17 citations · 94 across the 18 of their papers we have counts for
4 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…
Long-memory Markov chains with power-law intensities
Kyungsub Lee
We introduce a self-exciting point process with power-law intensity dynamics that admits a finite-dimensional Markovian state representation. The model is constructed to preserve t…
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…