Suzanne S. Lee

Georgia Institute of Technology — United States

Economics, Econometrics and Finance · Social Sciences

12h-index1.6kcitations26works2.02yr avg
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Research Topics

Financial Markets and Investment Strategies(13), Financial Risk and Volatility Modeling(13), Stochastic processes and financial applications(10), Complex Systems and Time Series Analysis(9), Monetary Policy and Economic Impact(6)

Publications26 total

On the efficiency contributions of analyst recommendations to financial markets
Journal of Financial Markets·2025
Characteristics-based Risk Decomposition and Mispricing in High-frequency Return Panels
SSRN Electronic Journal·2025Open Access
Variance Decomposition and Cryptocurrency Return Prediction
Journal of Financial and Quantitative Analysis·2024· 7 citedOpen Access
Impact of Monetary Policy on Municipal Bond ETFs 
SSRN Electronic Journal·2024Open Access
Variance Decomposition and Cryptocurrency Return Prediction
SSRN Electronic Journal·2024· 3 citedOpen Access
The role of idiosyncratic jumps in stock markets
Journal of Financial Markets·2023· 1 cited
The Role of Idiosyncratic Jumps in Stock Markets
SSRN Electronic Journal·2023Open Access
On Efficiency Contribution of Analyst Recommendations to Financial Markets
SSRN Electronic Journal·2023Open Access
Jumps and Post-Fomc Announcement Drifts in Currency Markets
SSRN Electronic Journal·2023Open Access
On Efficiency Contribution of Analyst Recommendations to Financial Markets
SSRN Electronic Journal·2022Open Access
Tales of tails: Jumps in currency markets
Journal of Financial Markets·2019· 22 cited
The impact of jumps on carry trade returns
Journal of Financial Economics·2018· 32 cited
The Impact of Jumps on Carry Trade Returns
SSRN Electronic Journal·2017· 1 citedOpen Access
Tales of Tails: Jumps in Currency Markets
SSRN Electronic Journal·2016· 3 citedOpen Access
Jumps in equilibrium prices and market microstructure noise
Journal of Econometrics·2012· 107 cited
Jumps and Information Flow in Financial Markets
Review of Financial Studies·2011· 180 cited
Information Disclosure and Intraday Price Discovery: Evidence from Jumps
SSRN Electronic Journal·2011· 33 citedOpen Access
Detecting jumps from Lévy jump diffusion processes☆
Journal of Financial Economics·2010· 143 cited
Jumps and Information Flow in Financial Markets
SSRN Electronic Journal·2009· 15 citedOpen Access
Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics
SSRN Electronic Journal·2008· 39 citedOpen Access
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Frequent Co-authors

Minho Wang(8), Per A. Mykland(7), Jan Hannig(2), Youngmin Choi(2), Daniel Bradley(1), Jonathan Clarke(1), Chayawat Ornthanalai(1), Young‐Min Choi(1), Narayanan Jayaraman(1), Youngmin Choi(1), Soohun Kim(1)