Ser-Huang Poon

University of Manchester - Manchester Business School

Professor

Crawford House

Oxford Road

Manchester, Manchester M13 9PL

United Kingdom

http://www.manchester.ac.uk/research/Ser-huang.poon/

  • University of Manchester - Manchester Business School

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    • Tel: +44 161 275 4031
    • Fax: +44 161 275 4023
SCHOLARLY PAPERS

57

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CITATIONS
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224

Scholarly Papers (57)

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1.

Forecasting Volatility in Financial Markets: A Review (Revised Edition)

Downloads 4,029 ( 2,172)

Forecasting Volatility in Financial Markets: A Review (Revised Edition)

Number of pages: 80 Posted: 04 Dec 2002
Clive W. J. Granger and Ser-Huang Poon
University of California, San Diego (UCSD) - Department of Economics and University of Manchester - Manchester Business School
Downloads 4,029 (2,134)
Citation 41

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Volatility, ARCH, Option Implied, High Frequency Data, Forecast Evaluation

Forecasting Volatility in Financial Markets: A Review (Revised Edition)

Journal of Economic Literature, Forthcoming
Posted: 04 Dec 2002
Clive W. J. Granger and Ser-Huang Poon
University of California, San Diego (UCSD) - Department of Economics and University of Manchester - Manchester Business School

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Volatility, ARCH, Option Implied, High Frequency Data, Forecast Evaluation

2.

Forecasting Financial Market Volatility: A Review

Number of pages: 43 Posted: 15 Jun 2001
Clive W. J. Granger and Ser-Huang Poon
University of California, San Diego (UCSD) - Department of Economics and University of Manchester - Manchester Business School
Downloads 3,689 (2,540)
Citation 8

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Volatility, ARCH, Option Implied, High Frequency Data, Forecast Evaluation.

3.

Short Rate Models: Hull-White or Black-Karasinski? Implementation Note and Model Comparison for ALM

Number of pages: 63 Posted: 20 Oct 2008
Aisha Khan, Zhenke Guan and Ser-Huang Poon
University of Manchester - Manchester Business School, Manchester University - Business School and University of Manchester - Manchester Business School
Downloads 2,396 (5,271)
Citation 2

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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

Downloads 1,968 ( 7,351)
Citation 4

Malaysia and the Asian Financial Crisis: A View from the Finance Perspective

Lancaster University Management School, Accounting and Finance Working Paper No. 99016
Number of pages: 17 Posted: 08 Nov 1999
Ser-Huang Poon
University of Manchester - Manchester Business School
Downloads 1,968 (7,196)
Citation 4

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Malaysia and the Asian Financial Crisis: A View from the Finance Perspective

African Finance Journal, Vol. 2, Part 1, 2000
Posted: 03 May 2000
Ser-Huang Poon
University of Manchester - Manchester Business School

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5.

Forecasting S&P 100 Volatility: The Incremental Information Content of Implied Volatilities and High Frequency Index Returns

Downloads 1,349 ( 13,656)
Citation 4

Forecasting S&P 100 Volatility: The Incremental Information Content of Implied Volatilities and High Frequency Index Returns

Lancaster University Management School, Accounting and Finance Working Paper No. 99/014
Number of pages: 35 Posted: 29 Oct 1999
Bevan Blair, Ser-Huang Poon and Stephen J. Taylor
Ingenious, University of Manchester - Manchester Business School and Lancaster University - Department of Accounting and Finance
Downloads 1,349 (13,374)
Citation 4

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Forecasting S&P 100 Volatility: The Incremental Information Content of Implied Volatilities and High Frequency Index Returns

Journal of Econometrics, Forthcoming
Posted: 17 Oct 2001
Bevan Blair, Ser-Huang Poon and Stephen J. Taylor
Ingenious, University of Manchester - Manchester Business School and Lancaster University - Department of Accounting and Finance

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6.

Trading Volatility Spreads: A Test of Index Option Market Efficiency

Lancaster University Management School, Accounting and Finance Working Paper No. 99/12
Number of pages: 33 Posted: 21 Oct 1999
Peter F. Pope and Ser-Huang Poon
Bocconi University and University of Manchester - Manchester Business School
Downloads 1,154 (17,348)

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7.

Modelling Extreme-Value Dependence in International Stock Markets

EFA 2002 Berlin Meetings Presented Paper
Number of pages: 37 Posted: 09 Mar 2002
Michael Rockinger, Ser-Huang Poon and Jonathan Tawn
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne), University of Manchester - Manchester Business School and Lancaster University - Mathematics and Statistics
Downloads 941 (23,468)
Citation 11

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Asymptotic independence, Extreme value theory, Hill's estimator, Tail index, Risk management

8.

Tranching and Rating

Downloads 898 ( 25,189)
Citation 24

Tranching and Rating

Number of pages: 28 Posted: 25 Mar 2008
Michael J. Brennan, Julia Hein and Ser-Huang Poon
University of California, Los Angeles (UCLA) - Finance Area, University of Konstanz - Department of Economics and University of Manchester - Manchester Business School
Downloads 896 (24,841)
Citation 3

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Credit rating, default probability, expected loss rate, CDO, special purpose vehicle

Tranching and Rating

European Financial Management, Vol. 15, Issue 5, pp. 891-922, November 2009
Number of pages: 32 Posted: 21 Oct 2009
Michael J. Brennan, Julia Hein and Ser-Huang Poon
University of California, Los Angeles (UCLA) - Finance Area, University of Konstanz - Department of Economics and University of Manchester - Manchester Business School
Downloads 2 (666,990)
Citation 1
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9.

International Stock Market Liquidity and Financial Crisis

Number of pages: 49 Posted: 02 Jul 2008
Sichong Chen and Ser-Huang Poon
Bocom Schroders Fund and University of Manchester - Manchester Business School
Downloads 838 (27,751)
Citation 2

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Stock market liquidity, financial crisis, contagion

10.

Modelling International Stock Market Contagion Using Copula and Risk Appetite

Number of pages: 48 Posted: 25 Oct 2007
Sichong Chen and Ser-Huang Poon
Bocom Schroders Fund and University of Manchester - Manchester Business School
Downloads 788 (30,201)
Citation 10

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Contagion, Copula, Risk Appetite

11.

Choice of Interest Rate Term Structure Models for Assets and Liability Management

Number of pages: 57 Posted: 20 Oct 2008
Zhenke Guan, Bing Gan, Aisha Khan and Ser-Huang Poon
Manchester University - Business School, University of Manchester - Manchester Business School, University of Manchester - Manchester Business School and University of Manchester - Manchester Business School
Downloads 641 (39,938)

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Asset-liability management, Hull-White, Black-Karasinski, Libor Market Model, Swap Market Model, Bermudan swaptions

12.

High Frequency Trading and Mini Flash Crashes

Number of pages: 22 Posted: 10 Jan 2013 Last Revised: 20 May 2017
Anton Golub, John Keane and Ser-Huang Poon
Flov technologies, University of Manchester - School of Computer Science and University of Manchester - Manchester Business School
Downloads 622 (41,611)
Citation 21

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Mini Flash Crash, Flash Crash, Liquidity, High Frequency Trading, Intermarket Sweep Order, ISO, Top of the Book Protection, Regulation National Market System

13.

Returns Synchronization and Daily Correlation Dynamics between International Stock Markets

Lancaster University, Accounting & Finance Department Working Paper No. 99/011
Number of pages: 34 Posted: 21 Oct 1999
Martin Martens and Ser-Huang Poon
Erasmus University Rotterdam (EUR) and University of Manchester - Manchester Business School
Downloads 618 (41,930)
Citation 2

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14.

A Source of Long Memory in Volatility

Number of pages: 52 Posted: 26 May 2006
Ser-Huang Poon, Namwon Hyung and Clive W. J. Granger
University of Manchester - Manchester Business School, University of Seoul - Department of Economics and University of California, San Diego (UCSD) - Department of Economics
Downloads 545 (49,353)
Citation 1

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Long Memory, Structural Breaks, Fractional Integration, Volatility Components, Regime Switching, Volatility Forecasting

15.

GDP Linked Bonds: Contract Design and Pricing

Number of pages: 55 Posted: 01 Mar 2007 Last Revised: 09 Oct 2008
Oleg A. Ruban, Ser-Huang Poon and Konstantinos N. Vonatsos
MSCI Inc., University of Manchester - Manchester Business School and American College of Greece (DEREE) - Graduate School of DEREE
Downloads 520 (52,396)
Citation 4

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Sovereign debt, GDP-linked bonds

16.

Stock Returns, Earnings Classification and Persistence

WP 98/002
Number of pages: 8 Posted: 03 Mar 1998
Ser-Huang Poon, Robert A. Yaansah and John O'Hanlon
University of Manchester - Manchester Business School, University of Saskatchewan - College of Commerce and Lancaster University Management School
Downloads 465 (60,315)
Citation 1

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17.

Hedging the Black Swan: Conditional Heteroskedasticity and Tail Dependence in S&P500 and Vix

Number of pages: 36 Posted: 07 Feb 2010
Sawsan Abbas, Ser-Huang Poon and Jonathan Tawn
University of Bahrain, University of Manchester - Manchester Business School and Lancaster University - Mathematics and Statistics
Downloads 432 (65,948)

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Financial Time Series, Extreme Value Theory, Extremal Dependence Structure, Downside Risk, Optimal Hedge Ratio

18.

Taking Stock at the New Millennium: A Study of Twelve Stock Markets

Number of pages: 25 Posted: 17 Apr 2000
Han Lin and Ser-Huang Poon
affiliation not provided to SSRN and University of Manchester - Manchester Business School
Downloads 397 (73,004)

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19.

Asymmetric and Crash Effects in Stock Volatility for the S&P 100 Index and its Constituents

Downloads 375 ( 77,961)

Asymmetric and Crash Effects in Stock Volatility for the S&P 100 Index and its Constituents

Lancaster University, Management School Working Paper 98/003
Number of pages: 31 Posted: 11 Sep 2001
Ser-Huang Poon, Stephen J. Taylor and Bevan Blair
University of Manchester - Manchester Business School, Lancaster University - Department of Accounting and Finance and Ingenious
Downloads 375 (77,290)

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Asymmetric and Crash Effects in Stock Volatility for the S&P 100 Index and its Constituents

Applied Financial Economics, forthcoming
Posted: 11 Sep 2001
Ser-Huang Poon, Stephen J. Taylor and Bevan Blair
University of Manchester - Manchester Business School, Lancaster University - Department of Accounting and Finance and Ingenious

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20.

Swap Market Model: Theory and Empirical Evidence

Number of pages: 49 Posted: 20 Oct 2008
Bing Gan, Zhenke Guan and Ser-Huang Poon
University of Manchester - Manchester Business School, Manchester University - Business School and University of Manchester - Manchester Business School
Downloads 332 (89,734)
Citation 1

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Swap Market Model, Libor Market Model, Bermudan swaptions, Asset-liability management, No-arbitrage Drift

21.

What Does Risk-Neutral Skewness Tell Us About Future Stock Returns?

Number of pages: 74 Posted: 28 Mar 2014 Last Revised: 03 Nov 2016
Przemyslaw Stan Stilger, Alexandros Kostakis and Ser-Huang Poon
University of Manchester - Manchester Business School, University of Liverpool Management School and University of Manchester - Manchester Business School
Downloads 319 (93,732)
Citation 6

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Option-Implied Information, Risk-Neutral Skewness, Hedging Pressure, Overvaluation, Short Selling Constraints.

22.

Market Liquidity and Institutional Trading During the 2007-8 Financial Crisis

Downloads 265 (114,430)

Market Liquidity and Institutional Trading During the 2007-8 Financial Crisis

Number of pages: 37 Posted: 20 Jun 2011 Last Revised: 22 Aug 2012
Ser-Huang Poon, Michael Rockinger and Konstantinos Stathopoulos
University of Manchester - Manchester Business School, University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and The University of Manchester - Alliance Manchester Business School
Downloads 198 (152,209)
Citation 1

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Institutional Herding, Institutional Count, Institutional Holdings, Market Liquidity, Financial Crises

Market Liquidity and Institutional Trading During the 2007-8 Financial Crisis

Manchester Business School Research Paper No. 623
Number of pages: 35 Posted: 06 Jan 2012
Ser-Huang Poon, Michael Rockinger and Konstantinos Stathopoulos
University of Manchester - Manchester Business School, University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and The University of Manchester - Alliance Manchester Business School
Downloads 67 (342,360)
Citation 1

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institutional herding, institutional count, institutional holdings, market liquidity, financial crises

23.

The Art of Volatility Modelling: A Case Study Based on DBS

Number of pages: 30 Posted: 24 Aug 2010
Ke Chen, XueFei He and Ser-Huang Poon
University of Manchester - Manchester Business School, University of Manchester - Manchester Business School and University of Manchester - Manchester Business School
Downloads 261 (116,253)
Citation 1

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GARCH, Stochastic Volatility, Realised Volatility, Volatility Surface, Variance Swaps

24.

Economic Capital Modeling: Closed-Form Approximation of Incremental Economic Capital for Real-Time Applications

Number of pages: 35 Posted: 03 Jun 2014 Last Revised: 25 Nov 2018
Thomas Ribarits, Axel Clement, Heikki Seppälä, Hua Bai and Ser-Huang Poon
European Union - European Investment Bank, European Investment Bank, The Finnish Tax Administration, University of Manchester and University of Manchester - Manchester Business School
Downloads 244 (124,613)

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Approximation, economic capital, economic capital contributions, incremental economic capital, risk pricing, Value at Risk, Expected Shortfall, granularity adjustment, multi-factor adjustment, amortizing loan

25.

Multi-Level Monte Carlo Simulations with Importance Sampling

Number of pages: 30 Posted: 03 Jun 2013 Last Revised: 21 Mar 2014
Przemyslaw Stan Stilger and Ser-Huang Poon
University of Manchester - Manchester Business School and University of Manchester - Manchester Business School
Downloads 206 (146,847)

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Importance sampling, Simulation, Stochastic volatility

26.

Variance Swap Premium under Stochastic Volatility and Self-Exciting Jumps

Number of pages: 50 Posted: 13 Jan 2013
Ke Chen and Ser-Huang Poon
University of Manchester - Manchester Business School and University of Manchester - Manchester Business School
Downloads 199 (151,700)
Citation 7

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Hawkes process, Volatility Surface, Volatility Risk Premium, Jump Risk Premium, Skew Premium

27.

Multi-Asset Class Portfolio Optimisation Using a Belief Rule-Based System

Downloads 194 (155,392)

Multi-Asset Class Portfolio Optimisation Using a Belief Rule-Based System

Manchester Business School Research Paper No. 603
Number of pages: 23 Posted: 29 Sep 2010
Ser-Huang Poon, Yu-Wang Chen, Jian-Bo Yang, Dong-Ling Xu, Dongxu Zhang and Simon Acomb
University of Manchester - Manchester Business School, University of Manchester - Manchester Business School, University of Manchester - Manchester Business School, University of Manchester - Manchester Business School, University of Manchester - Manchester Business School and Acomb Financial Research Limited
Downloads 113 (243,426)

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Belief rule base, evidential reasoning, asset class, portfolio optimisation

Multi-Asset Class Portfolio Optimisation Using a Belief Rule-Based System

Number of pages: 23 Posted: 24 Aug 2010
Yu-Wang Chen, Jian-Bo Yang, Dong-Ling Xu, Dongxu Zhang, Simon Acomb and Ser-Huang Poon
University of Manchester - Manchester Business School, University of Manchester - Manchester Business School, University of Manchester - Manchester Business School, University of Manchester - Manchester Business School, Acomb Financial Research Limited and University of Manchester - Manchester Business School
Downloads 81 (304,143)

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Belief rule base, evidential reasoning, asset class, portfolio optimisation

28.

Pricing and Risk Management with Stochastic Volatility Using Importance Sampling

Number of pages: 31 Posted: 30 Oct 2012 Last Revised: 20 Mar 2014
Przemyslaw Stan Stilger, Simon Acomb and Ser-Huang Poon
University of Manchester - Manchester Business School, Acomb Financial Research Limited and University of Manchester - Manchester Business School
Downloads 180 (166,281)
Citation 1

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Importance sampling, Simulation, Stochastic volatility

29.

A General Equilibrium and Preference Free Model for Pricing Options Under Transformed Gamma Distribution

Manchester Business School Working Paper
Number of pages: 29 Posted: 17 Aug 2006
Luiz Vitiello and Ser-Huang Poon
University of Essex - Essex Business School and University of Manchester - Manchester Business School
Downloads 178 (167,949)
Citation 1

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Risk Neutral Valuation Relationship, General Equilibrium Framework, Transformed Gamma Distribution, Weather Derivatives

30.

Moneyness, Volatility, and the Cross-Section of Option Returns

Number of pages: 69 Posted: 18 Nov 2016 Last Revised: 14 Mar 2018
Kevin Aretz, Ming-Tsung Lin and Ser-Huang Poon
Alliance Manchester Business School, De Montfort University and University of Manchester - Manchester Business School
Downloads 165 (179,439)
Citation 1

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Asset pricing; option returns; moneyness; total, systematic, and idiosyncratic volatility.

31.

Actuarial Transform Pricing

Downloads 154 (190,261)

Actuarial Transform Pricing

Number of pages: 30 Posted: 07 Feb 2010
Oleg A. Ruban, Luiz Vitiello and Ser-Huang Poon
MSCI Inc., University of Essex - Essex Business School and University of Manchester - Manchester Business School
Downloads 88 (288,744)

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Genral Equilibrium, Esscher Transform, Indifference Pricing, Wang Transform, Standard Deviation Loading

Actuarial Transform Pricing

Manchester Business School Research Paper No. 592
Number of pages: 32 Posted: 03 Apr 2010
Oleg A. Ruban, Luiz Vitiello and Ser-Huang Poon
MSCI Inc., University of Essex - Essex Business School and University of Manchester - Manchester Business School
Downloads 66 (342,360)

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Esscher transform, indifference pricing, Wang transform, standard deviation loading

32.

Slow- and Fast-Moving Information Content of CDS Spreads: New Endogenous Systematic Factors

Number of pages: 46 Posted: 21 Feb 2014 Last Revised: 09 Aug 2019
Ming-Tsung Lin, Olga Kolokolova and Ser-Huang Poon
De Montfort University, University of Manchester - Manchester Business School and University of Manchester - Manchester Business School
Downloads 152 (192,380)

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CDS spread, credit risk, liquidity risk, systematic factors

33.

Pricing GDP Linked Securities

Number of pages: 44 Posted: 08 Apr 2014
Oleg A. Ruban, Luiz Vitiello and Ser-Huang Poon
MSCI Inc., University of Essex - Essex Business School and University of Manchester - Manchester Business School
Downloads 143 (202,175)

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GDP linked bond, Incomplete Markets, Structural Models, Esscher transform, General Equilibrium

34.

Managing Portfolio Risk Using Multivariate Extreme Value Methods

Number of pages: 33 Posted: 06 Feb 2013
Sawsan Abbas, Ser-Huang Poon and Jonathan Tawn
University of Bahrain, University of Manchester - Manchester Business School and Lancaster University - Mathematics and Statistics
Downloads 143 (202,175)

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ARMA-GARCH filtering, Asymptotic dependence, Asymptotic independence, Copula, Multivariate extreme values

35.

Consistent Pricing and Hedging Volatility Derivatives with Two Volatility Surfaces

Number of pages: 41 Posted: 23 Jan 2013 Last Revised: 08 Feb 2013
Ke Chen and Ser-Huang Poon
University of Manchester - Manchester Business School and University of Manchester - Manchester Business School
Downloads 141 (204,454)
Citation 1

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SPX Volatility Surface, VIX Volatility Surface, VIX Futures, VIX Options, Hedge Ratio

36.

Investing in Female Corporate Leadership

Number of pages: 53 Posted: 25 Apr 2017 Last Revised: 11 May 2019
Ming-Tsung Lin and Ser-Huang Poon
De Montfort University and University of Manchester - Manchester Business School
Downloads 130 (218,238)

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Board Gender Diversity, Female Corporate Leadership, Gender Diverse Investment, Corporate Social Responsibility

37.

Rule-Based LTV and Penalty Function for Concentration Risk

Number of pages: 60 Posted: 19 Feb 2012
Yongwoong Lee, Yiran Zhang and Ser-Huang Poon
Department of International Finance, Hankuk University of Foreign Studies, affiliation not provided to SSRN and University of Manchester - Manchester Business School
Downloads 126 (223,508)

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Loan to value, Rule-Based Value-at-Risk, Concentration, Diversification, Multi-factor Risk Model

38.

Pricing and Risk Measures of Mortgage Backed Securities with PDE Method

Number of pages: 27 Posted: 21 Oct 2013
XueFei He, Simon Acomb and Ser-Huang Poon
University of Manchester - Manchester Business School, Acomb Financial Research Limited and University of Manchester - Manchester Business School
Downloads 116 (237,767)

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Mortgage Backed Securities, Collateralized Mortgage Obligations, Partial Differential Equation, Monte Carlo Simulation, Risk Measures, Value at Risk

39.

Ultra Short Tenor Yield Curves for High-Frequency Trading and Blockchain Settlement

Number of pages: 43 Posted: 04 Mar 2018
Anton Golub, Lidan Grossmass and Ser-Huang Poon
Flov technologies, Heinrich Heine University Dusseldorf and University of Manchester - Manchester Business School
Downloads 114 (240,730)
Citation 2

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Blockchain, Intraday Yield Curve, Flash Crash, Duration, Time Deformation

40.

The Reality of Stock Market Jumps Diversification (with Internet Appendix)

Number of pages: 49 Posted: 14 Feb 2017 Last Revised: 17 Nov 2017
Ke Chen, Luiz Vitiello, Stuart Hyde and Ser-Huang Poon
University of Manchester - Manchester Business School, University of Essex - Essex Business School, University of Manchester - Manchester Business School and University of Manchester - Manchester Business School
Downloads 110 (246,899)

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Asset allocation, international portfolio diversification, home bias, systemic and idiosyncratic jumps, jump news

41.

Closed Form Approximation of Swap Exposures

Number of pages: 31 Posted: 06 Oct 2013
Heikki Seppälä, Ser-Huang Poon and Thomas Schröder
The Finnish Tax Administration, University of Manchester - Manchester Business School and European Union - European Investment Bank
Downloads 90 (282,311)

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Cross currency basis swap, swaption, expected exposure, dynamic spread

42.

Jump Mis-Specification and International Portfolio Selection

Number of pages: 31 Posted: 04 Apr 2014
Ke Chen, Luiz Vitiello and Ser-Huang Poon
University of Manchester - Manchester Business School, University of Essex - Essex Business School and University of Manchester - Manchester Business School
Downloads 83 (296,945)

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Systemic Jump, Idiosyncratic Jump, Jump-diffusion, International Portfolio Diversification, Markov Chain Monte Carlo

43.

Too Big to Ignore? Hedge Fund Flows and Bond Yields

Journal of Banking and Finance, Forthcoming
Number of pages: 42 Posted: 09 Nov 2014 Last Revised: 21 Dec 2017
Olga Kolokolova, Ming-Tsung Lin and Ser-Huang Poon
University of Manchester - Manchester Business School, De Montfort University and University of Manchester - Manchester Business School
Downloads 82 (299,225)

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Hedge Funds, Flows, Price Impact, Bond Yields, Liquidity

44.

Rating-based CDS Curves

The European Journal of Finance, Forthcoming
Number of pages: 67 Posted: 14 Dec 2016 Last Revised: 10 Aug 2018
Olga Kolokolova, Ming-Tsung Lin and Ser-Huang Poon
University of Manchester - Manchester Business School, De Montfort University and University of Manchester - Manchester Business School
Downloads 74 (317,714)
Citation 1

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Credit Default Swap (CDS), Trading Strategy, CDS Term Structure, Credit Rating

45.

Anatomize DOOM-CDS Linkage

Number of pages: 41 Posted: 18 Mar 2015
Olga Kolokolova, Ming-Tsung Lin and Ser-Huang Poon
University of Manchester - Manchester Business School, De Montfort University and University of Manchester - Manchester Business School
Downloads 57 (363,945)

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CDS, Deep Out-of-the-Money Put, Credit Risk, Liquidity Risk, Trading Strategy

46.

New Extreme-Value Dependence Measures and Finance Applications

CEPR Discussion Paper No. 2762
Number of pages: 33 Posted: 18 Apr 2001
Ser-Huang Poon, Michael Rockinger and Jonathan Tawn
University of Manchester - Manchester Business School, University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and Lancaster University - Mathematics and Statistics
Downloads 33 (451,201)
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Asymptotic independence, extreme value theory, Hill's estimator, tail index

47.

What Drives the Price Convergence between Credit Default Swap and Put Option: New Evidence

Number of pages: 51 Posted: 16 Jul 2018 Last Revised: 19 Apr 2019
Ka Kei Chan, Olga Kolokolova, Ming-Tsung Lin and Ser-Huang Poon
Brunel University London, University of Manchester - Manchester Business School, De Montfort University and University of Manchester - Manchester Business School
Downloads 32 (455,677)

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Credit Default Swap (CDS), Deep Out-of-the-Money Put Option, Trading Strategy

48.

Lessons Learned from AI Prototype Designed for Corporate AGM Voting Decisions

Number of pages: 24 Posted: 23 Sep 2018
Martin Carpenter and Ser-Huang Poon
University of Manchester - Alliance Manchester Business School and University of Manchester - Manchester Business School
Downloads 30 (465,108)

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Artificial Intelligence, Annual General Meeting, Voting Resolutions, Corporate Governance Codes, Board Appointment and Remuneration, Board Diversity, Independent Non-Executive Directors

49.

Partial Myopia and Multi-Period Investment in the Presence of Background Risks

Number of pages: 34 Posted: 05 Mar 2015
Shiji Dai and Ser-Huang Poon
University of Manchester - Manchester Business School and University of Manchester - Manchester Business School
Downloads 26 (485,395)

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Partial myopia, Dynamic programming, Background risk, HARA utility function, Certainty equivalent

50.

The Robustness of Estimators in Structural Credit Loss Distributions

Journal of Credit Risk, Vol. 11, No. 2, 2015
Number of pages: 32 Posted: 15 Jun 2016
Enrique Batiz-Zuk, George A. Christodoulakis and Ser-Huang Poon
Banco de México, Manchester Business School and University of Manchester - Manchester Business School
Downloads 0 (667,153)
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Basel III, credit risk, Monte Carlo, non-Gaussian distribution, skewed Student-t distribution, Vasicek loan loss distribution

51.

Modeling the Credit Contagion Channel and Its Consequences Via the Standard Portfolio Credit Risk Model

Journal of Credit Risk, Vol. 10, No. 1, 2014
Number of pages: 30 Posted: 04 Jun 2016
Yongwoong Lee and Ser-Huang Poon
University of Technology Sydney (UTS) and University of Manchester - Manchester Business School
Downloads 0 (667,153)
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credit risk, defaults, credit contagion

52.

General Equilibrium and Risk Neutral Valuation Framework for Option Pricing with Mixture of Distributions

https://doi.org/10.3905/jod.2008.707210, Manchester Business School Working Paper
Posted: 14 Aug 2006
Luiz Vitiello and Ser-Huang Poon
University of Essex - Essex Business School and University of Manchester - Manchester Business School

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General Equilibrium, G Distribution, Mixture of Distributions, Risk Neutral Valuation Relationship, Pricing Kernel, Option Pricing

53.

Practical Issues in Forecasting Volatility

Financial Analysts Journal, Vol. 61, No. 1, pp. 45-56, January/February 2005
Posted: 05 Feb 2005
Clive W. J. Granger and Ser-Huang Poon
University of California, San Diego (UCSD) - Department of Economics and University of Manchester - Manchester Business School

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Risk Measurement and Management, Quantitative Tools, Econometric and Statistical Methods

54.

Multiperiod Asset Pricing in the Presence of Transaction Costs and Taxes

Lancaster University Working Paper No. 2000-02
Posted: 16 Mar 2000
Pengguo Wang and Ser-Huang Poon
Xfi, University of Exeter and University of Manchester - Manchester Business School

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55.

The Implied Volatility of Option Prices: A Test Using Options on UK Stocks

University of Lancaster Working Paper No. 95/004
Posted: 10 Oct 1998
Laurence Copeland, Ser-Huang Poon and Richard C. Stapleton
Cardiff University - Cardiff Business School, University of Manchester - Manchester Business School and University of Strathclyde - Department of Accounting and Finance

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56.

Modelling S&P 100 Volatility: The Information Content of Stock Returns

Downloads 0 (667,153)

Modelling S&P 100 Volatility: The Information Content of Stock Returns

Journal of Banking and Finance, Vol. 25, pp. 1665-1679, 2001
Posted: 28 Sep 2001
Bevan Blair, Ser-Huang Poon and Stephen J. Taylor
Ingenious, University of Manchester - Manchester Business School and Lancaster University - Department of Accounting and Finance

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Modelling S&P 100 Volatility: The Information Content of Stock Returns

Posted: 03 Dec 1997
Bevan Blair, Ser-Huang Poon and Stephen J. Taylor
Ingenious, University of Manchester - Manchester Business School and Lancaster University - Department of Accounting and Finance

Abstract:

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57.

Persistence and Mean Reversion in UK Stock Returns

Downloads 0 (667,153)

Persistence and Mean Reversion in UK Stock Returns

EUROPEAN FINANCIAL MANAGEMENT, Vol. 2 No. 2, July 1996
Posted: 10 Jul 1996
Ser-Huang Poon
University of Manchester - Manchester Business School

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Persistence and Mean Reversion in UK Stock Returns

WP 95/010
Posted: 14 Dec 1995
Ser-Huang Poon
University of Manchester - Manchester Business School

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