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 […]
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 […]