Seok Young Hong

CV:  pdf

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

I am a financial econometrician at Lancaster University Management School.
Before joining Lancaster I worked at Nottingham University as an Assistant Professor.

Previously, I was at Cambridge University where I completed Mathematical Tripos Part III and then
a PhD in Pure Mathematics and Mathematical Statistics in 2018, supervised by Prof. Oliver Linton.
My primary research interests lie on developing time series methods for financial applications.


• Volatility estimation and forecasts using price durations
  (with Ingmar Nolte, Stephen J. Taylor and Xiaolu Zhao).
  Journal of Financial Econometrics forthcoming, (2021). [Paper Link]

• Nonparametric estimation of infinite order regression and its application to the risk-return
  tradeoff (with Oliver Linton). Awarded the Smith/Rayleigh-Knight Prize on an earlier version.
  Journal of Econometrics 219, (2020). [Paper Link]

• 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]

Teaching – All materials are available on Moodle

Years 2019/20 and 2020/21

⁃ Topics in Advanced Econometrics II (PhD)
⁃ Research Methods for Risk Management (MSc)
⁃ Introduction to Quantitative Methods (MSc)
⁃ Advanced Topics in Finance (MSc)