Thuy Duong To

University of New South Wales, Sydney

School of Banking and Finance,

University of New South Wales

Sydney, 2052

Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School

St Lucia, 4071 Brisbane

Queensland

Australia

http://www.firn.org.au

SCHOLARLY PAPERS

9

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CITATIONS
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Top 45,298

in Total Papers Citations

3

Scholarly Papers (9)

1.

Abnormal Returns After Large Stock Price Changes: Evidence from Asia-Pacific Markets

International Financial Review, Vol. 8, pp. 205-227
Number of pages: 36 Posted: 17 Oct 2007 Last Revised: 24 Mar 2009
Tho Nguyen, Vu Thang Long Pham and Thuy Duong To
Australian School of Business, Osaka University - School of Economics and University of New South Wales, Sydney
Downloads 995 (16,886)

Abstract:

Event Studies, Information and Market Efficiency, Overreaction, Price Reversals, Asia - Pacific stock markets, Vietnam, Australia, Japan

2.

The Volatility Structure of the Fixed Income Market Under the Hjm Framework: A Nonlinear Filtering Approach

Computational Statistics and Data Analysis, Vol. 53, Issue 6, pp. 2075-2088
Number of pages: 31 Posted: 02 May 2006 Last Revised: 30 Aug 2011
Carl Chiarella, Hing Hung and Thuy Duong To
University of Technology, Sydney - UTS Business School, Finance Discipline Group, University of Technology Sydney (UTS) - School of Finance and Economics and University of New South Wales, Sydney
Downloads 129 (180,254)
Citation 3

Abstract:

term structure, Heath-Jarrow-Morton, local linearization, filtering

3.

The Multifactor Nature of the Volatility of the Eurodollar Futures Market

Quantitative Finance Research Centre Research Paper No. 150
Number of pages: 15 Posted: 02 May 2006
Carl Chiarella and Thuy Duong To
University of Technology, Sydney - UTS Business School, Finance Discipline Group and University of New South Wales, Sydney
Downloads 125 (181,288)

Abstract:

term structure, volatility, mutlifactor, jump, Eurodollar futures, genetic algorithm

4.

Pricing Risks across Currency Denominations

UNSW Business School Research Paper No. 2015 BFIN 06, FIRN Research Paper No. 2589545
Number of pages: 67 Posted: 05 Apr 2015 Last Revised: 27 Jul 2016
Washington University in St. Louis - John M. Olin Business School, University of New South Wales, Sydney and Washington University in Saint Louis - John M. Olin Business School
Downloads 109 (91,358)

Abstract:

Currency risks, carry trades, stochastic discount factor, principal components

5.

Humps in the Volatility Structure of the Crude Oil Futures Market: New Evidence

29th International Conference of the French Finance Association (AFFI) 2012
Number of pages: 38 Posted: 09 Oct 2012
University of Technology, Sydney - UTS Business School, Finance Discipline Group, University of York - Department of Mathematics, University of Technology Sydney - Business School and University of New South Wales, Sydney
Downloads 97 (204,415)

Abstract:

Commodity derivatives, Crude oil derivatives, Unspanned stochastic volatility, Hump-shaped volatility, Pricing, Hedging

6.

The Return-Volatility Relation in Commodity Futures Markets

UNSW Business School Research Paper No. 2015 BFIN 05
Number of pages: 30 Posted: 13 Jun 2015
University of Technology, Sydney - UTS Business School, Finance Discipline Group, University of York - Department of Mathematics, University of Technology Sydney - Business School and University of New South Wales, Sydney
Downloads 56 (199,187)

Abstract:

Return-volatility relation; Commodity futures returns; Gold futures volatility

7.

Stochastic Correlation and Risk Premia in Term Structure Models

Journal of Empirical Finance, Vol. 37, 2016
Posted: 29 Sep 2016
Carl Chiarella, Chih-Ying Hsiao and Thuy Duong To
University of Technology, Sydney - UTS Business School, Finance Discipline Group, University of Technology, Sydney and University of New South Wales, Sydney

Abstract:

term structure, stochastic correlation, risk premium, wishart, extended affine, multidimensional CIR

8.

Internet Appendix: Optimal Factor Strategy in FX Markets

Number of pages: 30 Posted: 17 Sep 2016 Last Revised: 27 Oct 2016
Washington University in St. Louis - John M. Olin Business School, University of New South Wales, Sydney and Washington University in Saint Louis - John M. Olin Business School
Downloads 0 (281,153)

Abstract:

internet appendix, optimal factor strategy in FX markets

9.

Optimal Factor Strategy in FX Markets

HKUST Finance Symposium 2016: Active Investing and Arbitrage Capital, 29th Australasian Finance and Banking Conference 2016
Number of pages: 68 Posted: 20 Jun 2016 Last Revised: 17 Jan 2017
Washington University in St. Louis - John M. Olin Business School, University of New South Wales, Sydney and Washington University in Saint Louis - John M. Olin Business School
Downloads 0 (35,845)

Abstract:

Foreign Exchange, Factor Pricing Model, Dollar, Carry Trade, Maximum Sharpe Ratio, Predictability, Principal Component