.
Poon, Ser-Huang's
Scholarly Papers
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Aggregate Statistics
Total 19,960
Total Citations 485
1.
Granger, Clive W. J. University of California, San Diego (UCSD) - Department of Economics
Poon, Ser-Huang University of Manchester - Business School
3,172(1,225)
156
Volatility, ARCH, Option Implied, High Frequency Data, Forecast Evaluation.
2.
Forecasting Volatility in Financial Markets: A Review (revised edition)
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Granger, Clive W. J. University of California, San Diego (UCSD) - Department of Economics
Poon, Ser-Huang University of Manchester - Business School
Posted:
04 Dec 02
Last Revised:
14 Sep 08
3,073(1,301)
157
Granger, Clive W. J. University of California, San Diego (UCSD) - Department of Economics
Poon, Ser-Huang University of Manchester - Business School
0
Volatility, ARCH, Option Implied, High Frequency Data, Forecast Evaluation
Granger, Clive W. J. University of California, San Diego (UCSD) - Department of Economics
Poon, Ser-Huang University of Manchester - Business School
3,073
157
Volatility, ARCH, Option Implied, High Frequency Data, Forecast Evaluation
3.
Khan, Aisha University of Manchester - Manchester Business School
Guan, Zhenke affiliation not provided to SSRN
Poon, Ser-Huang University of Manchester - Business School
1,681(3,819)
1
Asset-liability management, Hull-White, Black-Karasinski, Bermudan swaptions, 1-factor model
4.
Malaysia and the Asian Financial Crisis: A View from the Finance Perspective
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Poon, Ser-Huang University of Manchester - Business School
Posted:
08 Nov 99
Last Revised:
10 Jul 00
1,619(4,075)
3
Poon, Ser-Huang University of Manchester - Business School
0
Poon, Ser-Huang University of Manchester - Business School
1,619
3
5.
Forecasting S&P 100 Volatility: The Incremental Information Content of Implied Volatilities and High Frequency Index Returns
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Blair, Bevan Ingenious
Poon, Ser-Huang University of Manchester - Business School
Taylor, Stephen J. Lancaster University - Department of Accounting and Finance
Posted:
29 Oct 99
Last Revised:
17 Oct 01
1,231(6,549)
86
Blair, Bevan Ingenious
Poon, Ser-Huang University of Manchester - Business School
Taylor, Stephen J. Lancaster University - Department of Accounting and Finance
0
Blair, Bevan Ingenious
Poon, Ser-Huang University of Manchester - Business School
Taylor, Stephen J. Lancaster University - Department of Accounting and Finance
1,231
86
6.
Pope, Peter F. City University London
Poon, Ser-Huang University of Manchester - Business School
1,003(9,247)
7
7.
Rockinger, Michael University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Poon, Ser-Huang University of Manchester - Business School
Tawn, Jonathan Lancaster University - Department of Mathematics and Statistics
894(11,044)
5
Asymptotic independence, Extreme value theory, Hill's estimator, Tail index, Risk management
8.
Tranching and Rating
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Brennan, Michael J. University of California, Los Angeles (UCLA) - Finance Area
Hein, Julia University of Konstanz - Department of Economics
Poon, Ser-Huang University of Manchester - Business School
Posted:
25 Mar 08
Last Revised:
21 Oct 09
793(13,328)
12
Brennan, Michael J. University of California, Los Angeles (UCLA) - Finance Area
Hein, Julia University of Konstanz - Department of Economics
Poon, Ser-Huang University of Manchester - Business School
2
12
Brennan, Michael J. University of California, Los Angeles (UCLA) - Finance Area
Hein, Julia University of Konstanz - Department of Economics
Poon, Ser-Huang University of Manchester - Business School
791
12
Credit rating, default probability, expected loss rate, CDO, special purpose vehicle
9.
Chen, Sichong Bocom Schroders Fund
Poon, Ser-Huang University of Manchester - Business School
726(15,170)
2
Stock market liquidity, financial crisis, contagion
10.
Chen, Sichong Bocom Schroders Fund
Poon, Ser-Huang University of Manchester - Business School
567(21,585)
4
Contagion, Copula, Risk Appetite
11.
Martens, Martin Erasmus University Rotterdam (EUR)
Poon, Ser-Huang University of Manchester - Business School
547(22,611)
25
12.
Poon, Ser-Huang University of Manchester - Business School
Hyung, Namwon University of Seoul - Department of Economics
Granger, Clive W. J. University of California, San Diego (UCSD) - Department of Economics
470(27,626)
6
Long Memory, Structural Breaks, Fractional Integration, Volatility Components, Regime Switching, Volatility Forecasting
13.
Guan, Zhenke affiliation not provided to SSRN
Gan, Bing University of Manchester - Manchester Business School
Khan, Aisha University of Manchester - Manchester Business School
Poon, Ser-Huang University of Manchester - Business School
464(28,145)
Asset-liability management, Hull-White, Black-Karasinski, Libor Market Model, Swap Market Model, Bermudan swaptions
14.
Poon, Ser-Huang University of Manchester - Business School
Yaansah, Robert A. University of Saskatchewan - College of Commerce
O'Hanlon, John Lancaster University - Department of Accounting and Finance
447(29,565)
1
15.
Lin, Han affiliation not provided to SSRN
Poon, Ser-Huang University of Manchester - Business School
391(35,053)
16.
Ruban, Oleg A. MSCI Inc.
Poon, Ser-Huang University of Manchester - Business School
Vonatsos, Konstantinos N. American College of Greece (ACG) - Graduate School of DEREE
Posted:
01 Mar 07
Last Revised:
09 Oct 08
357(39,191)
1
Sovereign debt, GDP-linked bonds
17.
Asymmetric and Crash Effects in Stock Volatility for the S&P 100 Index and its Constituents
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Poon, Ser-Huang University of Manchester - Business School
Taylor, Stephen J. Lancaster University - Department of Accounting and Finance
Blair, Bevan Ingenious
346(40,738)
4
Poon, Ser-Huang University of Manchester - Business School
Taylor, Stephen J. Lancaster University - Department of Accounting and Finance
Blair, Bevan Ingenious
0
Poon, Ser-Huang University of Manchester - Business School
Taylor, Stephen J. Lancaster University - Department of Accounting and Finance
Blair, Bevan Ingenious
346
4
18.
Abbas, Sawsan University of Bahrain
Poon, Ser-Huang University of Manchester - Business School
Tawn, Jonathan Lancaster University - Department of Mathematics and Statistics
304(47,442)
Financial Time Series, Extreme Value Theory, Extremal Dependence Structure, Downside Risk, Optimal Hedge Ratio
19.
Gan, Bing University of Manchester - Manchester Business School
Guan, Zhenke affiliation not provided to SSRN
Poon, Ser-Huang University of Manchester - Business School
274(53,509)
1
Swap Market Model, Libor Market Model, Bermudan swaptions, Asset-liability management, No-arbitrage Drift
20.
Vitiello, Luiz University of Essex - Essex Business School
Poon, Ser-Huang University of Manchester - Business School
242(61,318)
3
General Equilibrium, G Distribution, Mixture of Distributions, Risk Neutral Valuation Relationship, Pricing Kernel, Option Pricing
21.
Golub, Anton Olsen Ltd.
Keane, John University of Manchester - School of Computer Science
Poon, Ser-Huang University of Manchester - Business School
213(70,191)
Mini Flash Crash, Flash Crash, Liquidity, High Frequency Trading, Intermarket Sweep Order, ISO, Top of the Book Protection, Regulation National Market System
22.
Market Liquidity and Institutional Trading During the 2007-8 Financial Crisis
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Poon, Ser-Huang University of Manchester - Business School
Rockinger, Michael University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Stathopoulos, Konstantinos University of Manchester - Manchester Business School
Posted:
20 Jun 11
Last Revised:
22 Aug 12
197(76,353)
Poon, Ser-Huang University of Manchester - Business School
Rockinger, Michael University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Stathopoulos, Konstantinos University of Manchester - Manchester Business School
41
institutional herding, institutional count, institutional holdings, market liquidity, financial crises
Poon, Ser-Huang University of Manchester - Business School
Rockinger, Michael University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Stathopoulos, Konstantinos University of Manchester - Manchester Business School
Posted:
20 Jun 11
Last Revised:
22 Aug 12
156
Institutional Herding, Institutional Count, Institutional Holdings, Market Liquidity, Financial Crises
23.
Chen, Ke University of Manchester - Manchester Business School
He, XueFei University of Manchester - Manchester Business School
Poon, Ser-Huang University of Manchester - Business School
196(76,353)
GARCH, Stochastic Volatility, Realised Volatility, Volatility Surface, Variance Swaps
24.
Vitiello, Luiz University of Essex - Essex Business School
Poon, Ser-Huang University of Manchester - Business School
151(97,415)
5
Risk Neutral Valuation Relationship, General Equilibrium Framework, Transformed Gamma Distribution, Weather Derivatives
25.
Multi-Asset Class Portfolio Optimisation Using a Belief Rule-Based System
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Poon, Ser-Huang University of Manchester - Business School
Chen, Yu-Wang University of Manchester - Manchester Business School
Yang, Jian-Bo University of Manchester - Manchester Business School
Xu, Dong-Ling University of Manchester - Manchester Business School
Zhang, Dongxu University of Manchester - Manchester Business School
Acomb, Simon Acomb Financial Research Limited
Posted:
24 Aug 10
Last Revised:
29 Sep 10
144(101,590)
Poon, Ser-Huang University of Manchester - Business School
Chen, Yu-Wang University of Manchester - Manchester Business School
Yang, Jian-Bo University of Manchester - Manchester Business School
Xu, Dong-Ling University of Manchester - Manchester Business School
Zhang, Dongxu University of Manchester - Manchester Business School
Acomb, Simon Acomb Financial Research Limited
83
Belief rule base, evidential reasoning, asset class, portfolio optimisation
Chen, Yu-Wang University of Manchester - Manchester Business School
Yang, Jian-Bo University of Manchester - Manchester Business School
Xu, Dong-Ling University of Manchester - Manchester Business School
Zhang, Dongxu University of Manchester - Manchester Business School
Acomb, Simon Acomb Financial Research Limited
Poon, Ser-Huang University of Manchester - Business School
61
Belief rule base, evidential reasoning, asset class, portfolio optimisation
26.
Actuarial Transform Pricing
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Ruban, Oleg A. MSCI Inc.
Vitiello, Luiz University of Essex - Essex Business School
Poon, Ser-Huang University of Manchester - Business School
Posted:
07 Feb 10
Last Revised:
03 Apr 10
114(122,984)
Ruban, Oleg A. MSCI Inc.
Vitiello, Luiz University of Essex - Essex Business School
Poon, Ser-Huang University of Manchester - Business School
44
Esscher transform, indifference pricing, Wang transform, standard deviation loading
Ruban, Oleg A. MSCI Inc.
Vitiello, Luiz University of Essex - Essex Business School
Poon, Ser-Huang University of Manchester - Business School
70
Genral Equilibrium, Esscher Transform, Indifference Pricing, Wang Transform, Standard Deviation Loading
27.
Chen, Ke University of Manchester - Manchester Business School
Poon, Ser-Huang University of Manchester - Business School
75(162,771)
Hawkes process, Volatility Surface, Volatility Risk Premium, Jump Risk Premium, Skew Premium
28.
Stilger, Przemyslaw Stan University of Manchester - Manchester Business School
Acomb, Simon Acomb Financial Research Limited
Poon, Ser-Huang University of Manchester - Business School
73(165,385)
Importance sampling, Simulation, Stochastic volatility
29.
Lee, Yongwoong University of Manchester - Manchester Business School
Zhang, Yiran affiliation not provided to SSRN
Poon, Ser-Huang University of Manchester - Business School
69(170,844)
Loan to value, Rule-Based Value-at-Risk, Concentration, Diversification, Multi-factor Risk Model
30.
Abbas, Sawsan University of Bahrain
Poon, Ser-Huang University of Manchester - Business School
Tawn, Jonathan Lancaster University - Department of Mathematics and Statistics
58(187,102)
ARMA-GARCH filtering, Asymptotic dependence, Asymptotic independence, Copula, Multivariate extreme values
31.
Chen, Ke University of Manchester - Manchester Business School
Poon, Ser-Huang University of Manchester - Business School
Posted:
23 Jan 13
Last Revised:
08 Feb 13
36(228,688)
SPX Volatility Surface, VIX Volatility Surface, VIX Futures, VIX Options, Hedge Ratio
32.
Poon, Ser-Huang University of Manchester - Business School
Rockinger, Michael University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Tawn, Jonathan Lancaster University - Department of Mathematics and Statistics
33(235,728)
6
Asymptotic independence, extreme value theory, Hill's estimator, tail index
33.
Granger, Clive W. J. University of California, San Diego (UCSD) - Department of Economics
Poon, Ser-Huang University of Manchester - Business School
Risk Measurement and Management, Quantitative Tools, Econometric and Statistical Methods
34.
Wang, Pengguo Xfi, University of Exeter
Poon, Ser-Huang University of Manchester - Business School
35.
Copeland, Laurence Cardiff University - Cardiff Business School
Poon, Ser-Huang University of Manchester - Business School
Stapleton, Richard C. University of Strathclyde, Glasgow - Department of Accounting and Finance
36.
Modelling S&P 100 Volatility: The Information Content of Stock Returns
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Blair, Bevan Ingenious
Poon, Ser-Huang University of Manchester - Business School
Taylor, Stephen J. Lancaster University - Department of Accounting and Finance
Posted:
03 Dec 97
Last Revised:
28 Sep 01
Blair, Bevan Ingenious
Poon, Ser-Huang University of Manchester - Business School
Taylor, Stephen J. Lancaster University - Department of Accounting and Finance
0
Blair, Bevan Ingenious
Poon, Ser-Huang University of Manchester - Business School
Taylor, Stephen J. Lancaster University - Department of Accounting and Finance
0
37.
Persistence and Mean Reversion in UK Stock Returns
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Poon, Ser-Huang University of Manchester - Business School
Posted:
14 Dec 95
Last Revised:
12 Feb 98
Poon, Ser-Huang University of Manchester - Business School
0
Poon, Ser-Huang University of Manchester - Business School
0
