Results 1-7 of 7 (Search time: 0.007 seconds).
NO | Title, Author(s) (Publication Title, Volume Issue, Page, Issue Date) |
---|---|
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 | |
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 | |
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 | |
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 | |
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 | |
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 | |
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 |
Discover