Citation profile for Kyungsub Lee

Kyungsub Lee : Citation Profile

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Citations

RESEARCH PRODUCTION:

Articles

Papers

RESEARCH ACTIVITY:

   3 years (2017 - 2020). See details.
   Cites by year: 6
   Journals where Kyungsub Lee has often published
   Relations with other researchers
   Recent citing documents: 10.    Total self citations: 2 (9.09 %)

MORE DETAILS IN:

EconPapers

ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ple395
   Updated: 2024-04-18    RAS profile: 2020-12-10
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Kyungsub Lee.

Is cited by:

AROURI, Mohamed (2)

Nguyen, Duc Khuong (2)

Xu, Dinghai (1)

M'SADDEK, Oussama (1)

DA FONSECA, José (1)

Goutte, Stéphane (1)

Herrera, Rodrigo (1)

Malevergne, Yannick (1)

Clements, Adam (1)

Cites to:

Bollerslev, Tim (7)

Ait-Sahalia, Yacine (4)

Zhou, Hao (4)

DA FONSECA, José (4)

Engle, Robert (4)

Hoffmann, Marc (3)

Diebold, Francis (3)

Hansen, Peter (3)

Andersen, Torben (3)

Bowsher, Clive (3)

Shephard, Neil (3)

Main data

Where Kyungsub Lee has published?

Working Papers Series with more than one paper published	# docs
Papers / arXiv.org	4

Recent works citing Kyungsub Lee (2024 and 2023)

Year	Title of citing document
2023	A fractional Hawkes process for illiquidity modeling. (2023). Hainaut, Donatien ; Dupret, Jean-Loup. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2023001. Full description at Econpapers \|\| Download paper
2023	Multi-kernel property in high-frequency price dynamics under Hawkes model. (2023). Lee, Kyungsub. In: Papers. RePEc:arx:papers:2302.11822. Full description at Econpapers \|\| Download paper
2023	Recurrent neural network based parameter estimation of Hawkes model on high-frequency financial data. (2023). Lee, Kyungsub. In: Papers. RePEc:arx:papers:2304.11883. Full description at Econpapers \|\| Download paper
2023	Dynamic volatility transfer in the European oil and gas industry. (2023). Kotro, Balazs B ; Huszar, Zsuzsa R. In: Energy Economics. RePEc:eee:eneeco:v:127:y:2023:i:pa:s0140988323005509. Full description at Econpapers \|\| Download paper
2023	Less disagreement, better forecasts: Adjusted risk measures in the energy futures market. (2023). Xue, Xiaohan ; Gong, Yujing ; Zhang, Ning. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:10:p:1332-1372. Full description at Econpapers \|\| Download paper

Works by Kyungsub Lee:

Year	Title	Type	Cited
2019	Marked Hawkes process modeling of price dynamics and volatility estimation In: Papers. [Full Text][Citation analysis]	paper	9
2017	Marked Hawkes process modeling of price dynamics and volatility estimation.(2017) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9	article
2019	Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data In: Papers. [Full Text][Citation analysis]	paper	6
2017	Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data.(2017) In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6	article
2019	Performance of tail hedged portfolio with third moment variation swap In: Papers. [Full Text][Citation analysis]	paper	0
2017	Performance of Tail Hedged Portfolio with Third Moment Variation Swap.(2017) In: Computational Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0	article
2020	Systemic Risk in Market Microstructure of Crude Oil and Gasoline Futures Prices: A Hawkes Flocking Model Approach In: Papers. [Full Text][Citation analysis]	paper	5
2020	Systemic risk in market microstructure of crude oil and gasoline futures prices: A Hawkes flocking model approach.(2020) In: Journal of Futures Markets. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5	article