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Showing results 9 to 12 of 12

9
Sparse PCA-based on high-dimensional Ito processes with measurement errors

Kim, Donggyu; Wang, Yazhen, JOURNAL OF MULTIVARIATE ANALYSIS, v.152, pp.172 - 189, 2016-12

10
Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data

Kim, Donggyu; Wang, Yazhen, JOURNAL OF ECONOMETRICS, v.194, no.2, pp.220 - 230, 2016-10

11
Unified discrete-time factor stochastic volatility and continuous-time Ito models for combining inference based on low-frequency and high-frequency

Kim, Donggyu; Song, Xinyu; Wang, Yazhen, JOURNAL OF MULTIVARIATE ANALYSIS, v.192, 2022-11

12
Volatility analysis with realized GARCH-Ito models

Song, Xinyu; Kim, Donggyu; Yuan, Huiling; Cui, Xiangyu; Lu, Zhiping; Zhou, Yong; Wang, Yazhen, JOURNAL OF ECONOMETRICS, v.222, no.1, pp.393 - 410, 2021-05

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