People_
Dr Simon Kwok
BSc (Hons) HKU, MPhil HKU, PhD Cornell
Associate Professor
Address
A02 - Social Sciences Building
The University of Sydney
Resume
Simon Kwok obtained his PhD in Economics from Cornell University in August 2012. His research interests are in time series econometrics, statistics and finance. In particular, he is interested in specification tests of time series and point process models, tests of Granger causality, and their empirical applications in market microstructure, credit contagion and financial contagion.
- Asset and Derivative Pricing
- High Frequency Finance
- Program Evaluation
| Project title | Research student |
|---|---|
| Intangible-Adjusted Investment Factor: Technology Advancement and Risk Premia Adjustments | John BILSEL |
Publications
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Book Chapters
- Yeap, C., Choy, S., Kwok, S. (2018). The Skew-t Option Pricing Model. In Anh LH, Dong LS, Kreinovich V & Thach NN (Eds.), Econometrics for Financial Applications (Studies in Computational Intelligence - Volume 760), (pp. 309-326). Cham: Springer International Publishing. [More Information]
Journals
- Kwok, S. (2024). A Consistent and Robust Test for Autocorrelated Jump Occurrences. Journal of Financial Econometrics, 22(1), 157-186. [More Information]
- Kwok, S., Jarrow, R. (2024). A study on asset price bubble dynamics: explosive trend or quadratic variation? Quantitative Finance, 24(5), 613-626. [More Information]
- Kwok, S., Leong, M. (2024). Bitcoin spillovers: A high-frequency cross-asset analysis. The Financial Review (Statesboro), , 1-27.
show 19 more
Working Paper Internal
- Kwok, S. (2012). A Nonparametric Test of Granger Causality in Continuous Time.
- Kwok, S. (2012). Credit Contagion from Wall Street to Main Street: An Empirical Study of US Corporate Bankruptcies.
- Kwok, S. (2012). Diagnostic Checks For Multivariate Parametric Intensity Models.
show 2 more
Expand all
2024
- Kwok, S. (2024). A Consistent and Robust Test for Autocorrelated Jump Occurrences. Journal of Financial Econometrics, 22(1), 157-186. [More Information]
- Kwok, S., Jarrow, R. (2024). A study on asset price bubble dynamics: explosive trend or quadratic variation? Quantitative Finance, 24(5), 613-626. [More Information]
- Kwok, S., Leong, M. (2024). Bitcoin spillovers: A high-frequency cross-asset analysis. The Financial Review (Statesboro), , 1-27.
show 1 more
2023
- Hsiao, C., Jin, T., Kwok, S., Wang, X., Zheng, X. (2023). Entrepreneurial risk shocks and financial acceleration asymmetry in a two-country DSGE model. China Economic Review (Amsterdam), 81. [More Information]
- Jarrow, R., Kwok, S. (2023). Futures contract collateralization and its implications. Journal of Empirical Finance, 74, 101422. [More Information]
- Leong, M., Kwok, S. (2023). The Pricing of Jump and Diffusive Risks in the Cross-Section of Cryptocurrency Returns. Journal of Empirical Finance, 74(101420). [More Information]
2022
- Jarrow, R., Kwok, S. (2022). An Explosion Time Characterization of Asset Price Bubbles. International Review of Finance, 23(2), 469479. [More Information]
- Jin, T., Kwok, S., Zheng, X. (2022). Financial wealth, investment, and confidence in a DSGE model for China. International Review of Economics and Finance, 79(2022), 114-134. [More Information]
- Chan, M., Kwok, S. (2022). The PCDID Approach: Difference-in-Differences when Trends are Potentially Unparallel and Stochastic. Journal of Business and Economic Statistics, Forthcoming. [More Information]
2021
- Jarrow, R., Kwok, S. (2021). Inferring Financial Bubbles from Option Data. Journal of Applied Econometrics, 36(7), 1013-1046. [More Information]
- Li, N., Kwok, S. (2021). Jointly determining the state dimension and lag order for Markov�]switching vector autoregressive models. Journal of Time Series Analysis, 42, 471-491. [More Information]
2018
- Yeap, C., Kwok, S., Choy, S. (2018). A Flexible Generalized Hyperbolic Option Pricing Model and Its Special Cases. Journal of Financial Econometrics, 16(3), 425-460. [More Information]
- Chan, M., Kwok, S. (2018). Connecting the Markets? Recent Evidence on China's Capital Account Liberalization. Economic Modelling, 70, 417-428. [More Information]
- Yeap, C., Choy, S., Kwok, S. (2018). The Skew-t Option Pricing Model. In Anh LH, Dong LS, Kreinovich V & Thach NN (Eds.), Econometrics for Financial Applications (Studies in Computational Intelligence - Volume 760), (pp. 309-326). Cham: Springer International Publishing. [More Information]
2017
- Chan, M., Kwok, S. (2017). Risk-Sharing, Market Imperfections, Asset Prices: Evidence from China's Stock Market Liberalization. Journal of Banking & Finance, 84, 166-187. [More Information]
2016
- Chan, M., Kwok, S. (2016). Capital account liberalization and dynamic price discovery: evidence from Chinese cross-listed stocks. Applied Economics, 48(6), 517-535. [More Information]
2015
- Jarrow, R., Kwok, S. (2015). Specification tests of calibrated option pricing models. Journal of Econometrics, 189(2), 397-414. [More Information]
- Chang, S., Kwok, S., Cheng, Q., Yip, P., Chen, Y. (2015). The association of trends in charcoal-burning suicide with Google search and newspaper reporting in Taiwan: a time series analysis. Social Psychiatry and Psychiatric Epidemiology, 50(9), 1451-1461. [More Information]
2013
- Yip, P., Kwok, S., Chen, F., Xu, X., Chen, Y. (2013). A study on the mutual causation of suicide reporting and suicide incidences. Journal of Affective Disorders, 148(1), 98-103. [More Information]
2012
- Kwok, S. (2012). A Nonparametric Test of Granger Causality in Continuous Time.
- Kwok, S. (2012). Credit Contagion from Wall Street to Main Street: An Empirical Study of US Corporate Bankruptcies.
- Kwok, S. (2012). Diagnostic Checks For Multivariate Parametric Intensity Models.
show 2 more
2009
- Kwok, S., Li, W. (2009). A Note on Diagnostic Checking of the Double Autoregressive Model. Journal of Statistical Computation and Simulation, 79(5), 705-715. [More Information]
- Kwok, S., Li, W., Yu, P. (2009). The Autoregressive Conditional Marked Duration Model: Statistical Inference to Market Microstructure. Journal of Data Science, 7(2), 189-201.
2008
- Kwok, S., Li, W. (2008). On diagnostic checking of the autoregressive conditional intensity model. Canadian Journal of Statistics (Revue Canadienne de Statistique), 36(4), 561-576. [More Information]
