28 citations · 77 across the 25 of their papers we have counts for
9 papers · 1 filter
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,…
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…
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…
State Heterogeneity Analysis of Financial Volatility Using High-Frequency Financial Data
Dohyun Chun, Donggyu Kim
Recently, to account for low-frequency market dynamics, several volatility models, employing high-frequency financial data, have been developed. However, in financial markets, we o…
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…
Next Generation Models for Portfolio Risk Management: An Approach Using Financial Big Data
Kwangmin Jung, Donggyu Kim, Seunghyeon Yu
This paper proposes a dynamic process of portfolio risk measurement to address potential information loss. The proposed model takes advantage of financial big data to incorporate o…
Adaptive Robust Large Volatility Matrix Estimation Based on High-Frequency Financial Data
Minseok Shin, Donggyu Kim, Jianqing Fan
Several novel statistical methods have been developed to estimate large integrated volatility matrices based on high-frequency financial data. To investigate their asymptotic behav…
Statistical Analysis of Quantum Annealing
Xinyu Song, Yazhen Wang, Shang Wu +1
Quantum computers use quantum resources to carry out computational tasks and may outperform classical computers in solving certain computational problems. Special-purpose quantum c…