By Dr Thuy Duong To

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

Back to profile page