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
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