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Manchester Business Schoolhttp://www.mbs.ac.uk/
Manchester, United Kingdom
Research outputJump to: Working papers Articles Chapters Books
- Anton Golub & John Keane & Ser-Huang Poon, 2012. "High Frequency Trading and Mini Flash Crashes," Papers 1211.6667, arXiv.org.
- POON, Ser-Huang & ROCKINGER, Michael & TAWN, Jonathan, 2001.
"New Extreme-Value Dependance Measures and Finance Applications,"
Les Cahiers de Recherche
719, HEC Paris.
- Poon, Ser-Huang & Rockinger, Michael & Tawn, Jonathan, 2001. "New Extreme-Value Dependence Measures and Finance Applications," CEPR Discussion Papers 2762, C.E.P.R. Discussion Papers.
- Ser-Huang Poon & Michael Rockinger & J. Tawn, 2001. "New Extreme-Value Dependance Measures and Finance Applications," Working Papers hal-00597018, HAL.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Ke Chen & Ser-Huang Poon, 2013. "Derivatives pricing with affine models and numerical implementation," Chapters,in: Handbook of Research Methods and Applications in Empirical Finance, chapter 6, pages 148-168 Edward Elgar Publishing.
- Yongwoong Lee & Ser-Huang Poon, 2013. "Markov Chain Monte Carlo with particle filtering," Chapters,in: Handbook of Research Methods and Applications in Empirical Finance, chapter 7, pages 169-194 Edward Elgar Publishing.
- Poon, Ser-Huang, 2005. "Asset Pricing in Discrete Time: A Complete Markets Approach," OUP Catalogue, Oxford University Press, number 9780199271443.
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