Narrow search
Showing 1 - 5 of 5
Cover Image
Overnight GARCH-Itô volatility models
Kim, Donggyu; Shin, Minseok; Wang, Yazhen - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 4, pp. 1215-1227
Persistent link: https://www.econbiz.de/10014448607
Cover Image
Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data
Kim, Donggyu; Wang, Yazhen - In: Journal of econometrics 194 (2016) 2, pp. 220-230
Persistent link: https://www.econbiz.de/10011705111
Cover Image
Volatility analysis with realized GARCH-Itô models
Song, Xinyu; Kim, Donggyu; Yuan, Huiling; Cui, Xiangyu; … - In: Journal of econometrics 222 (2021) 1,2, pp. 393-410
Persistent link: https://www.econbiz.de/10012619433
Cover Image
Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction
Kim, Donggyu; Fan, Jianqing - In: Journal of econometrics 208 (2019) 2, pp. 395-417
Persistent link: https://www.econbiz.de/10012145042
Cover Image
Factor overnight GARCH-Itô models
Kim, Donggyu; Oh, Minseog; Song, Xinyu; Wang, Yazhen - 2024
Persistent link: https://www.econbiz.de/10015338787