Seok Young Hong

 s.y.hong [at]
Lancaster University Management School
Bailrigg, Lancaster LA1 4YX, United Kingdom

Curriculum Vitae:  cv.pdf

I am an econometrician at Lancaster University Management School.
Previously, I was at Nottingham University as an Assistant Professor.

Prior to that I was at Cambridge University where I completed Mathematical Tripos Part III
and later received a PhD in Pure Mathematics and Mathematical Statistics in 2018. My doctoral advisor was Professor Oliver Linton.

My primary research interests lie primarily on developing time series methods for applications in economics and finance.

Completed Papers

Volatility estimation and forecasts using price durations
(with Ingmar Nolte, Stephen J. Taylor and Xiaolu Zhao).
R & R, Journal of Financial Econometrics, (2020). [Paper Link]

Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff (with Oliver Linton).
Journal of Econometrics forthcoming, (2020). [Paper Link]
—–*Awarded the Smith/Rayleigh-Knight Prize on an earlier version

An Investigation into Multivariate Variance Ratio Statistics and Their Application to Stock
Market Predictability (with Hui Jun Zhang and Oliver Linton).
Journal of Financial Econometrics 15, (2017). [Paper Link]

Estimating the Quadratic Covariation Matrix for Asynchronously observed high frequency
stock returns corrupted by Additive Measurement Error (with Sujin Park and Oliver Linton).
Journal of Econometrics 191, (2016). [Paper Link]

Small Deviations in L2-norm for Gaussian Dependent Sequences
(with Mikhail Lifshits and Alexander Nazarov).
Electronic Communications in Probability 21, (2016). [Paper Link]


In academic year 2019/20, I taught ‘Topics in Advanced Econometrics II’ (PhD) and ‘Research Methods for Risk Management’ (MSc) at the University of Nottingham.

This year I will be giving lectures for ‘Introduction to Quantitative Methods’ (MSc) and ‘Advanced Topics in Finance’ (MSc) in Lancaster.

Last updated: 11 August 2020