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Large Volatility Matrix Estimation with Factor-Based Diffusion Model for High-Frequency Financial data Kim, Donggyu; Liu, Yi; Wang, Yazhen, BERNOULLI, v.24, no.4B, pp.3657 - 3682, 2018-11 |
Next generation models for portfolio risk management: An approach using financial big data Jung, Kwangmin; Kim, Donggyu; Yu, Seunghyeon, JOURNAL OF RISK AND INSURANCE, v.89, no.3, pp.765 - 787, 2022-09 |
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