Search Results - "Lee, Suzanne S."

Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics by Lee, Suzanne S., Mykland, Per A.

“…This article introduces a new nonparametric test to detect jump arrival times and realized jump sizes in asset prices up to the intra-day level. We demonstrate…”
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Detecting jumps from Lévy jump diffusion processes by Lee, Suzanne S., Hannig, Jan

“…Recent asset-pricing models incorporate jump risk through Lévy processes in addition to diffusive risk. This paper studies how to detect stochastic arrivals of…”
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Jumps and Information Flow in Financial Markets by Lee, Suzanne S.

“…This article investigates the predictability of jump arrivals in U.S. stock markets. Using a new test that identifies jump predictors up to the intraday level,…”
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The impact of jumps on carry trade returns by Lee, Suzanne S., Wang, Minho

“…This paper investigates how jump risks are priced in currency markets. We find that currencies whose changes are more sensitive to negative market jumps…”
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The role of idiosyncratic jumps in stock markets by Lee, Suzanne S.

“…I study how realized idiosyncratic jumps play a role in pricing individual stocks. I find that stocks with high variances associated with positive…”
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Tales of tails: Jumps in currency markets by Lee, Suzanne S., Wang, Minho

“…We investigate the predictability of jumps in currency markets and show the implications for carry trades. Formulating new currency jump analyses, we propose a…”
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Jumps in equilibrium prices and market microstructure noise by Lee, Suzanne S., Mykland, Per A.

“…Asset prices observed in financial markets combine equilibrium prices and market microstructure noise. In this paper, we study how to tell apart large shifts…”
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DETERMINATION OF HEAT TRANSFER THROUGH METAL FOILS AND CERAMIC FIBER MATS DURING COMPOSITE FABRICATION by KHAIRUL ALAM, M, TKACH, S, LEE SEMIATIN, S

“…Heat transfer behavior during consolidation of metal matrix composites (MMCs) was investigated. Such composites are often fabricated by putting foils and fiber…”
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