By Dr Thuy Duong To

Book Chapters

Pham V; Nguyen D; To TD, 2008, 'Abnormal Returns after Large Stock Price Changes: Evidence from Asia-Pacific Markets', in ASIA-PACIFIC FINANCIAL MARKETS: INTEGRATION, INNOVATION AND CHALLENGES, Elsevier, NETHERLANDS, pp. 205 - 227

Ghandar A; Michalewicz Z; Schmidt M; To TD; Zurbruegg R, 2008, 'Evolving Trading Rules', in Yang A; Shan Y; Bui LT (ed.), Success in Evolutionary Computation, Springer, pp. 95 - 121, http://www.springer.com/engineering/book/978-3-540-76285-0

Journal articles

Tô T-D; Tran N-K, 2024, 'Nontraded Sector Growth Risks and Economic Sizes in International Asset Pricing', Management Science, http://dx.doi.org/10.1287/mnsc.2022.03697

Maurer TA; Tô TD; Tran NK, 2023, 'Market Timing and Predictability in FX Markets', Review of Finance, 27, pp. 223 - 246, http://dx.doi.org/10.1093/rof/rfac014

Maurer T; To TD; Tran N-K, 2022, 'Pricing Implications of Covariances and Spreads in Currency Markets', The Review of Asset Pricing Studies, 12, http://dx.doi.org/10.1093/rapstu/raab019

Maurer T; To TD; Tran N-K, 2019, 'Pricing Risks Across Currency Denominations', Management Science, 65, pp. 5308 - 5336, http://dx.doi.org/10.1287/mnsc.2018.3109

Chiarella C; Hsiao CY; Tô TD; To T, 2016, 'Stochastic correlation and risk premia in term structure models', Journal of Empirical Finance, 37, pp. 59 - 78, http://dx.doi.org/10.1016/j.jempfin.2016.02.003

Chiarella C; Kang B; Nikitopoulos CS; Tô TD; To T, 2016, 'The Return-Volatility Relation in Commodity Futures Markets', Journal of Futures Markets, 36, pp. 127 - 152, http://dx.doi.org/10.1002/fut.21717

Chiarella C; Kang B; Nikitopoulos CS; TÔ TD, 2013, 'Humps in the volatility structure of the crude oil futures market: New evidence', Energy Economics, 40, pp. 989 - 1000, http://dx.doi.org/10.1016/j.eneco.2013.05.019

Chiarella C; Kang B; Nikitopoulos CS; Tô T-D, 2013, 'Humps in the volatility structure of the crude oil futures market: New evidence', Energy Economics, http://dx.doi.org/10.1016/j.eneco.2013.05.019

Chiarella C; Hung H; To TD, 2009, 'The Volatility Structure of the Fixed Income Market under the HJM Framework: A Nonlinear Filtering Approach', Computational Statistics and Data Analysis, 53, pp. 2075 - 2088, http://dx.doi.org/10.1016/j.csda.2008.07.036

Ghandar A; Michalewicz Z; Schmidt M; To T-D; Zurbrugg R, 2009, 'Computational Intelligence for Evolving Trading Rules', IEEE Transactions on Evolutionary Computation, http://dx.doi.org/10.1109/tevc.2007.915992

Ghandar A; Michalewicz Z; Schmidt M; To TD; Zurbrugg R, 2008, 'Computational Intelligence for Evolving Trading Rules', IEEE Transactions on Evolutionary Computation, http://dx.doi.org/10.1109/TEVC.2007.915992

Chiarella C; To TD, 2006, 'The Multifactor Nature of the Volatility of Futures Markets', Computational Economics, 27, pp. 163 - 183

Chiarella C; To TD, 2003, 'The Jump Component of the Volatility Structure of Interest Rate Futures Markets: An International Comparison', Journal of Futures Markets, 23, pp. 1125 - 1158

Conference Papers

Ghandar A; Michalewicz Z; Tô TD; Zurbruegg R, 2008, 'The performance of an adaptive portfolio management system', in 2008 IEEE Congress on Evolutionary Computation, CEC 2008, pp. 2208 - 2216, http://dx.doi.org/10.1109/CEC.2008.4631092

Ghandar A; Michalewicz Z; Schmidt M; Tǒ TD; Zurbruegg R, 2007, 'A computational intelligence portfolio construction system for equity market trading', in 2007 IEEE Congress on Evolutionary Computation, CEC 2007, pp. 798 - 805, http://dx.doi.org/10.1109/CEC.2007.4424552

Conference Presentations

To T; Tran N-K, 2020, 'Cheap TIPS or Expensive Inflation Swaps: Mispricing in Real Asset Markets', presented at AEA 2020 - American Economic Association Meeting 2020, San Diego, 03 January 2020 - 05 January 2020

To T; Tran NK, 2019, 'Cheap TIPS or expensive inflation swaps? Mispricing in real asset markets.', presented at 2019 Asia Finance Conference, 08 July 2019 - 09 July 2019

Maurer T; To T; Tran NK, 2018, 'Pricing Implications of Covariances and Spreads in Currency Markets', presented at 2018 CICF China International Conference in Finance, Tianjin, China, 10 July 2018 - 13 July 2018

Maurer T; To TD; Tran N-K, 2018, 'Optimal Factor Strategy in FX Markets', presented at FIRS 2018, the Financial Intermediation Research Society 13th Annual Conference, Barcelona, 01 June 2018 - 03 June 2018, https://firsocietyblog.files.wordpress.com/2018/10/firs2018.pdf

Berrada T; Coupy S; To T, 2017, 'Pairwise correlation dynamics and incomplet information', presented at The 30th Australasia Finance and Banking Conference, Sydney, Australia, 13 December 2017 - 15 December 2017, https://www.business.unsw.edu.au/about/schools/banking-finance/seminars-conferences/australasian-finance-banking-conference/past-conferences/30th-australasian-finance-and-banking-conference

Maurer T; To TD; Tran N-K, 2017, 'Optimal Factor Strategy in FX Markets', presented at EFA 2017, European Finance Association 44th Annual Meeting, Mannheim, 23 August 2017 - 26 August 2017, http://www.efa2017.org/

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