28 citations · 77 across the 25 of their papers we have counts for
Showing q-fin.STShow all
2 papers · 1 filter
q-fin.ST2021
Effect of the U.S.--China Trade War on Stock Markets: A Financial Contagion Perspective
Minseog Oh, Donggyu Kim
In this paper, we investigate the effect of the U.S.--China trade war on stock markets from a financial contagion perspective, based on high-frequency financial data. Specifically,…
q-fin.ST2021★ 2 cited
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…