Suzanne S. Lee

Georgia Institute of Technology - Finance Area

800 West Peachtree Street NW

Atlanta, GA 30332

United States

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 24,950

SSRN RANKINGS

Top 24,950

in Total Papers Downloads

1,480

CITATIONS
Rank 14,994

SSRN RANKINGS

Top 14,994

in Total Papers Citations

24

Scholarly Papers (7)

1.

Are Analysts' Recommendations Informative? Intraday Evidence on the Impact of Time Stamp Delays

Journal of Finance, Forthcoming, AFA 2011 Denver Meetings Paper
Number of pages: 53 Posted: 18 Mar 2010 Last Revised: 26 Oct 2015
University of South Florida, Georgia Institute of Technology - Scheller College of Business, Georgia Institute of Technology - Finance Area and University of Toronto - Rotman School of Management
Downloads 665 (26,315)
Citation 3

Abstract:

Analyst recommendations, high-frequency data, news arrival, jump detection

2.

Detecting Jumps from Levy Jump Diffusion Processes

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 52 Posted: 19 Mar 2009
Suzanne S. Lee and Jan Hannig
Georgia Institute of Technology - Finance Area and University of North Carolina at Chapel Hill
Downloads 249 (95,103)
Citation 14

Abstract:

Levy jumps, nonparametric tests, belief measure, false detection, high frequency data

3.

Jumps and Information Flow in Financial Markets

Review of Financial Studies, Forthcoming
Number of pages: 65 Posted: 27 Sep 2011
Suzanne S. Lee
Georgia Institute of Technology - Finance Area
Downloads 98 (205,773)
Citation 5

Abstract:

mixed unobservability, jump predictor tests, partial likelihood, systematic vs. idiosyncratic risk, jump size clustering, high frequency data

4.

Jumps in Equilibrium Prices and Market Microstructure Noise

Journal of Econometrics, Forthcoming
Number of pages: 44 Posted: 19 Mar 2012
Suzanne S. Lee and Per A. Mykland
Georgia Institute of Technology - Finance Area and University of Chicago - Department of Statistics
Downloads 58 (266,179)
Citation 2

Abstract:

jumps, noise, nonparametric tests, high frequency data

5.

The Impact of Jumps on Carry Trade Returns

Georgia Tech Scheller College of Business Research Paper No. 17-11
Number of pages: 58 Posted: 16 Feb 2017
Suzanne S. Lee and Minho Wang
Georgia Institute of Technology - Finance Area and Georgia Institute of Technology - Finance Area
Downloads 0 (132,809)

Abstract:

jump beta, jump modified carry trade, foreign exchange rate, carry trade

6.

Tales of Tails: Jumps in Currency Markets

Number of pages: 68 Posted: 27 Jul 2016
Suzanne S. Lee and Minho Wang
Georgia Institute of Technology - Finance Area and Georgia Institute of Technology - Finance Area
Downloads 0 (211,356)

Abstract:

foreign currency, jump robust carry trade, jump prediction, general jump regression

7.

Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics

The Review of Financial Studies, Vol. 21, Issue 6, pp. 2535-2563, 2008
Posted: 15 Dec 2008
Suzanne S. Lee and Per A. Mykland
Georgia Institute of Technology - Finance Area and University of Chicago - Department of Statistics

Abstract:

G12, G22, G14