3 papers
econ.EM2025
Low-Rank Structured Nonparametric Prediction of Instantaneous Volatility
Sung Hoon Choi, Donggyu Kim
Based on Itô semimartingale models, several studies have proposed methods for forecasting intraday volatility using high-frequency financial data. These approaches typically rely…
econ.EM2025
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…
econ.EM2025
Large Volatility Matrix Prediction using Tensor Factor Structure
Sung Hoon Choi, Donggyu Kim
Several approaches for predicting large volatility matrices have been developed based on high-dimensional factor-based Itô processes. These methods often impose restrictions to re…