Details about Donggyu Kim

Access statistics for papers by Donggyu Kim.

Last updated 2026-10-04. Update your information in the RePEc Author Service.

Short-id: pki680

Working Papers

2025

1. Large Volatility Matrix Prediction using Tensor Factor Structure
   Papers, arXiv.org
   Also in Working Papers, University of California at Riverside, Department of Economics (2025)
2. Low-Rank Structured Nonparametric Prediction of Instantaneous Volatility
   Working Papers, University of California at Riverside, Department of Economics
   Also in Papers, arXiv.org (2025)
3. Matrix-based Prediction Approach for Intraday Instantaneous Volatility Vector
   Papers, arXiv.org
   Also in Working Papers, University of California at Riverside, Department of Economics (2024)
   See also Journal Article Matrix-based Prediction Approach for Intraday Instantaneous Volatility Vector, Journal of Business & Economic Statistics, Taylor & Francis Journals (2026) (2026)
4. Robust Reinforcement Learning under Diffusion Models for Data with Jumps
   Working Papers, University of California at Riverside, Department of Economics

2024

5. Adaptive Robust Large Volatility Matrix Estimation Based on High-Frequency Financial Data
   Working Papers, University of California at Riverside, Department of Economics
   See also Journal Article Adaptive robust large volatility matrix estimation based on high-frequency financial data, Journal of Econometrics, Elsevier (2023) View citations (8) (2023)
6. Dynamic Realized Minimum Variance Portfolio Models
   Working Papers, University of California at Riverside, Department of Economics View citations (1)
   Also in Papers, arXiv.org (2023)
   See also Journal Article Dynamic Realized Minimum Variance Portfolio Models, Journal of Business & Economic Statistics, Taylor & Francis Journals (2024) View citations (1) (2024)
7. Factor and Idiosyncratic VAR-Ito Volatility Models for Heavy-Tailed High-Frequency Financial Data
   Working Papers, University of California at Riverside, Department of Economics
8. High-Dimensional Time-Varying Coefficient Estimation
   Working Papers, University of California at Riverside, Department of Economics View citations (2)
9. Large Global Volatility Matrix Analysis Based on Observation Structural Information
   Working Papers, University of California at Riverside, Department of Economics
   Also in Papers, arXiv.org (2024)
   See also Journal Article LARGE GLOBAL VOLATILITY MATRIX ANALYSIS BASED ON OBSERVATION STRUCTURAL INFORMATION, Econometric Theory, Cambridge University Press (2025) View citations (1) (2025)
10. Nonconvex High-Dimensional Time-Varying Coefficient Estimation for Noisy High-Frequency Observations with a Factor Structure
    Working Papers, University of California at Riverside, Department of Economics View citations (1)
11. Property of Inverse Covariance Matrix-based Financial Adjacency Matrix for Detecting Local Groups
    Working Papers, University of California at Riverside, Department of Economics
    Also in Papers, arXiv.org (2024)
12. Robust High-Dimensional Time-Varying Coefficient Estimation
    Working Papers, University of California at Riverside, Department of Economics
13. Robust Realized Integrated Beta Estimator with Application to Dynamic Analysis of Integrated Beta
    Working Papers, University of California at Riverside, Department of Economics View citations (3)
    See also Journal Article Robust realized integrated beta estimator with application to dynamic analysis of integrated beta, Journal of Econometrics, Elsevier (2026) (2026)

2022

14. 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 (4) (2023)
15. 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)
16. 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

17. 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) View citations (4) (2024)
18. Exponential GARCH-Ito Volatility Models
    Papers, arXiv.org
19. 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 (4) (2022)

2020

20. 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 (3) (2022)

Journal Articles

2026

1. High-dimensional time-varying coefficient estimation in diffusion models
   Econometric Reviews, 2026, 45, (5), 660-680
2. Matrix-based Prediction Approach for Intraday Instantaneous Volatility Vector
   Journal of Business & Economic Statistics, 2026, 44, (1), 372-382
   See also Working Paper Matrix-based Prediction Approach for Intraday Instantaneous Volatility Vector, Papers (2025) (2025)
3. Matrix-based factor analysis on the prediction of insurance claims probability
   ASTIN Bulletin, 2026, 56, (3), _4
4. Robust realized integrated beta estimator with application to dynamic analysis of integrated beta
   Journal of Econometrics, 2026, 254, (PA)
   See also Working Paper Robust Realized Integrated Beta Estimator with Application to Dynamic Analysis of Integrated Beta, Working Papers (2024) View citations (3) (2024)

2025

5. Factor and idiosyncratic VAR volatility matrix models for heavy-tailed high-frequency financial observations
   Journal of Econometrics, 2025, 252, (PA)
6. LARGE GLOBAL VOLATILITY MATRIX ANALYSIS BASED ON OBSERVATION STRUCTURAL INFORMATION
   Econometric Theory, 2025, 41, (6), 1452-1467 View citations (1)
   See also Working Paper Large Global Volatility Matrix Analysis Based on Observation Structural Information, Working Papers (2024) (2024)

2024

7. Dynamic Realized Minimum Variance Portfolio Models
   Journal of Business & Economic Statistics, 2024, 42, (4), 1238-1249 View citations (1)
   See also Working Paper Dynamic Realized Minimum Variance Portfolio Models, Working Papers (2024) View citations (1) (2024)
8. EXPONENTIAL REALIZED GARCH-ITÔ VOLATILITY MODELS
   Econometric Theory, 2024, 40, (4), 790-826
9. Effect of the U.S.–China Trade War on Stock Markets: A Financial Contagion Perspective
   Journal of Financial Econometrics, 2024, 22, (4), 954-1005 View citations (4)
   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)
10. Factor Overnight GARCH-Itô Models
    Journal of Financial Econometrics, 2024, 22, (5), 1209-1235 View citations (2)

2023

11. Adaptive robust large volatility matrix estimation based on high-frequency financial data
    Journal of Econometrics, 2023, 237, (1) View citations (8)
    See also Working Paper Adaptive Robust Large Volatility Matrix Estimation Based on High-Frequency Financial Data, Working Papers (2024) (2024)
12. Large volatility matrix analysis using global and national factor models
    Journal of Econometrics, 2023, 235, (2), 1917-1933 View citations (4)
    See also Working Paper Large Volatility Matrix Analysis Using Global and National Factor Models, Papers (2022) (2022)
13. 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)
14. Volatility models for stylized facts of high‐frequency financial data
    Journal of Time Series Analysis, 2023, 44, (3), 262-279

2022

15. Conditional quantile analysis for realized GARCH models
    Journal of Time Series Analysis, 2022, 43, (4), 640-665
16. 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)
17. State Heterogeneity Analysis of Financial Volatility using high‐frequency Financial Data
    Journal of Time Series Analysis, 2022, 43, (1), 105-124 View citations (4)
    See also Working Paper State Heterogeneity Analysis of Financial Volatility Using High-Frequency Financial Data, Papers (2021) View citations (1) (2021)
18. 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 (3)
    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

19. Volatility analysis with realized GARCH-Itô models
    Journal of Econometrics, 2021, 222, (1), 393-410 View citations (17)

2019

20. 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 (35)
21. Structured volatility matrix estimation for non-synchronized high-frequency financial data
    Journal of Econometrics, 2019, 209, (1), 61-78 View citations (12)

2018

22. Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data
    Journal of Econometrics, 2018, 203, (1), 69-79 View citations (12)
23. Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model
    Journal of the American Statistical Association, 2018, 113, (523), 1268-1283 View citations (38)

2017

24. 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

25. 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 (30)
26. Jump Variation Estimation with Noisy High Frequency Financial Data via Wavelets
    Econometrics, 2016, 4, (3), 1-26 View citations (11)
27. Sparse PCA-based on high-dimensional Itô processes with measurement errors
    Journal of Multivariate Analysis, 2016, 152, (C), 172-189 View citations (6)
28. 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)
29. 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 (22)

2014

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