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NO | Title, Author(s) (Publication Title, Volume Issue, Page, Issue Date) |
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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 | |
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 | |
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 | |
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 |
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