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Asset liquidity and stock returns

Ze-To, Samuel Yau Man - In: Advances in accounting : a research annual 35 (2016), pp. 177-196

Persistent link: https://www.econbiz.de/10011720126

Ze-To, Samuel Yau Man - In: Accounting and finance : journal of the Accounting … 56 (2016) 4, pp. 1187-1214

Persistent link: https://www.econbiz.de/10011660377

Cross-section stock return and implied covariance between jump and diffusive volatility

Ze-To, Samuel Yau Man - In: Journal of forecasting 34 (2015) 5, pp. 379-390

Persistent link: https://www.econbiz.de/10011318319

Expect stock returns and options-implied rate of return

Ze-To, Samuel Yau Man - In: Journal of mathematical finance 2 (2012) 4, pp. 269-279

Persistent link: https://www.econbiz.de/10009725341

Crisis, value at risk and conditional extreme value theory via the NIG + Jump model

Ze-To, Samuel Yau Man - In: Journal of mathematical finance 2 (2012) 3, pp. 225-237

Persistent link: https://www.econbiz.de/10009711983

Earnings management and accrual anomaly across market states and business cycles

Ze-To, Samuel Yau Man - In: Advances in accounting : a research annual 28 (2012) 2, pp. 344-352

Persistent link: https://www.econbiz.de/10009715406

Fundamental index aligned and excess market return predictability

Ze-To, Samuel Yau Man - In: Journal of forecasting 41 (2022) 3, pp. 592-614

Persistent link: https://www.econbiz.de/10013166162

Option implied beta and option return

Ze-To, Samuel Yau Man - In: Applied economics 50 (2018) 2, pp. 128-142

Persistent link: https://www.econbiz.de/10011845923

Estimating value-at-risk under a Heath--Jarrow--Morton framework with jump

Ze-To, Samuel Yau Man - In: Applied Economics 44 (2012) 21, pp. 2729-2741

This article proposes a new methodology for measuring Value-at-Risk (hereafter VaR) using a model that incorporates both volatility and jumps. Heath--Jarrow--Morton (HJM) model has been used for the valuation of interest rate derivatives. This study extends the use of HJM model to the estimation...

Persistent link: https://www.econbiz.de/10010549463

Estimating value-at-risk under a HeathJarrowMorton framework with jump

Ze-To, Samuel Yau Man - In: Applied economics 44 (2012) 21, pp. 2729-2742

Persistent link: https://www.econbiz.de/10009817976