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Showing results 1 to 7 of 7

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
Asymptotic theory for large volatility matrix estimation based on high-frequency financial data

Kim, Donggyu; Wang, Yazhen; Zou, Jian, STOCHASTIC PROCESSES AND THEIR APPLICATIONS, v.126, no.11, pp.3527 - 3577, 2016-11

3
Hypothesis tests for large density matrices of quantum systems based on Pauli measurements

Kim, Donggyu; Wang, Yazhen, PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, v.469, pp.31 - 51, 2017-03

4
Large volatility matrix analysis using global and national factor models

Choi, Sung Hoon; Kim, Donggyu, JOURNAL OF ECONOMETRICS, v.235, no.2, pp.1917 - 1933, 2023-08

5
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

6
Sparse PCA-based on high-dimensional Ito processes with measurement errors

Kim, Donggyu; Wang, Yazhen, JOURNAL OF MULTIVARIATE ANALYSIS, v.152, pp.172 - 189, 2016-12

7
Structured volatility matrix estimation for non-synchronized high-frequency financial data

Fan, Jianqing; Kim, Donggyu, JOURNAL OF ECONOMETRICS, v.209, no.1, pp.61 - 78, 2019-03

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