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

11

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Scholarly Papers (11)

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 1,015 (21,173)
Citation 1

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

2.

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: 77 Posted: 20 Jun 2016 Last Revised: 24 Sep 2018
Washington University in St. Louis - John M. Olin Business School, University of New South Wales, Sydney and Pamplin College of Business - Virginia Tech
Downloads 1,012 (21,344)
Citation 2

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Foreign Exchange, Currency, Carry Trade, Mean-Variance, Estimation Error, Market Timing, Principal Component

3.

Pricing Risks across Currency Denominations

UNSW Business School Research Paper No. 2015 BFIN 06, FIRN Research Paper No. 2589545
Number of pages: 74 Posted: 05 Apr 2015 Last Revised: 06 Sep 2018
Washington University in St. Louis - John M. Olin Business School, University of New South Wales, Sydney and Pamplin College of Business - Virginia Tech
Downloads 355 (83,918)

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

4.

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, Lacima Group, University of Technology Sydney - Business School and University of New South Wales, Sydney
Downloads 153 (192,457)
Citation 1

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

5.

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 137 (210,580)
Citation 3

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

6.

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 136 (211,870)
Citation 1

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

7.

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, Lacima Group, University of Technology Sydney - Business School and University of New South Wales, Sydney
Downloads 122 (230,412)
Citation 2

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

8.

Pricing Implications of Covariances and Spreads in Currency Markets

Number of pages: 73 Posted: 26 Apr 2018 Last Revised: 25 Oct 2018
Washington University in St. Louis - John M. Olin Business School, University of New South Wales, Sydney and Pamplin College of Business - Virginia Tech
Downloads 107 (254,898)
Citation 2

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Foreign Exchange, Carry, Forward Discount, Spread Adjustment, Covariance Adjustment, Mean-Variance, Factor Pricing Model, Predictability

9.

Cheap TIPS or Expensive Inflation Swaps? Mispricing in Real Asset Markets

Number of pages: 66 Posted: 09 Feb 2019 Last Revised: 10 Apr 2019
Thuy Duong To and Ngoc-Khanh Tran
University of New South Wales, Sydney and Pamplin College of Business - Virginia Tech
Downloads 31 (463,107)

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Inflation, TIPS, Swap, Liquidity, Mispricing

10.

Growth Risk of Nontraded Industries and Asset Pricing

Number of pages: 69 Posted: 17 Jun 2019 Last Revised: 06 Sep 2019
Thuy Duong To and Ngoc-Khanh Tran
University of New South Wales, Sydney and Pamplin College of Business - Virginia Tech
Downloads 11 (576,753)

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Nontraded output risk, Exchange rate, Currency carry trade, Interest rate

11.

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:

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