10 citations · 18 across the 7 of their papers we have counts for
5 papers · 1 filter
Nonconvex High-Dimensional Time-Varying Coefficient Estimation for Noisy High-Frequency Observations with a Factor Structure
Minseok Shin, Donggyu Kim
In this paper, we propose a novel high-dimensional time-varying coefficient estimator for noisy high-frequency observations with a factor structure. In high-frequency finance, we o…
Robust High-Dimensional Time-Varying Coefficient Estimation
Minseok Shin, Donggyu Kim
In this paper, we develop a novel high-dimensional coefficient estimation procedure based on high-frequency data. Unlike usual high-dimensional regression procedures such as LASSO,…
Volatility Models for Stylized Facts of High-Frequency Financial Data
Donggyu Kim, Minseok Shin
This paper introduces novel volatility diffusion models to account for the stylized facts of high-frequency financial data such as volatility clustering, intra-day U-shape, and lev…
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…
Factor and Idiosyncratic VAR Volatility Matrix Models for Heavy-Tailed High-Frequency Financial Observations
Minseok Shin, Donggyu Kim, Yazhen Wang +1
This paper introduces a novel process for both factor and idiosyncratic volatility matrices whose eigenvalues follow the vector auto-regressive (VAR) model. We call it the factor a…