3 papers
stat.ME2026
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 t…
econ.EM2024
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…
stat.ME2024
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…