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Showing results 8 to 13 of 13

8
State Heterogeneity Analysis of Financial Volatility using high-frequency Financial Data

Chun, Dohyun; Kim, Donggyu, JOURNAL OF TIME SERIES ANALYSIS, v.43, no.1, pp.105 - 124, 2022-01

9
Statistical Inference for Unified Garch-Ito Models with High-Frequency Financial Data

Kim, Donggyu, JOURNAL OF TIME SERIES ANALYSIS, v.37, no.4, pp.513 - 532, 2016-07

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
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

12
옵션시장에서 GARCH계열 모형들의 성과 비교에 관한 연구

강장구; 류두진, 한국증권학회지, v.38, no.2, pp.137 - 176, 2009-06

13
확률적 변동성 모형을 이용한 원화 환율 변동성 추정

천도현; 김지훈; 김병천, 통계연구, v.22, no.3, pp.68 - 99, 2017

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