28 citations · 77 across the 25 of their papers we have counts for
4 papers · 1 filter
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…
Volatility Models for Stylized Facts of High-Frequency Financial Data
Donggyu Kim, Minseok Shin
This paper introduces novel volatility diffusion models to account for the stylized facts of high-frequency financial data such as volatility clustering, intra-day U-shape, and lev…
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…