1 citations · 2 across the 4 of their papers we have counts for
4 papers
Matrix-based Prediction Approach for Intraday Instantaneous Volatility Vector
Sung Hoon Choi, Donggyu Kim
In this paper, we introduce a novel method for predicting intraday instantaneous volatility based on Ito semimartingale models using high-frequency financial data. Several studies…
Large Global Volatility Matrix Analysis Based on Observation Structural Information
Sung Hoon Choi, Donggyu Kim
In this paper, we develop a novel large volatility matrix estimation procedure for analyzing global financial markets. Practitioners often use lower-frequency data, such as weekly…
Large Volatility Matrix Analysis Using Global and National Factor Models
Sung Hoon Choi, Donggyu Kim
Several large volatility matrix inference procedures have been developed, based on the latent factor model. They often assumed that there are a few of common factors, which can acc…
Feasible Weighted Projected Principal Component Analysis for Factor Models with an Application to Bond Risk Premia
Sung Hoon Choi
I develop a feasible weighted projected principal component (FPPC) analysis for factor models in which observable characteristics partially explain the latent factors. This novel m…