Dr Samuel Ze-To


2022

Fundamental Index Aligned and Excess Market Return Predictability
Ze-To, S. 2022. Fundamental Index Aligned and Excess Market Return Predictability. Journal of Forecasting. 41 (3), pp. 592-614. https://doi.org/10.1002/for.2829

2017

Option implied beta and option return
Ze-To, S. 2017. Option implied beta and option return. Applied Economics. 50 (2), pp. 128-142. https://doi.org/1080/00036846.2017.1313958

2016

Asset liquidity and stock returns
Ze-To, S. 2016. Asset liquidity and stock returns. Advances in Accounting. 35, pp. 177-196. https://doi.org/10.1016/j.adiac.2016.08.002

2015

Cross-Section Stock Return and Implied Covariance between Jump and Diffusive Volatility
Ze-To, S. 2015. Cross-Section Stock Return and Implied Covariance between Jump and Diffusive Volatility. Journal of Forecasting. 34 (5), pp. 379-390. https://doi.org/10.1002/for.2348

2015

Correlated implied volatility with jump and cross section of stock returns
Ze-To, S. 2015. Correlated implied volatility with jump and cross section of stock returns. Accounting & Finance. 60 (3), pp. 2007-2037. https://doi.org/10.1111/acfi.12429

2012

Earnings management and accrual anomaly across market states and business cycles
Ze-To, S. 2012. Earnings management and accrual anomaly across market states and business cycles. Advances in Accounting. 28 (2), pp. 344-352. https://doi.org/10.1016/j.adiac.2012.09.011

2012

Expected Stock Returns and Option-Implied Rate of Return
Ze-To, S. 2012. Expected Stock Returns and Option-Implied Rate of Return. Journal of Mathematical Finance. 2 (4), pp. 269-279. https://doi.org/10.4236/jmf.2012.24030

2012

Crisis, Value at Risk and Conditional Extreme Value Theory via the NIG + Jump Model
Ze-To, S. 2012. Crisis, Value at Risk and Conditional Extreme Value Theory via the NIG + Jump Model. Journal of Mathematical Finance. 2 (3), pp. 225-237. https://doi.org/10.4236/jmf.2012.23025

2012

Estimating value-at-risk under a Heath––Jarrow––Morton framework with jump
Ze-To, S. 2012. Estimating value-at-risk under a Heath––Jarrow––Morton framework with jump. Applied Economics. 44 (21), pp. 2279-2741. https://doi.org/10.1080/00036846.2011.566198

2010

Crisis, Value at Risk, and Conditional Extreme Value Theory via Garch-Jump Model
Ze-To, S. 2010. Crisis, Value at Risk, and Conditional Extreme Value Theory via Garch-Jump Model. Review of Futures Markets. 18 (4), pp. 319-345.

2008

Value at Risk and Conditional Extreme Value Theory via Markov Regime Switching Models
Ze-To, S. 2008. Value at Risk and Conditional Extreme Value Theory via Markov Regime Switching Models. Journal of Futures Markets. 28 (2), pp. 155-181. https://doi.org/10.1002/fut.20293

2002

Pricing and Hedging American Fixed-Income Derivatives with Implied Volatility Structures in the Two-Factor Heath–Jarrow–Morton Model
Ze-To, S. 2002. Pricing and Hedging American Fixed-Income Derivatives with Implied Volatility Structures in the Two-Factor Heath–Jarrow–Morton Model. Journal of Futures Markets. 22 (9), pp. 839-875. https://doi.org/10.1002/fut.10031


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