28 citations · 77 across the 25 of their papers we have counts for
4 papers · 1 filter
Dynamic Realized Minimum Variance Portfolio Models
Donggyu Kim, Minseog Oh
This paper introduces a dynamic minimum variance portfolio (MVP) model using nonlinear volatility dynamic models, based on high-frequency financial data. Specifically, we impose an…
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…
Robust High-Dimensional Time-Varying Coefficient Estimation
Minseok Shin, Donggyu Kim
In this paper, we develop a novel high-dimensional coefficient estimation procedure based on high-frequency data. Unlike usual high-dimensional regression procedures such as LASSO,…
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…