28 citations · 77 across the 25 of their papers we have counts for
4 papers · 1 filter
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…
Exponential GARCH-Ito Volatility Models
Donggyu Kim
This paper introduces a novel Ito diffusion process to model high-frequency financial data, which can accommodate low-frequency volatility dynamics by embedding the discrete-time n…