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Asymmetric and crash effects in stock volatility for the S&P 100 index and its constituents

Blair, Bevan; Poon, Ser-Huang; Taylor, Stephen - In: Applied financial economics 12 (2002) 5, pp. 319-329

Persistent link: https://www.econbiz.de/10001688802

Trading futures using a channel rule : a study of the predictive power of technical analysis with currency examples

Taylor, Stephen - In: The journal of futures markets 14 (1994) 2, pp. 215-235

Persistent link: https://www.econbiz.de/10001169801

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

Trading volatility spreads : a test of index option market efficiency

Poon, Ser-Huang; Pope, Peter F. - In: European financial management : the journal of the … 6 (2000) 2, pp. 235-260

Persistent link: https://www.econbiz.de/10001474534

Variance swap premium under stochastic volatility and self-exciting jumps

Chen, Mark Ke; Poon, Ser-Huang - 2013

We introduce a stochastic volatility model with self-exciting jump intensity to capture the change in pricing dynamic triggered by big negative stock returns. The stochastic variance and jump intensity, and their risk premium are estimated jointly from daily stock returns and option data over...

Persistent link: https://www.econbiz.de/10010206966

Intraday effects of foreign exchange intervention by the Bank of Japan

Chang, Yuanchen - In: Journal of international money and finance 17 (1998) 1, pp. 191-210

Persistent link: https://www.econbiz.de/10001338365

The term structure of volatility implied by foreign exchange options

Xu, Xinzhong - In: Journal of financial and quantitative analysis : JFQA 29 (1994) 1, pp. 57-74

Persistent link: https://www.econbiz.de/10001166027

Distinguishing short and long memory volatility specifications

Pong, Shiuyan; Shackleton, Mark B.; Taylor, Stephen - In: The econometrics journal 11 (2008) 3, pp. 617-637

Persistent link: https://www.econbiz.de/10003802446

Empirical pricing kernels obtained from the UK index options market

Liu, Xiaoquan; Shackleton, Mark B.; Taylor, Stephen; … - In: Applied economics letters 16 (2009) 10/12, pp. 989-993

Persistent link: https://www.econbiz.de/10003886597

Cojumps in stock prices : empirical evidence

Gilder, Dudley; Shackleton, Mark B.; Taylor, Stephen - In: Journal of banking & finance 40 (2014), pp. 443-459

Persistent link: https://www.econbiz.de/10010404700