2 citations · 4 across the 8 of their papers we have counts for
8 papers
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…
Dynamic Realized Minimum Variance Portfolio Models
Donggyu Kim, Minseog Oh
This paper introduces a dynamic minimum variance portfolio (MVP) model using nonlinear volatility dynamic models, based on high-frequency financial data. Specifically, we impose an…
Robust Realized Integrated Beta Estimator with Application to Dynamic Analysis of Integrated Beta
Minseog Oh, Donggyu Kim, Yazhen Wang
In this paper, we develop a robust non-parametric realized integrated beta estimator using high-frequency financial data contaminated by microstructure noises, which is robust to t…
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…
Factor Overnight GARCH-Itô Models
Donggyu Kim, Minseog Oh, Xinyu Song +1
This paper introduces a unified factor overnight GARCH-Itô model for large volatility matrix estimation and prediction. To account for whole-day market dynamics, the proposed model…
High-Dimensional Time-Varying Coefficient Estimation in Diffusion Models
Donggyu Kim, Minseog Oh, Minseok Shin
In this paper, we develop a novel high-dimensional time-varying coefficient estimation method, based on high-dimensional Itô diffusion processes. To account for high-dimensional ti…
Effect of the U.S.--China Trade War on Stock Markets: A Financial Contagion Perspective
Minseog Oh, Donggyu Kim
In this paper, we investigate the effect of the U.S.--China trade war on stock markets from a financial contagion perspective, based on high-frequency financial data. Specifically,…
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…