By Associate Professor Thuy Duong To

Preprints

To TD; Tran N-K, 2019, Cheap TIPS or Expensive Inflation Swaps? Mispricing in Real Asset Markets, http://dx.doi.org/10.2139/ssrn.3324915

To TD; Tran N-K, 2019, Growth Risk of Nontraded Industries and Asset Pricing, http://dx.doi.org/10.2139/ssrn.3400845

Maurer TA; To TD; Tran N-K, 2018, Pricing Implications of Covariances and Spreads in Currency Markets, http://dx.doi.org/10.2139/ssrn.3166997

Maurer TA; To TD; Tran N-K, 2017, Optimal Factor Strategy in FX Markets, http://dx.doi.org/10.2139/ssrn.2797483

Maurer TA; To TD; Tran N-K, 2016, Internet Appendix: Optimal Factor Strategy in FX Markets, http://dx.doi.org/10.2139/ssrn.2837851

Maurer TA; To TD; Tran N-K, 2015, Pricing Risks across Currency Denominations, http://dx.doi.org/10.2139/ssrn.2589545

Chiarella C; Kang B; Nikitopoulos CS; To TD, 2015, The Return-Volatility Relation in Commodity Futures Markets, http://dx.doi.org/10.2139/ssrn.2617525

Chiarella C; Kang B; Nikitopoulos CS; To TD, 2012, Humps in the Volatility Structure of the Crude Oil Futures Market: New Evidence, http://dx.doi.org/10.2139/ssrn.2083726

Chiarella C; Kang B; Nikitopoulos CS; To TD, 2012, Volatility of Commodity Derivatives: Humped, Unspanned and Stochastic, http://dx.doi.org/10.2139/ssrn.2022752

Chiarella C; Hsiao C-Y; To TD, 2011, Stochastic Correlation and Risk Premia in Term Structure Models, http://dx.doi.org/10.2139/ssrn.1785148

Chiarella C; Hsiao C-Y; To TD, 2010, Risk Premia and Wishart Term Structure Models, http://dx.doi.org/10.2139/ssrn.1573184

Ghandar A; Michalewicz Z; Schmidt M; To T-D; Zurbruegg R, 2007, Computational Intelligence for Evolving Trading Rules, http://dx.doi.org/10.2139/ssrn.1008796

Chiarella C; To TD, 2005, The Multifactor Nature of the Volatility of the Eurodollar Futures Market, http://dx.doi.org/10.2139/ssrn.893089

Chiarella C; Hung H; To TD, 2005, The Volatility Structure of the Fixed Income Market Under the Hjm Framework: A Nonlinear Filtering Approach, http://dx.doi.org/10.2139/ssrn.893088

Back to profile page