156 citations · 523 across the 21 of their papers we have counts for
21 papers
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…
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…
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…
Overnight GARCH-Itô Volatility Models
Donggyu Kim, Minseok Shin, Yazhen Wang
Various parametric volatility models for financial data have been developed to incorporate high-frequency realized volatilities and better capture market dynamics. However, because…