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Marked Hawkes process modeling of price dynamics and volatility estimation

Lee, Kyungsub , Seo, Byoung Ki

Conference Paper Issue Date2015-08-25 View5
Marked Hawkes process modeling of price dynamics and volatility estimation File

Lee, Kyungsub , Seo, Byoung Ki

Article Issue Date2017-01 View5
Modeling Bid and Ask Price Dynamics with an Extended Hawkes Process and Its Empirical Applications for High-Frequency Stock Market Data File

Lee, Kyungsub , Seo, Byoung Ki

Article Issue Date2023-09 View6
Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data File

Lee, Kyungsub , Seo, Byoung Ki

Article Issue Date2017-06 View4
Monetary policy rate expectation and energy prices during the FOMC announcement period File

Jang, Hyeonung , Seo, Byoung Ki

Article Issue Date2020-03 View2
Performance of Tail Hedged Portfolio with Third Moment Variation Swap File

Lee, Kyungsub , Seo, Byoung Ki

Article Issue Date2017-10 View5
Recurrence speed of multiples of an irrational number File

Choe, GH , Seo, BK

Article Issue Date2001-09 View2
The waiting time for irrational rotations File

Kim, DH , Seo, Byoung Ki

Article Issue Date2003-09 View7
Transmission of central bank communication to emerging economies: Evidence from the Korean stock market File

Jang, Hyeonung , Seo, Byoung Ki

Article Issue Date2022-09 View9
Valuing American option with non-parametric regression with Fast Gauss Transformation

Choi, Jaehyuk , Seo, Byoung Ki

Conference Paper Issue Date2016-07-17 View1
캔들 차트를 이용한 스프레드 정보 시각화 방법 및 장치

서병기 , 나인영 , 박소윤 , 장현웅

Patent Issue Date View10
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