3
H index
1
i10 index
23
Citations
Kyungsub Lee : Citation Profile
| RESEARCH PRODUCTION: 4 Articles 4 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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3 years (2017 - 2020). 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:
| Cites to:
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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 |
| 2024 | Application of Hawkes volatility in the observation of filtered high-frequency price process in tick structures. (2022). Lee, Kyungsub. In: Papers. RePEc:arx:papers:2207.05939. 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 |
| 2024 | Limit Order Book Simulations: A Review. (2024). Treleaven, Philip ; Kochems, Jonathan ; Firoozye, Nick ; Jain, Konark. In: Papers. RePEc:arx:papers:2402.17359. 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 | 10 |
| 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: 10 | 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 | 7 |
| 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: 7 | 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 | 6 |
| 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: 6 | article |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team