Suzanne S. Lee

1.6k total citations · 1 hit paper
19 papers, 1.1k citations indexed

About

Suzanne S. Lee is a scholar working on Finance, Economics and Econometrics and General Economics, Econometrics and Finance. According to data from OpenAlex, Suzanne S. Lee has authored 19 papers receiving a total of 1.1k indexed citations (citations by other indexed papers that have themselves been cited), including 17 papers in Finance, 11 papers in Economics and Econometrics and 4 papers in General Economics, Econometrics and Finance. Recurrent topics in Suzanne S. Lee's work include Financial Risk and Volatility Modeling (12 papers), Stochastic processes and financial applications (10 papers) and Financial Markets and Investment Strategies (8 papers). Suzanne S. Lee is often cited by papers focused on Financial Risk and Volatility Modeling (12 papers), Stochastic processes and financial applications (10 papers) and Financial Markets and Investment Strategies (8 papers). Suzanne S. Lee collaborates with scholars based in United States and Canada. Suzanne S. Lee's co-authors include Per A. Mykland, Jan Hannig, Daniel Bradley, Jonathan Clarke and Chayawat Ornthanalai and has published in prestigious journals such as Journal of Financial Economics, Review of Financial Studies and Journal of Econometrics.

In The Last Decade

Suzanne S. Lee

18 papers receiving 1.0k citations

Hit Papers

align trajectories

What are hit papers?

Hit papers significantly outperform the citation benchmark for their cohort. A paper qualifies if it has ≥500 total citations, achieves ≥1.5× the top-1% citation threshold for papers in the same subfield and year (this is the minimum needed to enter the top 1%, not the average within it), or reaches the top citation threshold in at least one of its specific research topics.

Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics

2007 607 citations Suzanne S. Lee, Per A. Mykland Review of Financial Studies profile →

Peers — A (Enhanced Table)

Peers by citation overlap · career bar shows stage (early→late) cites · hero ref

Name	h						Papers	Cites
Suzanne S. Lee United States	11	936	643	188	93	64	19	1.1k
Sassan Alizadeh United States	5	939 1.0×	711 1.1×	266 1.4×	97 1.0×	69 1.1×	6	1.1k
Paul Kupiec United States	17	966 1.0×	637 1.0×	212 1.1×	243 2.6×	115 1.8×	77	1.1k
Nour Meddahi Canada	15	1.2k 1.3×	850 1.3×	383 2.0×	32 0.3×	98 1.5×	32	1.3k
Gita Persand United Kingdom	11	644 0.7×	599 0.9×	286 1.5×	47 0.5×	77 1.2×	20	759
Jean‐Guy Simonato Canada	17	984 1.1×	430 0.7×	182 1.0×	100 1.1×	100 1.6×	51	1.1k
Robert Engle United States	11	1.4k 1.4×	1.3k 2.0×	526 2.8×	87 0.9×	155 2.4×	13	1.7k
Thomas H. McCurdy Canada	15	917 1.0×	872 1.4×	422 2.2×	95 1.0×	120 1.9×	38	1.2k
Ioannis D. Vrontos Greece	13	488 0.5×	393 0.6×	193 1.0×	54 0.6×	122 1.9×	49	640
John M. Maheu Canada	19	1.1k 1.2×	980 1.5×	421 2.2×	49 0.5×	162 2.5×	49	1.4k
Dobrislav Dobrev United States	9	640 0.7×	534 0.8×	194 1.0×	17 0.2×	66 1.0×	21	735

Countries citing papers authored by Suzanne S. Lee

Since Specialization

Citations

This map shows the geographic impact of Suzanne S. Lee's research. It shows the number of citations coming from papers published by authors working in each country. You can also color the map by specialization and compare the number of citations received by Suzanne S. Lee with the expected number of citations based on a country's size and research output (numbers larger than one mean the country cites Suzanne S. Lee more than expected).

Fields of papers citing papers by Suzanne S. Lee

Since Specialization

Physical SciencesHealth SciencesLife SciencesSocial Sciences

This network shows the impact of papers produced by Suzanne S. Lee. Nodes represent research fields, and links connect fields that are likely to share authors. Colored nodes show fields that tend to cite the papers produced by Suzanne S. Lee. The network helps show where Suzanne S. Lee may publish in the future.

Co-authorship network of co-authors of Suzanne S. Lee

This figure shows the co-authorship network connecting the top 25 collaborators of Suzanne S. Lee. A scholar is included among the top collaborators of Suzanne S. Lee based on the total number of citations received by their joint publications. Widths of edges represent the number of papers authors have co-authored together. Node borders signify the number of papers an author published with Suzanne S. Lee. Suzanne S. Lee is excluded from the visualization to improve readability, since they are connected to all nodes in the network.

All Works

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19 of 19 papers shown

1.

Lee, Suzanne S., et al.. (2024). Variance Decomposition and Cryptocurrency Return Prediction. SSRN Electronic Journal. 1 indexed citations

2.

Lee, Suzanne S., et al.. (2024). Variance Decomposition and Cryptocurrency Return Prediction. Journal of Financial and Quantitative Analysis. 60(4). 1859–1890. 2 indexed citations

3.

Lee, Suzanne S.. (2023). The role of idiosyncratic jumps in stock markets. Journal of Financial Markets. 64. 100820–100820. 1 indexed citations

4.

Lee, Suzanne S., et al.. (2019). Tales of tails: Jumps in currency markets. Journal of Financial Markets. 48. 100497–100497. 15 indexed citations

5.

Lee, Suzanne S., et al.. (2018). The impact of jumps on carry trade returns. Journal of Financial Economics. 131(2). 433–455. 24 indexed citations

6.

Lee, Suzanne S., et al.. (2017). The Impact of Jumps on Carry Trade Returns. SSRN Electronic Journal. 1 indexed citations

7.

Lee, Suzanne S., et al.. (2016). Tales of Tails: Jumps in Currency Markets. SSRN Electronic Journal. 3 indexed citations

8.

Lee, Suzanne S. & Per A. Mykland. (2012). Jumps in equilibrium prices and market microstructure noise. Journal of Econometrics. 168(2). 396–406. 68 indexed citations

9.

Lee, Suzanne S.. (2011). Jumps and Information Flow in Financial Markets. Review of Financial Studies. 25(2). 439–479. 129 indexed citations

10.

Bradley, Daniel, Jonathan Clarke, Suzanne S. Lee, & Chayawat Ornthanalai. (2011). Information Disclosure and Intraday Price Discovery: Evidence from Jumps. SSRN Electronic Journal. 28 indexed citations

11.

Lee, Suzanne S. & Jan Hannig. (2010). Detecting jumps from Lévy jump diffusion processes☆. Journal of Financial Economics. 96(2). 271–290. 106 indexed citations

12.

Lee, Suzanne S.. (2009). Jumps and Information Flow in Financial Markets. SSRN Electronic Journal. 11 indexed citations

13.

Lee, Suzanne S. & Per A. Mykland. (2008). Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics. SSRN Electronic Journal. 29 indexed citations

14.

Lee, Suzanne S. & Per A. Mykland. (2008). Jumps in Equilibrium Prices and Market Microstructure Noise. SSRN Electronic Journal.

15.

Lee, Suzanne S. & Per A. Mykland. (2008). Jumps in Equilibrium Prices and Market Microstructure Noise. SSRN Electronic Journal. 18 indexed citations

16.

Lee, Suzanne S. & Jan Hannig. (2008). Detecting Jumps from Levy Jump Diffusion Processes. SSRN Electronic Journal. 6 indexed citations

17.

Lee, Suzanne S. & Per A. Mykland. (2007). Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics. Review of Financial Studies. 21(6). 2535–2563. 607 indexed citations breakdown →

18.

Lee, Suzanne S. & Per A. Mykland. (2006). Jumps in Real-Time Financial Markets: A New Nonparametric Test and Jump Dynamics. SSRN Electronic Journal. 18 indexed citations

19.

Lee, Suzanne S. & Per A. Mykland. (2005). Jumps in Financial Markets: A New Nonparametric Test and Jump Clustering. SSRN Electronic Journal. 6 indexed citations

Rankless uses publication and citation data sourced from OpenAlex, an open and comprehensive bibliographic database. While OpenAlex provides broad and valuable coverage of the global research landscape, it—like all bibliographic datasets—has inherent limitations. These include incomplete records, variations in author disambiguation, differences in journal indexing, and delays in data updates. As a result, some metrics and network relationships displayed in Rankless may not fully capture the entirety of a scholar's output or impact.

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