Dr Woon Wong

2020

• Wong, W. K. 2020. A GMM skewness and kurtosis ratio test for higher moment dependence. Journal of Financial Econometrics 18 (2), pp.307-332. (10.1093/jjfinec/nbz011)

2019

• Wong, W. , Mariscal, I. B. and Howells, P. 2019. Liquidity and credit risks in the UK's financial crisis: how 'quantitative easing' changed the relationship. Applied Economics 51 (3), pp.278-287. (10.1080/00036846.2018.1494814)

2012

• Clatworthy, M. A. , Pong, C. K. M. and Wong, W. K. 2012. Auditor quality effects on the relationship between accruals, cash flows and equity returns: a variance decomposition analysis. Accounting and Business Research 42 (4), pp.419-439. (10.1080/00014788.2012.662791)
• Wong, W. K. , Fan, G. and Zheng, Y. 2012. Capturing Tail Risks Beyond VaR. Review of Pacific Basin Financial Markets and Policies 15 (3) 1250015. (10.1142/S0219091512500154)

2010

• Wong, W. K. 2010. Backtesting value-at-risk based on tail losses. Journal of Empirical Finance 17 (3), pp.526-538. (10.1016/j.jempfin.2009.11.004)

2009

• Copeland, L. S. , Wong, W. K. and Zeng, Y. 2009. Information-based trade in the Shanghai stock market. Global Finance Journal 20 (2), pp.180-190. (10.1016/j.gfj.2009.02.002)
• Wong, W. K. 2009. Backtesting the Tail Risk of VaR in Holding US dollar. Applied Financial Economics 19 (4), pp.327-337. (10.1080/09603100802167312)
• Wong, W. K. , Chang, M. C. and Tu, A. H. 2009. Are Magnet Effects Caused by Uninformed Traders? Evidence from Taiwan Stock Exchange. Pacific-Basin Finance Journal 17 (1), pp.28-40. (10.1016/j.pacfin.2008.03.001)
• Wong, W. K. , Liu, B. and Zeng, Y. 2009. Can price limits help when the price is falling? Evidence from transactions data on the Shanghai Stock Exchange. China Economic Review 20 (1), pp.91-102. (10.1016/j.chieco.2008.09.002)
• Wong, W. K. , Tan, D. and Tian, Y. 2009. Informed trading and liquidity in the Shanghai Stock Exchange. International Review of Financial Analysis 18 (1-2), pp.66-73. (10.1016/j.irfa.2008.11.002)
• Wong, W. K. and Tu, A. H. 2009. Market imperfections and the information content of implied and realized volatility. Pacific-Basin Finance Journal 17 (1), pp.58-79. (10.1016/j.pacfin.2007.12.002)

2008

• Copeland, L. S. , Wong, W. K. and Zeng, Y. 2008. Information-based trade in the Shanghai stock market. Presented at: 15th Annual Global Finance Conference Hangzhou, China 18-20 May 2008.
• Wong, W. K. 2008. Backtesting trading risk of commercial banks using expected shortfall. Journal of Banking & Finance 32 (7), pp.1404-1415. (10.1016/j.jbankfin.2007.11.012)
• Wong, W. K. and Copeland, L. S. 2008. Risk measurement and management in a crisis-prone world. SSRN Electronic Journal (10.2139/ssrn.1265285)
• Wong, W. K. , Copeland, L. S. and Lu, R. 2008. The other side of the trading story: evidence from NYSE. Presented at: CRSP Forum 2008 Chicago, USA 3-4 November 2008.

1999

• Abyankar, A. , Copeland, L. S. and Wong, W. K. 1999. LIFFE cycles: intraday evidence from the FTSE-100 Stock Index futures market. European Journal of Finance 5 (2), pp.123-139. (10.1080/135184799337136)

1997

• Abyankar, A. , Copeland, L. S. and Wong, W. K. 1997. Uncovering nonlinear structure in real-time stock-market indexes: the S&P 500, the DAX, the Nikkei 225, and the FTSE-100. Journal of Business & Economic Statistics 15 (1), pp.1-14. (10.1080/07350015.1997.10524681)
• Wong, W. K. 1997. Frequency domain tests of multivariate Gaussianity and nonlinearity. Journal of Time Series Analysis 18 (2), pp.181-194. (10.1111/1467-9892.00045)

1995

• Abyankar, A. , Copeland, L. S. and Wong, W. K. 1995. Nonlinear dynamics in real-time equity market indices: evidence from the United Kingdom. The Economic Journal 105 (431), pp.864-880.