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Kim, Donggyu (김동규)
부교수, (경영공학부)
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    NO Title, Author(s) (Publication Title, Volume Issue, Page, Issue Date)
    1
    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

    2
    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

    3
    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

    4
    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

    5
    기업의 기술 다각화와 연구개발 성과의 관계 연구: 국내 제조업 부문 중소기업과 중견ㆍ대기업비교 분석을 중심으로

    최민철; 김동규, 기술혁신학회지, v.26, no.1, pp.129 - 148, 2023-02

    6
    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

    7
    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

    8
    Conditional quantile analysis for realized GARCH models

    Kim, Donggyu; Oh, Minseog; Wang, Yazhen, JOURNAL OF TIME SERIES ANALYSIS, v.43, no.4, pp.640 - 665, 2022-07

    9
    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

    10
    Optimal sparse eigenspace and low-rank density matrix estimation for quantum systems

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

    11
    Volatility analysis with realized GARCH-Ito models

    Song, Xinyu; Kim, Donggyu; Yuan, Huiling; et al, JOURNAL OF ECONOMETRICS, v.222, no.1, pp.393 - 410, 2021-05

    12
    Intelligent Initialization and Adaptive Thresholding for Iterative Matrix Completion: Some Statistical and Algorithmic Theory for Adaptive-Impute

    Cho, Juhee; Kim, Donggyu; Rohe, Karl, JOURNAL OF COMPUTATIONAL AND GRAPHICAL STATISTICS, v.28, no.2, pp.323 - 333, 2019-04

    13
    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

    14
    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

    15
    Large Volatility Matrix Estimation with Factor-Based Diffusion Model for High-Frequency Financial data

    Kim, Donggyu; Liu, Yi; Wang, Yazhen, BERNOULLI, v.24, no.4B, pp.3657 - 3682, 2018-11

    16
    Adaptive Thresholding for Large Volatility Matrix Estimation Based on High-Frequency Financial Data

    Kim, Donggyu; Kong, Xin-Bing; Li, Cui-Xia; et al, JOURNAL OF ECONOMETRICS, v.203, no.1, pp.69 - 79, 2018-03

    17
    Asymptotic Theory for Estimating the Singular Vectors and Values of a Partially-observed Low Rank Matrix with Noise

    Cho, Juhee; Kim, Donggyu; Rohe, Karl, STATISTICA SINICA, v.27, no.4, pp.1921 - 1948, 2017-10

    18
    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

    19
    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

    20
    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

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