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Showing results 1 to 5 of 5

1
Adaptive Thresholding for Large Volatility Matrix Estimation Based on High-Frequency Financial Data

Kim, Donggyu; Kong, Xin-Bing; Li, Cui-Xia; Wnag, Yazhen, JOURNAL OF ECONOMETRICS, v.203, no.1, pp.69 - 79, 2018-03

2
Ex-post risk premia estimation and asset pricing tests using large cross sections: The regression-calibration approach

Kim, Soohun; Skoulakis, Georgios, JOURNAL OF ECONOMETRICS, v.204, no.2, pp.159 - 188, 2018-06

3
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

4
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

5
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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