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Ser-Huang Poon

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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 the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

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

Manchester Business School
Homepage: http://www.mbs.ac.uk/
Location: Manchester, United Kingdom

Works

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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.

Articles

  1. 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.
  2. Ser-Huang Poon, 2004. "Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications," Review of Financial Studies, Society for Financial Studies, vol. 17(2), pages 581-610.
  3. 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.
  4. Bevan Blair & Ser-Huang Poon & Stephen Taylor, 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 319-329.
  5. 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.
  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.
  7. 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.
  8. 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.
  9. 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, Wiley Blackwell, vol. 27(7&8), pages 859-885.
  10. 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.
  11. 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.

Books

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

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