17 citations · 94 across the 18 of their papers we have counts for
11 papers · 1 filter
Asymmetric Long-Memory GARCH: Sign-Dependent Kernel Injection in a Two-Dimensional Markov Chain
Kennedy Titus Kayaki, Kyungsub Lee
We introduce ALM-GARCH, an asymmetric long-memory GARCH model in which positive and negative innovations enter conditional variance with different injection amplitudes and kernel o…
Long-memory GARCH via a two-dimensional Markov chain
Kyungsub Lee, Kennedy Titus Kayaki
This paper proposes a GARCH-type volatility model in which level-and-slope updates of a latent power-law kernel generate state-dependent decay of past shocks within a two-dimension…
Forecasting duration in high-frequency financial data using a self-exciting flexible residual point process
Kyungsub Lee
This paper presents a method for forecasting limit order book durations using a self-exciting flexible residual point process. High-frequency events in modern exchanges exhibit hea…
Self and mutually exciting point process embedding flexible residuals and intensity with discretely Markovian dynamics
Kyungsub Lee
This work introduces a self and mutually exciting point process that embeds flexible residuals and intensity with discretely Markovian dynamics. By allowing the integration of dive…
Recurrent neural network based parameter estimation of Hawkes model on high-frequency financial data
Kyungsub Lee
This study examines the use of a recurrent neural network for estimating the parameters of a Hawkes model based on high-frequency financial data, and subsequently, for computing vo…
Multi-kernel property in high-frequency price dynamics under Hawkes model
Kyungsub Lee
This study investigates and uses multi-kernel Hawkes models to describe a high-frequency mid-price process. Each kernel represents a different responsive speed of market participan…
Application of Hawkes volatility in the observation of filtered high-frequency price process in tick structures
Kyungsub Lee
The Hawkes model is suitable for describing self and mutually exciting random events. In addition, the exponential decay in the Hawkes process allows us to calculate the moment pro…
Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data
Kyungsub Lee, Byoung Ki Seo
This study examine the theoretical and empirical perspectives of the symmetric Hawkes model of the price tick structure. Combined with the maximum likelihood estimation, the model…
Marked Hawkes process modeling of price dynamics and volatility estimation
Kyungsub Lee, Byoung Ki Seo
A simple Hawkes model have been developed for the price tick structure dynamics incorporating market microstructure noise and trade clustering. In this paper, the model is extended…
Conditional correlation in asset return and GARCH intensity model
Geon Ho Choe, Kyungsub Lee
In an asset return series there is a conditional asymmetric dependence between current return and past volatility depending on the current return's sign. To take into account the c…
Probabilistic and statistical properties of moment variations and their use in inference and estimation based on high frequency return data
Kyungsub Lee
We discuss the probabilistic properties of the variation based third and fourth moments of financial returns as estimators of the actual moments of the return distributions. The mo…