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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 |
High-frequency financial big data analysis = 고빈도 금융 빅데이터 분석link Shin, Minseok; 신민석; et al, 한국과학기술원, 2024 |
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 |
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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