Donggyu Kim
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Affiliations
-
University of California-Riverside
/ Department of Economics
Research profile
author of:
- Unified Discrete-Time Factor Stochastic Volatility and Continuous-Time Ito Models for Combining Inference Based on Low-Frequency and High-Frequency (RePEc:arx:papers:2006.12039)
by Donggyu Kim & Xinyu Song & Yazhen Wang - Next Generation Models for Portfolio Risk Management: An Approach Using Financial Big Data (RePEc:arx:papers:2102.12783)
by Kwangmin Jung & Donggyu Kim & Seunghyeon Yu - State Heterogeneity Analysis of Financial Volatility Using High-Frequency Financial Data (RePEc:arx:papers:2102.13404)
by Dohyun Chun & Donggyu Kim - Overnight GARCH-It\^o Volatility Models (RePEc:arx:papers:2102.13467)
by Donggyu Kim & Minseok Shin & Yazhen Wang - Exponential GARCH-Ito Volatility Models (RePEc:arx:papers:2111.04267)
by Donggyu Kim - Effect of the U.S.--China Trade War on Stock Markets: A Financial Contagion Perspective (RePEc:arx:papers:2111.09655)
by Minseog Oh & Donggyu Kim - Large Volatility Matrix Analysis Using Global and National Factor Models (RePEc:arx:papers:2208.12323)
by Sung Hoon Choi & Donggyu Kim - Large Global Volatility Matrix Analysis Based on Observation Structural Information (RePEc:arx:papers:2305.01464)
by Sung Hoon Choi & Donggyu Kim - Dynamic Realized Minimum Variance Portfolio Models (RePEc:arx:papers:2310.13511)
by Donggyu Kim & Minseog Oh - Matrix-based Prediction Approach for Intraday Instantaneous Volatility Vector (RePEc:arx:papers:2403.02591)
by Sung Hoon Choi & Donggyu Kim - Next generation models for portfolio risk management: An approach using financial big data (RePEc:bla:jrinsu:v:89:y:2022:i:3:p:765-787)
by Kwangmin Jung & Donggyu Kim & Seunghyeon Yu - Statistical Inference for Unified Garch–Itô Models with High-Frequency Financial Data (RePEc:bla:jtsera:v:37:y:2016:i:4:p:513-532)
by Donggyu Kim - State Heterogeneity Analysis of Financial Volatility using high‐frequency Financial Data (RePEc:bla:jtsera:v:43:y:2022:i:1:p:105-124)
by Dohyun Chun & Donggyu Kim - Conditional quantile analysis for realized GARCH models (RePEc:bla:jtsera:v:43:y:2022:i:4:p:640-665)
by Donggyu Kim & Minseog Oh & Yazhen Wang - Volatility models for stylized facts of high‐frequency financial data (RePEc:bla:jtsera:v:44:y:2023:i:3:p:262-279)
by Donggyu Kim & Minseok Shin - Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data (RePEc:eee:econom:v:194:y:2016:i:2:p:220-230)
by Kim, Donggyu & Wang, Yazhen - Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data (RePEc:eee:econom:v:203:y:2018:i:1:p:69-79)
by Kim, Donggyu & Kong, Xin-Bing & Li, Cui-Xia & Wang, Yazhen - Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction (RePEc:eee:econom:v:208:y:2019:i:2:p:395-417)
by Kim, Donggyu & Fan, Jianqing - Structured volatility matrix estimation for non-synchronized high-frequency financial data (RePEc:eee:econom:v:209:y:2019:i:1:p:61-78)
by Fan, Jianqing & Kim, Donggyu - Volatility analysis with realized GARCH-Itô models (RePEc:eee:econom:v:222:y:2021:i:1:p:393-410)
by Song, Xinyu & Kim, Donggyu & Yuan, Huiling & Cui, Xiangyu & Lu, Zhiping & Zhou, Yong & Wang, Yazhen - Large volatility matrix analysis using global and national factor models (RePEc:eee:econom:v:235:y:2023:i:2:p:1917-1933)
by Choi, Sung Hoon & Kim, Donggyu - Adaptive robust large volatility matrix estimation based on high-frequency financial data (RePEc:eee:econom:v:237:y:2023:i:1:s0304407623002300)
by Shin, Minseok & Kim, Donggyu & Fan, Jianqing - Sparse PCA-based on high-dimensional Itô processes with measurement errors (RePEc:eee:jmvana:v:152:y:2016:i:c:p:172-189)
by Kim, Donggyu & Wang, Yazhen - Unified discrete-time factor stochastic volatility and continuous-time Itô models for combining inference based on low-frequency and high-frequency (RePEc:eee:jmvana:v:192:y:2022:i:c:s0047259x22000860)
by Kim, Donggyu & Song, Xinyu & Wang, Yazhen - Hypothesis tests for large density matrices of quantum systems based on Pauli measurements (RePEc:eee:phsmap:v:469:y:2017:i:c:p:31-51)
by Kim, Donggyu & Wang, Yazhen - Asymptotic theory for large volatility matrix estimation based on high-frequency financial data (RePEc:eee:spapps:v:126:y:2016:i:11:p:3527-3577)
by Kim, Donggyu & Wang, Yazhen & Zou, Jian - Adaptive linear step-up multiple testing procedure with the bias-reduced estimator (RePEc:eee:stapro:v:87:y:2014:i:c:p:31-39)
by Kim, Donggyu & Zhang, Chunming - Jump Variation Estimation with Noisy High Frequency Financial Data via Wavelets (RePEc:gam:jecnmx:v:4:y:2016:i:3:p:34-:d:76033)
by Xin Zhang & Donggyu Kim & Yazhen Wang - Effect of the U.S.–China Trade War on Stock Markets: A Financial Contagion Perspective (RePEc:oup:jfinec:v:22:y:2024:i:4:p:954-1005.)
by Minseog Oh & Donggyu Kim - Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model (RePEc:taf:jnlasa:v:113:y:2018:i:523:p:1268-1283)
by Jianqing Fan & Donggyu Kim - Overnight GARCH-Itô Volatility Models (RePEc:taf:jnlbes:v:41:y:2023:i:4:p:1215-1227)
by Donggyu Kim & Minseok Shin & Yazhen Wang - Dynamic Realized Minimum Variance Portfolio Models (RePEc:taf:jnlbes:v:42:y:2024:i:4:p:1238-1249)
by Donggyu Kim & Minseog Oh