Donggyu Kim

发表

Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model

Jianqing Fan, Donggyu Kim, 2017, Journal of the American Statistical Association.

Optimal large-scale quantum state tomography with Pauli measurements

Harrison H. Zhou, T. Cai, Yazhen Wang, 2016, 1603.07559.

Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model

Jianqing Fan, Donggyu Kim, 2017 .

Hypothesis tests for large density matrices of quantum systems based on Pauli measurements

Yazhen Wang, Donggyu Kim, 2017 .

Unified discrete-time factor stochastic volatility and continuous-time Itô models for combining inference based on low-frequency and high-frequency

Yazhen Wang, Xinyu Song, Donggyu Kim, 2020, J. Multivar. Anal..

Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction

Jianqing Fan, Donggyu Kim, 2019, Journal of Econometrics.

Factor GARCH-ITO Models for High-Frequency Data with Application to Large Volatility Matrix Prediction

Jianqing Fan, Donggyu Kim, 2017 .

Statistical Inference for Unified Garch–Itô Models with High‐Frequency Financial Data

Donggyu Kim, 2016 .

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

Donggyu Kim, Yazhen Wang, Jian Zou, 2016 .

Volatility models for stylized facts of high‐frequency financial data

Donggyu Kim, Minseok Shin, 2022, Journal of Time Series Analysis.

Overnight Garch-It\^O Volatility Models

Yazhen Wang, Donggyu Kim, Minseok Shin, 2021, SSRN Electronic Journal.

Conditional quantile analysis for realized GARCH models

Yazhen Wang, Donggyu Kim, Min-Gweon Oh, 2021, Journal of Time Series Analysis.

Large Volatility Matrix Analysis Using Global and National Factor Models

Donggyu Kim, Sungchun Choi, 2022, SSRN Electronic Journal.

Overnight GARCH-Itô Volatility Models

Yazhen Wang, Donggyu Kim, Minseok Shin, 2022, Journal of Business & Economic Statistics.

R&D Employee Training, the Stock of Technological Knowledge, and R&D productivity

Donggyu Kim, Chang‐Yang Lee, 2020, SSRN Electronic Journal.

EXPONENTIAL REALIZED GARCH-ITÔ VOLATILITY MODELS

Donggyu Kim, 2022, Econometric Theory.

Large Volatility Matrix Analysis Using Global and National Factor Models

Donggyu Kim, Sungchun Choi, 2022, SSRN Electronic Journal.

Large Global Volatility Matrix Analysis Based on Structural Information

Donggyu Kim, Sungchun Choi, 2023, SSRN Electronic Journal.

Jump Variation Estimation with Noisy High Frequency Financial Data via Wavelets

Yazhen Wang, Donggyu Kim, Xin Zhang, 2016 .

State Heterogeneity Analysis of Financial Volatility using high‐frequency Financial Data

Donggyu Kim, Dohyun Chun, 2021, Journal of Time Series Analysis.

State Heterogeneity Analysis of Financial Volatility Using High-Frequency Financial Data

Donggyu Kim, Dohyun Chun, Donggyu Kim, 2021, 2102.13404.

Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data

Yazhen Wang, Donggyu Kim, Yazhen Wang, 2016 .

Statistical Analysis of Quantum Annealing

Xinyu Song, Donggyu Kim, Yazhen Wang, 2021, Statistica Sinica.

Adaptive Robust Large Volatility Matrix Estimation Based on High-Frequency Financial Data

Jianqing Fan, Donggyu Kim, Minseok Shin, 2021, SSRN Electronic Journal.

Large volatility matrix estimation with factor-based diffusion model for high-frequency financial data

Donggyu Kim, Yi Liu, Yazhen Wang, 2018, Bernoulli.

Optimal Sparse Eigenspace and Low-Rank Density Matrix Estimation for Quantum Systems.

Xinyu Song, Donggyu Kim, Yazhen Wang, 2021, Journal of statistical planning and inference.

Factor and Idiosyncratic VAR-Ito Volatility Models for Heavy-Tailed High-Frequency Financial Data

Jianqing Fan, Yazhen Wang, Donggyu Kim, 2021, SSRN Electronic Journal.

Next generation models for portfolio risk management: An approach using financial big data

Donggyu Kim, Kwangmin Jung, Seung-Oh Yu, 2021, Journal of Risk and Insurance.

Volatility analysis with realized GARCH-Itô models

Yazhen Wang, Xinyu Song, Donggyu Kim, 2019, 1907.01175.

Structured Volatility Matrix Estimation for Non-Synchronized High-Frequency Financial Data

Donggyu Kim, Jianqing Fan, Jianqing Fan, 2017, Journal of Econometrics.

Factor Overnight GARCH-Itˆo Models

Yazhen Wang, Donggyu Kim, Xinyu Song, 2022, SSRN Electronic Journal.

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

Cui-Xia Li, Donggyu Kim, Yazhen Wang, 2017 .

Sparse PCA-based on high-dimensional Itô processes with measurement errors

Donggyu Kim, Yazhen Wang, Yazhen Wang, 2016, J. Multivar. Anal..

Multivariate Overnight GARCH-Ito Model with Applications in Large Volatility Matrix Estimation and Prediction

Yazhen Wang, Donggyu Kim, Xinyu Song, 2022, SSRN Electronic Journal.

Adaptive thresholding for iterative matrix completion with heterogeneous missing probability: H-AdaptiveImpute

Hyunjoong Kim, Donggyu Kim, Solji Han, 2023, Communications in Statistics - Simulation and Computation.

Incorporating Financial Big Data in Small Portfolio Risk Analysis: Market Risk Management Approach

Donggyu Kim, Seunghyeon Yu, Donggyu Kim, 2021, SSRN Electronic Journal.

Intelligent Initialization and Adaptive Thresholding for Iterative Matrix Completion: Some Statistical and Algorithmic Theory for Adaptive-Impute

Donggyu Kim, Karl Rohe, Juhee Cho, 2016, Journal of Computational and Graphical Statistics.

Asymptotic Theory for Estimating the Singular Vectors and Values of a Partially-observed Low Rank Matrix with Noise

Donggyu Kim, Karl Rohe, Juhee Cho, 2015, 1508.05431.

Effect of the U.S.–China Trade War on Stock Markets: A Financial Contagion Perspective

Donggyu Kim, Minseog Oh, Donggyu Kim, 2021, SSRN Electronic Journal.