Seok Young Hong

University of Nottingham

Jubilee Campus

Nottingham, NG8 1BB

United Kingdom

SCHOLARLY PAPERS

5

DOWNLOADS

868

SSRN CITATIONS

4

CROSSREF CITATIONS

3

Scholarly Papers (5)

1.

Volatility Estimation and Forecasts Based on Price Durations

Number of pages: 74 Posted: 11 Jan 2016 Last Revised: 29 Jan 2021
University of Nottingham, Lancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance and Dongbei University of Finance and Economics
Downloads 440 (97,513)
Citation 4

Abstract:

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Price durations; Volatility estimation; High-frequency data; Market microstructure noise; Forecasting

2.

An Investigation into Multivariate Variance Ratio Statistics and Their Application to Stock Market Predictability

Number of pages: 62 Posted: 21 Mar 2014 Last Revised: 11 Jan 2016
Seok Young Hong, Oliver B. Linton and Hui Jun Zhang
University of Nottingham, University of Cambridge and University of Cambridge
Downloads 192 (229,174)
Citation 1

Abstract:

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Autocorrelation, Bubbles, Efficient Markets, Fads, Martingale, Momentum, Predictability

3.

Separate Noise and Jumps From Tick Data: An Endogenous Thresholding Approach

Number of pages: 70 Posted: 25 Mar 2021
Xiaolu Zhao, Seok Young Hong and Oliver B. Linton
Dongbei University of Finance and Economics, University of Nottingham and University of Cambridge
Downloads 94 (399,411)

Abstract:

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Price jump detection; Market microstructure noise; Price durations; High-frequency data.

4.

Nonparametric Estimation of Infinite Order Regression and Its Application to the Risk-Return Tradeoff

Number of pages: 72 Posted: 20 Apr 2016 Last Revised: 05 Sep 2018
Seok Young Hong and Oliver B. Linton
University of Nottingham and University of Cambridge
Downloads 94 (394,072)
Citation 1

Abstract:

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5.

First Passage Time Covariance Matrix Estimators

Number of pages: 25 Posted: 26 Mar 2021
Seok Young Hong, Oliver B. Linton and Xiaolu Zhao
University of Nottingham, University of Cambridge and Dongbei University of Finance and Economics
Downloads 48 (558,362)

Abstract:

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Price durations; Covariance matrix estimation; High-frequency data; GMV portfolio allocation