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Showing results 1 to 5 of 5

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
INFORMED TRADING IN THE INDEX OPTION MARKET: THE CASE OF KOSPI 200 OPTIONS

Ann, HJ (Ann, Hee-Joon); Kang, Jangkoo; Ryu, D (Ryu, Doojun), JOURNAL OF FUTURES MARKETS, v.28, pp.1118 - 1146, 2008-12

3
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

4
Parameter Space Restrictions in State Space Models

Jun, Duk-Bin; Kim, Dong-Soo; Park, Sung-Ho; Park, Myoung-Hwan, JOURNAL OF FORECASTING, v.31, no.2, pp.109 - 123, 2012-03

5
The information content of risk-neutral skewness for volatility forecasting

Byun, Suk Joon; Kim, Jun Sik, JOURNAL OF EMPIRICAL FINANCE, v.23, pp.142 - 161, 2013-09

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