Details about Kyungsub Lee

Access statistics for papers by Kyungsub Lee.

Last updated 2020-12-10. Update your information in the RePEc Author Service.

Short-id: ple395

Working Papers

2020

1. Systemic Risk in Market Microstructure of Crude Oil and Gasoline Futures Prices: A Hawkes Flocking Model Approach
   Papers, arXiv.org View citations (6)
   See also Journal Article Systemic risk in market microstructure of crude oil and gasoline futures prices: A Hawkes flocking model approach, Journal of Futures Markets, John Wiley & Sons, Ltd. (2020) View citations (6) (2020)

2019

2. Marked Hawkes process modeling of price dynamics and volatility estimation
   Papers, arXiv.org
   See also Journal Article Marked Hawkes process modeling of price dynamics and volatility estimation, Journal of Empirical Finance, Elsevier (2017) View citations (10) (2017)
3. Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data
   Papers, arXiv.org
   See also Journal Article Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data, Journal of Economic Dynamics and Control, Elsevier (2017) View citations (9) (2017)
4. Performance of tail hedged portfolio with third moment variation swap
   Papers, arXiv.org
   See also Journal Article Performance of Tail Hedged Portfolio with Third Moment Variation Swap, Computational Economics, Springer (2017) (2017)

Journal Articles

2020

1. Systemic risk in market microstructure of crude oil and gasoline futures prices: A Hawkes flocking model approach
   Journal of Futures Markets, 2020, 40, (2), 247-275 View citations (6)
   See also Working Paper Systemic Risk in Market Microstructure of Crude Oil and Gasoline Futures Prices: A Hawkes Flocking Model Approach, Papers (2020) View citations (6) (2020)

2017

2. Marked Hawkes process modeling of price dynamics and volatility estimation
   Journal of Empirical Finance, 2017, 40, (C), 174-200 View citations (10)
   See also Working Paper Marked Hawkes process modeling of price dynamics and volatility estimation, Papers (2019) (2019)
3. Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data
   Journal of Economic Dynamics and Control, 2017, 79, (C), 154-183 View citations (9)
   See also Working Paper Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data, Papers (2019) (2019)
4. Performance of Tail Hedged Portfolio with Third Moment Variation Swap
   Computational Economics, 2017, 50, (3), 447-471
   See also Working Paper Performance of tail hedged portfolio with third moment variation swap, Papers (2019) (2019)