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Showing results 1 to 4 of 4

1
Adaptive robust large volatility matrix estimation based on high-frequency financial data

Shin, Minseok; Kim, Donggyu; Fan, Jianqing, JOURNAL OF ECONOMETRICS, v.237, no.1, 2023-11

2
IS VOLATILITY RISK PRICED IN THE KOSPI 200 INDEX OPTIONS MARKET?

Yoon, Sun-Joong; Byun, Suk Joon, JOURNAL OF FUTURES MARKETS, v.29, no.9, pp.797 - 825, 2009-09

3
Overnight GARCH-Ito Volatility Models

Kim, Donggyu; Shin, Minseok; Wang, Yazhen, JOURNAL OF BUSINESS & ECONOMIC STATISTICS, v.41, no.4, pp.1215 - 1227, 2023-10

4
Volatility models for stylized facts of high-frequency financial data

Kim, Donggyu; Shin, Minseok, JOURNAL OF TIME SERIES ANALYSIS, v.44, no.3, pp.262 - 279, 2023-05

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