Items where Author is "Poon, S"

Blair, B J and Poon, S and Taylor, S J (2010) Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high frequency index returns. In: Handbook of Quantitative Finance and Risk Management :. Springer, Berlin, pp. 1333-1344. ISBN 9780387771168

Poon, S and Taylor, S J and Blair, B J (2002) Asymmetric and crash effects in stock volatility for the S and P 100 index and its constituents. Applied Financial Economics, 12. pp. 319-329. ISSN 0960-3107

Blair, B J and Poon, S and Taylor, S J (2001) Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns. Journal of Econometrics, 105 (1). pp. 5-26. ISSN 0304-4076

Blair, B J and Poon, S and Taylor, S J (2001) Modelling S&P 100 volatility: the information content of stock returns. Journal of Banking and Finance, 25 (9). pp. 1665-1679. ISSN 0378-4266

Poon, S and Wang, P (2000) Multiperiod asset pricing in the presence of transaction costs and taxes. Working Paper. The Department of Accounting and Finance, Lancaster University.

Lin, H and Poon, S (2000) Taking stock at the new millennium: a study of twelve stock markets. Working Paper. The Department of Accounting and Finance, Lancaster University.

Poon, S and Pope, P F (2000) Trading volatility spreads: a test of index option market efficiency. European Financial Management, 6 (2). pp. 235-260. ISSN 1354-7798

Poon, S (1999) Malaysia and the Asian financial crisis. Working Paper. The Department of Accounting and Finance, Lancaster University.

Poon, S and Martens, M P E (1999) Returns synchronization and daily correlation dynamics between international stock markets. Working Paper. The Department of Accounting and Finance, Lancaster University.

Yaansah, R A and Poon, S and O'Hanlon, J F (1997) Stock returns, earnings classification and persistence. Working Paper. The Department of Accounting and Finance, Lancaster University.

Poon, S and Yaansah, R A and O'Hanlon, J F (1992) Market recognition of differences in earnings persistence: UK evidence. Journal of Business Finance and Accounting, 19 (4). pp. 625-639. ISSN 1468-5957