Kyungsub Lee : Citation Profile

3

H index

1

i10 index

23

Citations

RESEARCH PRODUCTION:

4

Articles

4

Papers

RESEARCH ACTIVITY:

   3 years (2017 - 2020). See details.
   Cites by year: 7
   Journals where Kyungsub Lee has often published
   Relations with other researchers
   Recent citing documents: 8.    Total self citations: 2 (8 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ple395
   Updated: 2025-04-12    RAS profile: 2020-12-10    
   Missing citations? Add them    Incorrect content? Let us know

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:

Nguyen, Duc Khuong (2)

AROURI, Mohamed (2)

Goutte, Stéphane (1)

Herrera, Rodrigo (1)

Clements, Adam (1)

Firoozye, Nikan (1)

DA FONSECA, José (1)

Xu, Dinghai (1)

Malevergne, Yannick (1)

M'SADDEK, Oussama (1)

Cites to:

Bollerslev, Tim (7)

Engle, Robert (4)

DA FONSECA, José (4)

Ait-Sahalia, Yacine (4)

Zhou, Hao (4)

Andersen, Torben (3)

Bowsher, Clive (3)

Hoffmann, Marc (3)

Shephard, Neil (3)

Diebold, Francis (3)

Hansen, Peter (3)

Main data

Production by document typearticlepaper2017201820192020024Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published201720182019202002.557.510Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received2018201920202021202220232024202502.557.510Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year201720182019202001020Citations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 3Most cited documents1234051015Number of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution20201220210120210220210320210420210520210620210720210820210920211020211120211220220120220220220320220420220520220620220720220820220920221020221120221220230120230220230320230420230520230620230720230820230920231020231120231220240120240220240320240420240520240620240720240820240920241020241120241220250120250220250320250401234h-index Highcharts.comExport to raster or vector imagePrint the chart

Where Kyungsub Lee has published?

Working Papers Series with more than one paper published# docs
Papers / arXiv.org4

Recent works citing Kyungsub Lee (2025 and 2024)

Year  ↓Title of citing document  ↓
2024Application 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

2024Limit 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

Works by Kyungsub Lee:

Year  ↓Title  ↓Type  ↓Cited  ↓
2019Marked Hawkes process modeling of price dynamics and volatility estimation In: Papers.
[Full Text][Citation analysis]		paper10
2017Marked 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
2019Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data In: Papers.
[Full Text][Citation analysis]		paper7
2017Modeling 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
2019Performance of tail hedged portfolio with third moment variation swap In: Papers.
[Full Text][Citation analysis]		paper0
2017Performance 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
2020Systemic Risk in Market Microstructure of Crude Oil and Gasoline Futures Prices: A Hawkes Flocking Model Approach In: Papers.
[Full Text][Citation analysis]		paper6
2020Systemic 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

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