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The reality of stock market jumps diversification

Chen, Mark Ke; Vitiello, Luiz; Hyde, Stuart; Poon, Ser-Huang - In: Journal of international money and finance 86 (2018), pp. 171-188

Persistent link: https://www.econbiz.de/10012000491

Modelling S&P 100 volatility : the information content of stock returns

Blair, Bevan J.; Poon, Ser-Huang; Taylor, Stephen - In: Journal of banking & finance 25 (2001) 9, pp. 1665-1679

Persistent link: https://www.econbiz.de/10001603579

New extreme-value dependance measures and finance applications

Poon, Ser-Huang; Rockinger, Michael; Tawn, Jonathan - 2001

Persistent link: https://www.econbiz.de/10001564644

Extreme value dependence in financial markets : diagnostics, models, and financial implications

Poon, Ser-Huang; Rockinger, Michael; Twan, Jonathan - In: The review of financial studies 17 (2004) 2, pp. 581-610

Persistent link: https://www.econbiz.de/10002028108

Estimating dynamic copula dependence using intraday data

Grossmass, Lidan; Poon, Ser-Huang - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 4, pp. 501-529

Persistent link: https://www.econbiz.de/10011339412

What does risk-neutral skewness tell us about future stock returns?

Stilger, Przemysław S.; Kostakis, Alexandros; Poon, … - In: Management science : journal of the Institute for … 63 (2017) 6, pp. 1814-1834

Persistent link: https://www.econbiz.de/10011707251

Too Big to Ignore? Hedge Fund Flows and Bond Yields

Kolokolova, Olga - 2017

This paper investigates the information content of aggregate hedge fund flow and its predictive power with respect to bond yields. Using a sample of 9,725 hedge funds from 1994 to 2012, we find that fund flow is negatively related to the changes in 10-year Treasury and Moody's Baa bond yields...

Persistent link: https://www.econbiz.de/10012972514

Too big to ignore? : hedge fund flows and bond yields

Kolokolova, Olga; Lin, Ming-Tsung; Poon, Ser-Huang - In: Journal of banking & finance 112 (2020), pp. 1-14

Persistent link: https://www.econbiz.de/10012225305

Ultra-short tenor yield curve for intraday trading and settlement

Golub, Anton; Grossmass, Lidan; Poon, Ser-Huang - In: The European journal of finance 27 (2021) 4/5, pp. 441-459

Persistent link: https://www.econbiz.de/10012484371

Moneyness, underlying asset volatility, and the cross-section of option returns*

Aretz, Kevin; Lin, Ming-Tsung; Poon, Ser-Huang - In: Review of finance : journal of the European Finance … 27 (2023) 1, pp. 289-323

Persistent link: https://www.econbiz.de/10013543163