Donggyu Kim : Citation Profile

University of California-Riverside

6

H index

3

i10 index

89

Citations

RESEARCH PRODUCTION:

22

Articles

10

Papers

RESEARCH ACTIVITY:

   10 years (2014 - 2024). See details.
   Cites by year: 8
   Journals where Donggyu Kim has often published
   Relations with other researchers
   Recent citing documents: 16.    Total self citations: 21 (19.09 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pki680
   Updated: 2025-04-19    RAS profile: 2024-10-23    
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Relations with other researchers

Works with:

Jung, Kwangmin (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Donggyu Kim.

Is cited by:

Fan, Jianqing (14)

ausloos, marcel (3)

Barigozzi, Matteo (2)

Li, Feng (1)

Zhu, Ke (1)

Veraart, Almut (1)

Xiu, Dacheng (1)

Scaillet, Olivier (1)

Ossola, Elisa (1)

Cites to:

Fan, Jianqing (90)

Bollerslev, Tim (62)

Xiu, Dacheng (61)

Shephard, Neil (58)

Hansen, Peter (45)

Andersen, Torben (42)

Ait-Sahalia, Yacine (41)

Engle, Robert (35)

Diebold, Francis (26)

Lunde, Asger (26)

Podolskij, Mark (25)

Main data

Production by document typepaperarticle201420152016201720182019202020212022202320240510Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published20142015201620172018201920202021202220232024010203040Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received201820192020202120222023202420250204060Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year2016201720182019202020212022202320240102030Citations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 6Most cited documents1234567801020Number of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution20241220250120250220250320250402.557.5h-index Highcharts.comExport to raster or vector imagePrint the chart

Where Donggyu Kim has published?

Journals with more than one article published# docs
Journal of Econometrics7
Journal of Time Series Analysis4
Journal of Multivariate Analysis2
Journal of Business & Economic Statistics2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org10

Recent works citing Donggyu Kim (2025 and 2024)

Year  ↓Title of citing document  ↓
2024Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models. (2023). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2303.11777.

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2024Asymptotic equivalence of Principal Component and Quasi Maximum Likelihood estimators in Large Approximate Factor Models. (2023). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2307.09864.

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2024Cubic-based Prediction Approach for Large Volatility Matrix using High-Frequency Financial Data. (2024). Choi, Sung Hoon ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2412.04293.

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2024Property of Inverse Covariance Matrix-based Financial Adjacency Matrix for Detecting Local Groups. (2024). Kim, Donggyu ; Oh, Minseog. In: Papers. RePEc:arx:papers:2412.05664.

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2024.

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2024.

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2024Power enhancement for testing multi-factor asset pricing models via Fisher’s method. (2024). Xue, Lingzhou ; Yao, Jiawei ; Yu, Xiufan. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407623001525.

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2024Factor and Idiosyncratic VAR-Ito Volatility Models for Heavy-Tailed High-Frequency Financial Data. (2024). Fan, Jianqing ; Kim, Donggyu ; Shin, Minseok ; Wang, Yazhen. In: Working Papers. RePEc:ucr:wpaper:202415.

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2024High-Dimensional Time-Varying Coefficient Estimation. (2024). Kim, Donggyu. In: Working Papers. RePEc:ucr:wpaper:202416.

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2024Robust High-Dimensional Time-Varying Coefficient Estimation. (2024). Shin, Minseok ; Kim, Donggyu. In: Working Papers. RePEc:ucr:wpaper:202417.

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2024Nonconvex High-Dimensional Time-Varying Coefficient Estimation for Noisy High-Frequency Observations with a Factor Structure. (2024). Shin, Minseok ; Kim, Donggyu. In: Working Papers. RePEc:ucr:wpaper:202418.

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2024Adaptive Robust Large Volatility Matrix Estimation Based on High-Frequency Financial Data. (2024). Fan, Jianqing ; Shin, Minseok ; Kim, Donggyu. In: Working Papers. RePEc:ucr:wpaper:202419.

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2024Property of Inverse Covariance Matrix-based Financial Adjacency Matrix for Detecting Local Groups. (2024). Oh, Minseog ; Kim, Donggyu. In: Working Papers. RePEc:ucr:wpaper:202420.

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2024Dynamic Realized Minimum Variance Portfolio Models. (2024). Oh, Minseog ; Kim, Donggyu. In: Working Papers. RePEc:ucr:wpaper:202421.

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2024Robust Realized Integrated Beta Estimator with Application to Dynamic Analysis of Integrated Beta. (2024). Oh, Minseog ; Kim, Donggyu ; Wang, Yazhen. In: Working Papers. RePEc:ucr:wpaper:202422.

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2024Large Global Volatility Matrix Analysis Based on Observation Structural Information. (2024). Choi, Sung Hoon ; Kim, Donggyu. In: Working Papers. RePEc:ucr:wpaper:202424.

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Works by Donggyu Kim:

Year  ↓Title  ↓Type  ↓Cited  ↓
2020Unified Discrete-Time Factor Stochastic Volatility and Continuous-Time Ito Models for Combining Inference Based on Low-Frequency and High-Frequency In: Papers.
[Full Text][Citation analysis]		paper2
2022Unified discrete-time factor stochastic volatility and continuous-time Itô models for combining inference based on low-frequency and high-frequency.(2022) In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		article
2022Next Generation Models for Portfolio Risk Management: An Approach Using Financial Big Data In: Papers.
[Full Text][Citation analysis]		paper2
2022Next generation models for portfolio risk management: An approach using financial big data.(2022) In: Journal of Risk & Insurance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		article
2021State Heterogeneity Analysis of Financial Volatility Using High-Frequency Financial Data In: Papers.
[Full Text][Citation analysis]		paper2
2022State Heterogeneity Analysis of Financial Volatility using high‐frequency Financial Data.(2022) In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		article
2022Overnight GARCH-It\^o Volatility Models In: Papers.
[Full Text][Citation analysis]		paper0
2023Overnight GARCH-Itô Volatility Models.(2023) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
2021Exponential GARCH-Ito Volatility Models In: Papers.
[Full Text][Citation analysis]		paper0
2021Effect of the U.S.--China Trade War on Stock Markets: A Financial Contagion Perspective In: Papers.
[Full Text][Citation analysis]		paper1
2024Effect of the U.S.–China Trade War on Stock Markets: A Financial Contagion Perspective.(2024) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		article
2022Large Volatility Matrix Analysis Using Global and National Factor Models In: Papers.
[Full Text][Citation analysis]		paper2
2023Large volatility matrix analysis using global and national factor models.(2023) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		article
2024Large Global Volatility Matrix Analysis Based on Observation Structural Information In: Papers.
[Full Text][Citation analysis]		paper0
2023Dynamic Realized Minimum Variance Portfolio Models In: Papers.
[Full Text][Citation analysis]		paper0
2024Dynamic Realized Minimum Variance Portfolio Models.(2024) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
2024Matrix-based Prediction Approach for Intraday Instantaneous Volatility Vector In: Papers.
[Full Text][Citation analysis]		paper0
2016Statistical Inference for Unified Garch–Itô Models with High-Frequency Financial Data In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article2
2022Conditional quantile analysis for realized GARCH models In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article0
2023Volatility models for stylized facts of high‐frequency financial data In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article0
2016Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data In: Journal of Econometrics.
[Full Text][Citation analysis]		article10
2018Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data In: Journal of Econometrics.
[Full Text][Citation analysis]		article6
2019Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction In: Journal of Econometrics.
[Full Text][Citation analysis]		article15
2019Structured volatility matrix estimation for non-synchronized high-frequency financial data In: Journal of Econometrics.
[Full Text][Citation analysis]		article7
2021Volatility analysis with realized GARCH-Itô models In: Journal of Econometrics.
[Full Text][Citation analysis]		article8
2023Adaptive robust large volatility matrix estimation based on high-frequency financial data In: Journal of Econometrics.
[Full Text][Citation analysis]		article4
2016Sparse PCA-based on high-dimensional Itô processes with measurement errors In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]		article2
2017Hypothesis tests for large density matrices of quantum systems based on Pauli measurements In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]		article0
2016Asymptotic theory for large volatility matrix estimation based on high-frequency financial data In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]		article9
2014Adaptive linear step-up multiple testing procedure with the bias-reduced estimator In: Statistics & Probability Letters.
[Full Text][Citation analysis]		article0
2016Jump Variation Estimation with Noisy High Frequency Financial Data via Wavelets In: Econometrics.
[Full Text][Citation analysis]		article4
2018Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article13

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