Browse "School of Management Engineering(경영공학부)" by Author Kim, Donggyu

Showing results 12 to 27 of 27

12
Jump variation estimation with noisy high frequency financial data via wavelets

Zhang, Xin; Kim, Donggyu; Wang, Yazhen, ECONOMETRICS, v.4, no.3, 2016-09

13
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

14
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

15
OPTIMAL LARGE-SCALE QUANTUM STATE TOMOGRAPHY WITH PAULI MEASUREMENTS

Cai, Tony; Kim, Donggyu; Wang, Yazhen; Yuan, Ming; Zhou, Harrison H., ANNALS OF STATISTICS, v.44, no.2, pp.682 - 712, 2016-04

16
Optimal sparse eigenspace and low-rank density matrix estimation for quantum systems

Cai, Tony; Kim, Donggyu; Song, Xinyu; Wang, Yazhen, JOURNAL OF STATISTICAL PLANNING AND INFERENCE, v.213, pp.50 - 71, 2021-07

17
Overnight GARCH-Ito Volatility Models

Kim, Donggyu; Shin, Minseok; Wang, Yazhen, JOURNAL OF BUSINESS & ECONOMIC STATISTICS, v.41, no.4, pp.1215 - 1227, 2023-10

18
R&D employee training, the stock of technological knowledge, and R&D productivity

Kim, Donggyu; Lee, Chang-Yang, R & D MANAGEMENT, v.52, no.5, pp.801 - 819, 2022-11

19
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

20
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

21
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

22
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

23
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

24
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

25
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

26
Volatility analysis with realized GARCH-Ito models

Song, Xinyu; Kim, Donggyu; Yuan, Huiling; Cui, Xiangyu; Lu, Zhiping; Zhou, Yong; Wang, Yazhen, JOURNAL OF ECONOMETRICS, v.222, no.1, pp.393 - 410, 2021-05

27
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

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