & TAWN, Jonathan, 2001. "New Extreme-Value Dependance Measures and Finance Applications," Les Cahiers de Recherche 719, HEC Paris. [Downloadable!]
    Other versions:

Articles

  1. Ser-Huang Poon, 2004. "Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 17(2), pages 581-610. [Downloadable!] (restricted)

  2. 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.

  3. Blair, Bevan & Poon, Ser-Huang & Taylor, Stephen J, 2002. "Asymmetric and Crash Effects in Stock Volatility for the S&P 100 Index and Its Constituents," Applied Financial Economics, Taylor and Francis Journals, vol. 12(5), pages 319-29, May. [Downloadable!] (restricted)

  4. 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. [Downloadable!] (restricted)

  5. Martens, Martin & Poon, Ser-Huang, 2001. "Returns synchronization and daily correlation dynamics between international stock markets," Journal of Banking & Finance, Elsevier, vol. 25(10), pages 1805-1827, October. [Downloadable!] (restricted)

  6. Blair, Bevan J. & Poon, Ser-Huang & Taylor, Stephen J., 2001. "Modelling S&P 100 volatility: The information content of stock returns," Journal of Banking & Finance, Elsevier, vol. 25(9), pages 1665-1679, September. [Downloadable!] (restricted)

  7. Ser-Huang Poon & Peter, F. Pope, 2000. "Trading volatility spreads: a test of index option market efficiency," European Financial Management, Blackwell Publishing Ltd, vol. 6(2), pages 235-260. [Downloadable!] (restricted)

  8. L. Copeland & S. H. Poon & R. C. Stapleton, 2000. "The Determinants of Implied Volatility: A Test Using LIFFE Option Prices," Journal of Business Finance & Accounting, Blackwell Publishing, vol. 27(7&8), pages 859-885. [Downloadable!] (restricted)

  9. Ser-Huang Poon, 1996. "Persistence and mean reversion in UK stock returns," European Financial Management, Blackwell Publishing Ltd, vol. 2(2), pages 169-196. [Downloadable!] (restricted)

  10. 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. [Downloadable!] (restricted)

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This page was last updated on 2009-11-30.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.