Ser-Huang Poon

Learn More
November 2000 Abstract The information content of implied volatilities and intraday returns is compared, in the context of forecasting index volatility over horizons from one to twenty days. Forecasts of two measures of realised volatility are obtained after estimating ARCH models using daily index returns, daily observations of the VIX index of implied(More)
VOLATILITY FORECASTING IS AN important task in financial markets, and it has held the attention of academics and practitioners over the last two decades. At the time of writing, there are at least 93 published and working papers that study forecasting performance of various volatility models, and several times that number have been written on the subject of(More)
This paper presents a general framework for identifying and modelling joint-tail distribution based on multivariate extreme value theories. We argue that the multivariate approach is the most efficient and effective way to study extreme events such as systemic risk and crisis. We show, using returns on five major stock indices, that the use of traditional(More)
Faecal samples of 56 common house crows (Corvus splendens Vieillot) were collected from the Petaling Jaya and Kelang districts of Selangor, peninsular Malaysia, and examined for coccidia. Intestinal tracts of 8 of the above crows wee histologically examined under light microscopy to determine the site of coccidial infection and the endogenous stages(More)
  • M. Shahid Ebrahima, Mark B. Shackletonb, +12 authors Łukasz Wojakowski
  • 2011
This paper establishes a basic framework to study three different variants of Participating Mortgages (PMs). We obtain results for Shared Appreciation (SAMs), Shared Income (SIMs) and shared Equity Mortgages (SEMs) in closed-form. We illustrate our findings with examples that show PMs are also attractive in an environment where prepayment can occur. Finally(More)
©Ser-huang Poon and Pengguo Wang All rights reserved. Short sections of text, not to exceed two paragraphs, may be quoted without explicit permission, provided that full acknowledgement is given. ABSTRACT This paper models the e¤ect of transaction costs and taxes on asset pricing in a multi-period setting. It extends the study by Dermody and Rockafellar(More)