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