Seok Young Hong

Selected Publications

An Investigation into Multivariate Variance Ratio Statistics and their Application to Stock Market Predictability

We propose several multivariate variance ratio statistics for “testing” the weak form Efficient Market Hypothesis and […]

Seok Young Hong, Oliver Linton, Hui Jun Zhang
21 March 2017 | Journal Article
Asymptotic properties of a Nadaraya-Watson type estimator for regression functions of in…finite order

We consider a class of nonparametric time series regression models in which the regressor takes values […]

Seok Young Hong, Oliver Linton
23 November 2016 | CWP53/16
Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error

This paper studies the estimation problem of the covariance matrices of asset returns in the presence […]

Sujin Park, Seok Young Hong, Oliver Linton
1 April 2016 | Journal Article
An investigation into multivariate variance ratio statistics and their application to stock market predictability

We propose several multivariate variance ratio statistics. We derive the asymptotic distribution of the statistics and […]

Seok Young Hong, Oliver Linton, Hui Jun Zhang
24 March 2015 | CWP13/15
Multivariate variance ratio statistics

We propose several multivariate variance ratio statistics. We derive the asymptotic distribution of the statistics and […]

Seok Young Hong, Oliver Linton, Hui Jun Zhang
6 June 2014 | CWP29/14