3 papers
econ.EM2024
Property of Inverse Covariance Matrix-based Financial Adjacency Matrix for Detecting Local Groups
Minseog Oh, Donggyu Kim
In financial applications, we often observe both global and local factors that are modeled by a multi-level factor model. When detecting unknown local group memberships under such…
stat.ME2022
Dynamic Realized Beta Models Using Robust Realized Integrated Beta Estimator
Donggyu Kim, Minseog Oh, Minjeong Song +1
This paper introduces a unified parametric modeling approach for time-varying market betas that can accommodate continuous-time diffusion and discrete-time series models based on a…
stat.ME2021
Conditional Quantile Analysis for Realized GARCH Models
Donggyu Kim, Minseog Oh, Yazhen Wang
This paper introduces a novel quantile approach to harness the high-frequency information and improve the daily conditional quantile estimation. Specifically, we model the conditio…