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Ser-Huang Poon

Personal Details

First Name:Ser-Huang
Middle Name:
Last Name:Poon
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RePEc Short-ID:ppo127
[This author has chosen not to make the email address public]
https://research.manchester.ac.uk/en/persons/ser-huang.poon/

Affiliation

Alliance Manchester Business School
University of Manchester

Manchester, United Kingdom
http://www.mbs.ac.uk/
RePEc:edi:bsmanuk (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters Books

Working papers

  1. Eghbal Rahimikia & Stefan Zohren & Ser-Huang Poon, 2021. "Realised Volatility Forecasting: Machine Learning via Financial Word Embedding," Papers 2108.00480, arXiv.org, revised Aug 2026.
  2. Anton Golub & John Keane & Ser-Huang Poon, 2012. "High Frequency Trading and Mini Flash Crashes," Papers 1211.6667, arXiv.org.
  3. Rockinger, Michael & Poon, Ser-Huang & Tawn, Jonathan, 2001. "New Extreme-Value Dependence Measures and Finance Applications," CEPR Discussion Papers 2762, Centre for Economic Policy Research.

Articles

  1. Rahimikia, Eghbal & Poon, Ser-Huang, 2026. "Machine learning for realised volatility forecasting," Journal of Empirical Finance, Elsevier, vol. 88(C).
  2. Christopher Godfrey & Andreas G. F. Hoepner & Ming-Tsung Lin & Ser-Huang Poon, 2024. "Women on boards and corporate social irresponsibility: evidence from a Granger style reverse causality minimisation procedure," The European Journal of Finance, Taylor & Francis Journals, vol. 30(1), pages 1-27, January.
  3. Hayakawa, Ko & Otsubo, Yoichi & Poon, Ser-huang & Wei, Siliang, 2024. "Vocabulary Herfindahl Index (VocaHIn): Linguistic dominance and collective effervescence in WallStreetBets," Economics Letters, Elsevier, vol. 244(C).
  4. Kevin Aretz & Ming-Tsung Lin & Ser-Huang Poon, 2023. "Moneyness, Underlying Asset Volatility, and the Cross-Section of Option Returns," Review of Finance, European Finance Association, vol. 27(1), pages 289-323.
  5. Chan, Ka Kei & Kolokolova, Olga & Lin, Ming-Tsung & Poon, Ser-Huang, 2023. "Price convergence between credit default swap and put option: New evidence," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 188-213.
  6. 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.
  7. Ming-Tsung Lin & Olga Kolokolova & Ser-Huang Poon, 2021. "Slow- and fast-moving information content of CDS spreads: new endogenous systematic factors," The European Journal of Finance, Taylor & Francis Journals, vol. 27(1-2), pages 136-157, January.
  8. Anton Golub & Lidan Grossmass & Ser-Huang Poon, 2021. "Ultra-short tenor yield curve for intraday trading and settlement," The European Journal of Finance, Taylor & Francis Journals, vol. 27(4-5), pages 441-459, March.
  9. Kolokolova, Olga & Lin, Ming-Tsung & Poon, Ser-Huang, 2020. "Too big to ignore? Hedge fund flows and bond yields," Journal of Banking & Finance, Elsevier, vol. 112(C).
  10. Irina Goloshchapova & Ser-Huang Poon & Matthew Pritchard & Phil Reed, 2019. "Corporate social responsibility reports: topic analysis and big data approach," The European Journal of Finance, Taylor & Francis Journals, vol. 25(17), pages 1637-1654, November.
  11. Olga Kolokolova & Ming-Tsung Lin & Ser-Huang Poon, 2019. "Rating-based CDS curves," The European Journal of Finance, Taylor & Francis Journals, vol. 25(7), pages 689-723, May.
  12. Chen, Ke & Vitiello, Luiz & Hyde, Stuart & Poon, Ser-Huang, 2018. "The reality of stock market jumps diversification," Journal of International Money and Finance, Elsevier, vol. 86(C), pages 171-188.
  13. Przemysław S. Stilger & Alexandros Kostakis & Ser-Huang Poon, 2017. "What Does Risk-Neutral Skewness Tell Us About Future Stock Returns?," Management Science, INFORMS, vol. 63(6), pages 1814-1834, June.
  14. 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.
  15. Yongwoong Lee & Ser-Huang Poon, 2015. "Loan Portfolio Loss Models With More Flexible Asymmetry and Tails for Korean Banks and a Comparison of Their Regional Concentrations," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 51(S3), pages 118-139, May.
  16. 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.
  17. Luiz Vitiello & Ser-Huang Poon, 2014. "Non-monotonic pricing kernel and an extended class of mixture of distributions for option pricing," Review of Derivatives Research, Springer, vol. 17(2), pages 241-259, July.
  18. Jenny Bai & Heikki Seppälä & Ser-Huang Poon, 2014. "Fast Approximation of Loan Portfolio Loss," Global Credit Review (GCR), World Scientific Publishing Co. Pte. Ltd., vol. 4(01), pages 67-85.
  19. 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.
  20. 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.
  21. 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.
  22. 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.
  23. 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.
  24. Ser-Huang Poon & Clive Granger, 2005. "Practical Issues in Forecasting Volatility," Financial Analysts Journal, Taylor & Francis Journals, vol. 61(1), pages 45-56, January.
  25. 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.
  26. 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.
  27. 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 & Francis Journals, vol. 12(5), pages 319-329.
  28. 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.
  29. 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.
  30. 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.
  31. 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.
  32. 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.
  33. 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.

Chapters

  1. Ser-Huang Poon, 2018. "Risk Measures," World Scientific Book Chapters, in: Advanced Finance Theories, chapter 3, pages 19-38, World Scientific Publishing Co. Pte. Ltd..
  2. Ser-Huang Poon, 2018. "Consumption and Portfolio Selection," World Scientific Book Chapters, in: Advanced Finance Theories, chapter 4, pages 39-63, World Scientific Publishing Co. Pte. Ltd..
  3. Ser-Huang Poon, 2018. "Pricing Kernel and Stochastic Discount Factor," World Scientific Book Chapters, in: Advanced Finance Theories, chapter 2, pages 5-17, World Scientific Publishing Co. Pte. Ltd..
  4. Ser-Huang Poon, 2018. "Utility Theory," World Scientific Book Chapters, in: Advanced Finance Theories, chapter 1, pages 1-4, World Scientific Publishing Co. Pte. Ltd..
  5. Ke Chen & Ser-Huang Poon, 2013. "Derivatives pricing with affine models and numerical implementation," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 6, pages 148-168, Edward Elgar Publishing.
  6. Yongwoong Lee & Ser-Huang Poon, 2013. "Markov Chain Monte Carlo with particle filtering," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 7, pages 169-194, Edward Elgar Publishing.
  7. Namwon Hyung & Ser-Huang Poon & Clive W.J. Granger, 2008. "Chapter 9 A Source of Long Memory in Volatility," Frontiers of Economics and Globalization, in: Forecasting in the Presence of Structural Breaks and Model Uncertainty, pages 329-380, Emerald Group Publishing Limited.

Books

  1. Ser-Huang Poon, 2018. "Advanced Finance Theories," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8759, May.
  2. Eric Jondeau & Ser-Huang Poon & Michael Rockinger, 2007. "Financial Modeling Under Non-Gaussian Distributions," Springer Finance, Springer, number 978-1-84628-696-4, October.
  3. Poon, Ser-Huang, 2005. "Asset Pricing in Discrete Time: A Complete Markets Approach," OUP Catalogue, Oxford University Press, number 9780199271443.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Rankings

This author is among the top 5% authors according to these criteria:
  1. Number of Citations
  2. Number of Citations, Weighted by Number of Authors
  3. Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
  4. Number of Citations, Weighted by Number of Authors and Simple Impact Factors
  5. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
  6. Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors
  7. Euclidian citation score

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 2 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-MST: Market Microstructure (2) 2012-12-10 2021-08-16
  2. NEP-BIG: Big Data (1) 2021-08-16
  3. NEP-CMP: Computational Economics (1) 2021-08-16
  4. NEP-FMK: Financial Markets (1) 2021-08-16
  5. NEP-FOR: Forecasting (1) 2021-08-16
  6. NEP-ISF: Islamic Finance (1) 2021-08-16
  7. NEP-RMG: Risk Management (1) 2021-08-16

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