Details about Donggyu Kim

Access statistics for papers by Donggyu Kim.

Last updated 2024-10-23. Update your information in the RePEc Author Service.

Short-id: pki680

Working Papers

2024

1. Large Global Volatility Matrix Analysis Based on Observation Structural Information
   Papers, arXiv.org
2. Matrix-based Prediction Approach for Intraday Instantaneous Volatility Vector
   Papers, arXiv.org

2023

3. Dynamic Realized Minimum Variance Portfolio Models
   Papers, arXiv.org
   See also Journal Article Dynamic Realized Minimum Variance Portfolio Models, Journal of Business & Economic Statistics, Taylor & Francis Journals (2024) (2024)

2022

4. Large Volatility Matrix Analysis Using Global and National Factor Models
   Papers, arXiv.org
   See also Journal Article Large volatility matrix analysis using global and national factor models, Journal of Econometrics, Elsevier (2023) View citations (3) (2023)
5. Next Generation Models for Portfolio Risk Management: An Approach Using Financial Big Data
   Papers, arXiv.org View citations (6)
   See also Journal Article Next generation models for portfolio risk management: An approach using financial big data, Journal of Risk & Insurance, The American Risk and Insurance Association (2022) View citations (6) (2022)
6. Overnight GARCH-It\^o Volatility Models
   Papers, arXiv.org
   See also Journal Article Overnight GARCH-Itô Volatility Models, Journal of Business & Economic Statistics, Taylor & Francis Journals (2023) (2023)

2021

7. Effect of the U.S.--China Trade War on Stock Markets: A Financial Contagion Perspective
   Papers, arXiv.org View citations (1)
   See also Journal Article Effect of the U.S.–China Trade War on Stock Markets: A Financial Contagion Perspective, Journal of Financial Econometrics, Oxford University Press (2024) (2024)
8. Exponential GARCH-Ito Volatility Models
   Papers, arXiv.org
9. State Heterogeneity Analysis of Financial Volatility Using High-Frequency Financial Data
   Papers, arXiv.org View citations (1)
   See also Journal Article State Heterogeneity Analysis of Financial Volatility using high‐frequency Financial Data, Journal of Time Series Analysis, Wiley Blackwell (2022) View citations (3) (2022)

2020

10. Unified Discrete-Time Factor Stochastic Volatility and Continuous-Time Ito Models for Combining Inference Based on Low-Frequency and High-Frequency
    Papers, arXiv.org View citations (1)
    See also Journal Article Unified discrete-time factor stochastic volatility and continuous-time Itô models for combining inference based on low-frequency and high-frequency, Journal of Multivariate Analysis, Elsevier (2022) View citations (2) (2022)

Journal Articles

2024

1. Dynamic Realized Minimum Variance Portfolio Models
   Journal of Business & Economic Statistics, 2024, 42, (4), 1238-1249
   See also Working Paper Dynamic Realized Minimum Variance Portfolio Models, Papers (2023) (2023)
2. Effect of the U.S.–China Trade War on Stock Markets: A Financial Contagion Perspective
   Journal of Financial Econometrics, 2024, 22, (4), 954-1005
   See also Working Paper Effect of the U.S.--China Trade War on Stock Markets: A Financial Contagion Perspective, Papers (2021) View citations (1) (2021)

2023

3. Adaptive robust large volatility matrix estimation based on high-frequency financial data
   Journal of Econometrics, 2023, 237, (1) View citations (5)
4. Large volatility matrix analysis using global and national factor models
   Journal of Econometrics, 2023, 235, (2), 1917-1933 View citations (3)
   See also Working Paper Large Volatility Matrix Analysis Using Global and National Factor Models, Papers (2022) (2022)
5. Overnight GARCH-Itô Volatility Models
   Journal of Business & Economic Statistics, 2023, 41, (4), 1215-1227
   See also Working Paper Overnight GARCH-It\^o Volatility Models, Papers (2022) (2022)
6. Volatility models for stylized facts of high‐frequency financial data
   Journal of Time Series Analysis, 2023, 44, (3), 262-279

2022

7. Conditional quantile analysis for realized GARCH models
   Journal of Time Series Analysis, 2022, 43, (4), 640-665
8. Next generation models for portfolio risk management: An approach using financial big data
   Journal of Risk & Insurance, 2022, 89, (3), 765-787 View citations (6)
   See also Working Paper Next Generation Models for Portfolio Risk Management: An Approach Using Financial Big Data, Papers (2022) View citations (6) (2022)
9. State Heterogeneity Analysis of Financial Volatility using high‐frequency Financial Data
   Journal of Time Series Analysis, 2022, 43, (1), 105-124 View citations (3)
   See also Working Paper State Heterogeneity Analysis of Financial Volatility Using High-Frequency Financial Data, Papers (2021) View citations (1) (2021)
10. Unified discrete-time factor stochastic volatility and continuous-time Itô models for combining inference based on low-frequency and high-frequency
    Journal of Multivariate Analysis, 2022, 192, (C) View citations (2)
    See also Working Paper Unified Discrete-Time Factor Stochastic Volatility and Continuous-Time Ito Models for Combining Inference Based on Low-Frequency and High-Frequency, Papers (2020) View citations (1) (2020)

2021

11. Volatility analysis with realized GARCH-Itô models
    Journal of Econometrics, 2021, 222, (1), 393-410 View citations (14)

2019

12. Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction
    Journal of Econometrics, 2019, 208, (2), 395-417 View citations (25)
13. Structured volatility matrix estimation for non-synchronized high-frequency financial data
    Journal of Econometrics, 2019, 209, (1), 61-78 View citations (10)

2018

14. Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data
    Journal of Econometrics, 2018, 203, (1), 69-79 View citations (9)
15. Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model
    Journal of the American Statistical Association, 2018, 113, (523), 1268-1283 View citations (27)

2017

16. Hypothesis tests for large density matrices of quantum systems based on Pauli measurements
    Physica A: Statistical Mechanics and its Applications, 2017, 469, (C), 31-51

2016

17. Asymptotic theory for large volatility matrix estimation based on high-frequency financial data
    Stochastic Processes and their Applications, 2016, 126, (11), 3527-3577 View citations (22)
18. Jump Variation Estimation with Noisy High Frequency Financial Data via Wavelets
    Econometrics, 2016, 4, (3), 1-26 View citations (9)
19. Sparse PCA-based on high-dimensional Itô processes with measurement errors
    Journal of Multivariate Analysis, 2016, 152, (C), 172-189 View citations (6)
20. Statistical Inference for Unified Garch–Itô Models with High-Frequency Financial Data
    Journal of Time Series Analysis, 2016, 37, (4), 513-532 View citations (4)
21. Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data
    Journal of Econometrics, 2016, 194, (2), 220-230 View citations (19)

2014

22. Adaptive linear step-up multiple testing procedure with the bias-reduced estimator
    Statistics & Probability Letters, 2014, 87, (C), 31-39