Access Statistics for Donggyu Kim

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Adaptive Robust Large Volatility Matrix Estimation Based on High-Frequency Financial Data 0 0 1 13 0 1 21 98
Dynamic Realized Minimum Variance Portfolio Models 0 0 0 3 1 2 18 21
Dynamic Realized Minimum Variance Portfolio Models 0 0 0 17 0 1 16 26
Effect of the U.S.--China Trade War on Stock Markets: A Financial Contagion Perspective 0 1 2 27 1 3 32 78
Exponential GARCH-Ito Volatility Models 0 0 0 41 0 1 13 40
Factor and Idiosyncratic VAR-Ito Volatility Models for Heavy-Tailed High-Frequency Financial Data 0 0 1 13 1 1 28 74
High-Dimensional Time-Varying Coefficient Estimation 0 0 0 15 0 2 11 61
Large Global Volatility Matrix Analysis Based on Observation Structural Information 0 0 0 9 0 1 20 31
Large Global Volatility Matrix Analysis Based on Observation Structural Information 0 0 0 15 1 2 14 28
Large Volatility Matrix Analysis Using Global and National Factor Models 0 0 0 12 0 1 6 16
Large Volatility Matrix Prediction using Tensor Factor Structure 0 0 0 6 0 1 8 14
Large Volatility Matrix Prediction using Tensor Factor Structure 0 0 0 2 0 0 9 17
Low-Rank Structured Nonparametric Prediction of Instantaneous Volatility 0 0 0 18 1 2 9 20
Low-Rank Structured Nonparametric Prediction of Instantaneous Volatility 0 0 0 0 1 1 6 7
Matrix-based Prediction Approach for Intraday Instantaneous Volatility Vector 0 0 0 11 0 0 12 44
Matrix-based Prediction Approach for Intraday Instantaneous Volatility Vector 0 0 0 8 0 1 9 16
Next Generation Models for Portfolio Risk Management: An Approach Using Financial Big Data 0 0 2 14 0 3 19 52
Nonconvex High-Dimensional Time-Varying Coefficient Estimation for Noisy High-Frequency Observations with a Factor Structure 0 0 0 35 0 0 15 23
Overnight GARCH-It\^o Volatility Models 0 0 0 25 2 4 11 31
Property of Inverse Covariance Matrix-based Financial Adjacency Matrix for Detecting Local Groups 0 0 0 9 0 0 13 28
Property of Inverse Covariance Matrix-based Financial Adjacency Matrix for Detecting Local Groups 0 0 0 1 0 1 10 20
Robust High-Dimensional Time-Varying Coefficient Estimation 0 0 1 14 0 2 20 62
Robust Realized Integrated Beta Estimator with Application to Dynamic Analysis of Integrated Beta 0 0 0 4 0 1 27 39
Robust Reinforcement Learning under Diffusion Models for Data with Jumps 0 0 0 0 1 1 7 7
State Heterogeneity Analysis of Financial Volatility Using High-Frequency Financial Data 0 0 0 27 0 1 9 32
Unified Discrete-Time Factor Stochastic Volatility and Continuous-Time Ito Models for Combining Inference Based on Low-Frequency and High-Frequency 0 0 0 13 1 3 17 48
Total Working Papers 0 1 7 352 10 36 380 933

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Adaptive linear step-up multiple testing procedure with the bias-reduced estimator 0 0 0 6 1 2 6 42
Adaptive robust large volatility matrix estimation based on high-frequency financial data 0 0 0 2 0 1 17 29
Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data 0 1 1 19 0 1 17 86
Asymptotic theory for large volatility matrix estimation based on high-frequency financial data 0 0 0 24 0 0 12 69
Conditional quantile analysis for realized GARCH models 0 0 1 3 1 1 9 21
Dynamic Realized Minimum Variance Portfolio Models 0 0 0 1 0 0 2 11
EXPONENTIAL REALIZED GARCH-ITÔ VOLATILITY MODELS 0 0 0 0 0 0 0 0
Effect of the U.S.–China Trade War on Stock Markets: A Financial Contagion Perspective 0 1 5 9 0 2 30 46
Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction 1 1 1 24 1 1 15 93
Factor Overnight GARCH-Itô Models 0 0 1 4 0 2 14 23
Factor and idiosyncratic VAR volatility matrix models for heavy-tailed high-frequency financial observations 0 0 1 1 2 2 14 14
High-dimensional time-varying coefficient estimation in diffusion models 0 0 1 1 0 1 3 3
Hypothesis tests for large density matrices of quantum systems based on Pauli measurements 0 0 0 2 0 1 7 20
Jump Variation Estimation with Noisy High Frequency Financial Data via Wavelets 0 0 0 4 0 1 5 61
LARGE GLOBAL VOLATILITY MATRIX ANALYSIS BASED ON OBSERVATION STRUCTURAL INFORMATION 0 0 0 0 0 0 0 0
Large volatility matrix analysis using global and national factor models 0 0 0 0 0 2 11 18
Matrix-based Prediction Approach for Intraday Instantaneous Volatility Vector 1 1 1 1 1 2 6 6
Matrix-based factor analysis on the prediction of insurance claims probability 0 0 0 0 0 0 0 0
Next generation models for portfolio risk management: An approach using financial big data 0 0 0 5 0 1 11 29
Overnight GARCH-Itô Volatility Models 0 0 1 1 0 0 10 15
Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model 0 0 0 8 1 3 14 49
Robust realized integrated beta estimator with application to dynamic analysis of integrated beta 0 0 1 1 0 1 4 4
Sparse PCA-based on high-dimensional Itô processes with measurement errors 0 0 0 28 0 0 17 106
State Heterogeneity Analysis of Financial Volatility using high‐frequency Financial Data 0 0 0 3 1 1 15 29
Statistical Inference for Unified Garch–Itô Models with High-Frequency Financial Data 0 0 0 6 0 0 12 37
Structured volatility matrix estimation for non-synchronized high-frequency financial data 0 0 0 3 0 0 20 66
Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data 1 2 4 23 2 6 35 147
Unified discrete-time factor stochastic volatility and continuous-time Itô models for combining inference based on low-frequency and high-frequency 0 0 0 0 1 2 9 14
Volatility analysis with realized GARCH-Itô models 0 1 3 25 1 2 17 94
Volatility models for stylized facts of high‐frequency financial data 0 0 0 7 0 1 21 36
Total Journal Articles 3 7 21 211 12 36 353 1,168

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Statistics updated 2026-10-11