2 citations · 4 across the 8 of their papers we have counts for
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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.ME2022
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…
stat.ME2022★ 2 cited
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…