By Associate Professor Thuy Duong To

Preprints

To TD; Tran N-K, Cheap TIPS or Expensive Inflation Swaps?: Mispricing in Real Asset Markets, http://dx.doi.org/10.2139/ssrn.3324915

Ghandar A; Michalewicz Z; Schmidt M; To T-D; Zurbruegg R, Computational Intelligence for Evolving Trading Rules, http://dx.doi.org/10.2139/ssrn.1008796

To TD; Tran N-K, Growth Risk of Nontraded Industries and Asset Pricing, http://dx.doi.org/10.2139/ssrn.3400845

Chiarella C; Kang B; Nikitipoulos Sklibosios C; To TD, Humps in the Volatility Structure of the Crude Oil Futures Market: New Evidence, http://dx.doi.org/10.2139/ssrn.2083726

Maurer TA; To TD; Tran N-K, Internet Appendix: Optimal Factor Strategy in FX Markets, http://dx.doi.org/10.2139/ssrn.2837851

Maurer TA; To TD; Tran N-K, Optimal Factor Strategy in FX Markets, http://dx.doi.org/10.2139/ssrn.2797483

Maurer TA; To TD; Tran N-K, Pricing Implications of Covariances and Spreads in Currency Markets, http://dx.doi.org/10.2139/ssrn.3166997

Maurer TA; To TD; Tran N-K, Pricing Risks Across Currency Denominations, http://dx.doi.org/10.2139/ssrn.2589545

Chiarella C; Hsiao C-Y; To TD, Risk Premia and Wishart Term Structure Models, http://dx.doi.org/10.2139/ssrn.1573184

Chiarella C; Hsiao C-Y; To TD, Stochastic Correlation and Risk Premia in Term Structure Models, http://dx.doi.org/10.2139/ssrn.1785148

Chiarella C; To TD, The Multifactor Nature of the Volatility of the Eurodollar Futures Market, http://dx.doi.org/10.2139/ssrn.893089

Chiarella C; Kang B; Nikitopoulos Sklibosios C; To TD, The Return-Volatility Relation in Commodity Futures Markets, http://dx.doi.org/10.2139/ssrn.2617525

Chiarella C; Hung H; To TD, The Volatility Structure of the Fixed Income Market Under the Hjm Framework: A Nonlinear Filtering Approach, http://dx.doi.org/10.2139/ssrn.893088

Chiarella C; Kang B; Nikitipoulos Sklibosios C; To TD, Volatility of Commodity Derivatives: Humped, Unspanned and Stochastic, http://dx.doi.org/10.2139/ssrn.2022752

Back to profile page