Showing results 3 to 5 of 5
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 |
Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model Fan, Jianqing; Kim, Donggyu, JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, v.113, no.523, pp.1268 - 1283, 2018-11 |
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 |
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