Simon Kwok

The University of Sydney

University of Sydney

Sydney, NSW 2006

Australia

SCHOLARLY PAPERS

10

DOWNLOADS

1,136

SSRN CITATIONS

2

CROSSREF CITATIONS

1

Scholarly Papers (10)

1.

Inferring Financial Bubbles from Option Data

Number of pages: 61 Posted: 26 May 2020 Last Revised: 29 Jun 2021
Robert Jarrow and Simon Kwok
Cornell SC Johnson College of Business and The University of Sydney
Downloads 671 (54,729)
Citation 1

Abstract:

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asset price bubble, fundamental value, risk-neutral probability measure, state price distribution, tail truncation, partial identification, nonparametric estimation, local polynomial

2.

Difference-in-Differences When Trends are Uncommon and Stochastic

Number of pages: 68 Posted: 28 Feb 2018
Marc K. Chan and Simon Kwok
University of Melbourne and The University of Sydney
Downloads 125 (311,346)
Citation 1

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3.

Capital Account Liberalization and Dynamic Price Discovery: Evidence from Chinese Cross-Listed Stocks

Number of pages: 29 Posted: 03 Sep 2014
Marc K. Chan and Simon Kwok
University of Melbourne and The University of Sydney
Downloads 82 (405,518)
Citation 1

Abstract:

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Capital account liberalization, co-integration, vector error-correction model, cross-listing, Chinese A-H shares

4.

Futures Contract Collateralization and its Implications

Number of pages: 42 Posted: 13 Sep 2021
Robert Jarrow and Simon Kwok
Cornell SC Johnson College of Business and The University of Sydney
Downloads 77 (420,420)

Abstract:

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commodity futures, futures return, collateral, leverage, correlation

5.

The Effect of Risk Sharing on Asset Prices: Natural Experiment from the Chinese Stock Market Liberalization

Number of pages: 28 Posted: 06 Oct 2015
Marc K. Chan and Simon Kwok
University of Melbourne and The University of Sydney
Downloads 62 (471,107)

Abstract:

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Chinese stock market, liberalization, natural experiment, risk sharing, asset pricing

6.

The Pricing of Jump and Diffusive Risks in the Cross-Section of Cryptocurrency Returns

Number of pages: 50 Posted: 08 Apr 2022
Minhao Leong and Simon Kwok
The University of Sydney and The University of Sydney
Downloads 37 (582,609)

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cryptocurrency asset pricing, jumps, limits to arbitrage

7.

A Consistent and Robust Test for Autocorrelated Jump Occurrences

Number of pages: 86 Posted: 13 Oct 2020 Last Revised: 05 May 2022
Simon Kwok
The University of Sydney
Downloads 28 (636,172)

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autocorrelation, self-excited jumps, self-inhibitory jumps, nonparametric test, financial contagion

8.

Jointly Determining the State Dimension and Lag Order for Markov-Switching Vector Autoregressive Models

Number of pages: 51 Posted: 22 Mar 2021
Nan Li and Simon Kwok
affiliation not provided to SSRN and The University of Sydney
Downloads 23 (671,234)

Abstract:

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model selection, Markov-switching vector autoregression, business cycle

9.

A Note on Asset Price Bubbles and the Explosion of Quadratic Variation

Number of pages: 35 Posted: 22 Dec 2021 Last Revised: 22 Feb 2022
Simon Kwok
The University of Sydney
Downloads 18 (709,531)

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Asset price bubbles, local martingale, quadratic variation, explosion

10.

An Explosion Time Characterization of Asset Price Bubbles

Number of pages: 14 Posted: 08 Apr 2022
Robert Jarrow and Simon Kwok
Cornell SC Johnson College of Business and The University of Sydney
Downloads 13 (751,832)

Abstract:

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asset price bubble, explosion time, semimartingale, quadratic variation, local volatility, risk-neutral probability measure