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Showing results 1 to 7 of 7

1
Adaptive Thresholding for Large Volatility Matrix Estimation Based on High-Frequency Financial Data

Kim, Donggyu; Kong, Xin-Bing; Li, Cui-Xia; Wnag, Yazhen, JOURNAL OF ECONOMETRICS, v.203, no.1, pp.69 - 79, 2018-03

2
Asymptotic theory for large volatility matrix estimation based on high-frequency financial data

Kim, Donggyu; Wang, Yazhen; Zou, Jian, STOCHASTIC PROCESSES AND THEIR APPLICATIONS, v.126, no.11, pp.3527 - 3577, 2016-11

3
Economic indicators and stock market volatility in an emerging economy

Chun, Dohyun; Cho, Hoon; Ryu, Doojin, ECONOMIC SYSTEMS, v.44, no.2, 2020-06

4
Informed Trading in the Options Market and Stock Return Predictability

Han, JoongHo; Kim, Da-Hea; 변석준, JOURNAL OF FUTURES MARKETS, v.37, no.11, pp.1053 - 1093, 2017-11

5
Large Volatility Matrix Estimation with Factor-Based Diffusion Model for High-Frequency Financial data

Kim, Donggyu; Liu, Yi; Wang, Yazhen, BERNOULLI, v.24, no.4B, pp.3657 - 3682, 2018-11

6
Statistical Inference for Unified Garch-Ito Models with High-Frequency Financial Data

Kim, Donggyu, JOURNAL OF TIME SERIES ANALYSIS, v.37, no.4, pp.513 - 532, 2016-07

7
The information content of risk-neutral skewness for volatility forecasting

Byun, Suk Joon; Kim, Jun Sik, JOURNAL OF EMPIRICAL FINANCE, v.23, pp.142 - 161, 2013-09

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