5
H index
0
i10 index
50
Citations
Donggyu Kim : Citation Profile
University of California-Riverside | RESEARCH PRODUCTION: 21 Articles 10 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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10 years (2014 - 2024). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Donggyu Kim. | Is cited by:
| Cites to:
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Main data
Where Donggyu Kim has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of Econometrics | 7 |
| Journal of Time Series Analysis | 3 |
| Journal of Multivariate Analysis | 2 |
| Journal of Business & Economic Statistics | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Papers / arXiv.org | 10 |
Recent works citing Donggyu Kim (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Portfolio Volatility Estimation Relative to Stock Market Cross-Sectional Intrinsic Entropy. (2023). Ausloos, Marcel ; Vinte, Claudiu. In: Papers. RePEc:arx:papers:2303.09330. Full description at Econpapers || Download paper |
| 2024 | Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models. (2023). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2303.11777. Full description at Econpapers || Download paper |
| 2024 | Asymptotic equivalence of Principal Component and Quasi Maximum Likelihood estimators in Large Approximate Factor Models. (2023). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2307.09864. Full description at Econpapers || Download paper |
| 2023 | Block-diagonal precision matrix regularization for ultra-high dimensional data. (2023). Pan, Jianxin ; Dai, Hongsheng ; Yang, Yihe. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:179:y:2023:i:c:s0167947322002109. Full description at Econpapers || Download paper |
| 2023 | Identifying latent factors based on high-frequency data. (2023). Zhang, Chuanhai ; Xu, Wen ; Sun, Yucheng. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:251-270. Full description at Econpapers || Download paper |
| 2023 | Community network auto-regression for high-dimensional time series. (2023). Zhu, Xuening ; Fan, Jianqing ; Chen, Elynn Y. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1239-1256. Full description at Econpapers || Download paper |
| 2024 | Power 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. Full description at Econpapers || Download paper |
| 2023 | Using, taming or avoiding the factor zoo? A double-shrinkage estimator for covariance matrices. (2023). Zhao, Zhao ; de Nard, Gianluca. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:23-35. Full description at Econpapers || Download paper |
| 2023 | Discovering the drivers of stock market volatility in a data-rich world. (2023). Ryu, Doojin ; Cho, Hoon ; Chun, Dohyun. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001561. Full description at Econpapers || Download paper |
| 2023 | Bayesian forecast combination using time-varying features. (2023). Li, Feng ; Kang, Yanfei. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1287-1302. Full description at Econpapers || Download paper |
| 2023 | Volatility analysis for the GARCH–Itô–Jumps model based on high-frequency and low-frequency financial data. (2023). Hao, Hong-Xia ; Lin, Jin-Guan ; Fu, Jin-Yu. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:4:p:1698-1712. Full description at Econpapers || Download paper |
| 2023 | Portfolio Volatility Estimation Relative to Stock Market Cross-Sectional Intrinsic Entropy. (2023). Ausloos, Marcel ; Vine, Claudiu. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:2:p:114-:d:1065425. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | Composite forecasting of vast-dimensional realized covariance matrices using factor state-space models. (2023). Hartkopf, Jan Patrick. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:1:d:10.1007_s00181-022-02245-1. Full description at Econpapers || Download paper |
| 2023 | Review of Statistical Approaches for Modeling High-Frequency Trading Data. (2023). Ravishanker, Nalini ; Basu, Sumanta ; Karpman, Kara ; Dutta, Chiranjit. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:85:y:2023:i:1:d:10.1007_s13571-022-00280-7. Full description at Econpapers || Download paper |
Works by Donggyu Kim:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2020 | Unified 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] | paper | 0 |
| 2022 | Unified 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: 0 | article | |
| 2022 | Next Generation Models for Portfolio Risk Management: An Approach Using Financial Big Data In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2022 | Next 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: 0 | article | |
| 2021 | State Heterogeneity Analysis of Financial Volatility Using High-Frequency Financial Data In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2022 | State 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: 0 | article | |
| 2022 | Overnight GARCH-It\^o Volatility Models In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Overnight GARCH-Itô Volatility Models.(2023) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2021 | Exponential GARCH-Ito Volatility Models In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2021 | Effect of the U.S.--China Trade War on Stock Markets: A Financial Contagion Perspective In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2024 | Effect 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 | |
| 2022 | Large Volatility Matrix Analysis Using Global and National Factor Models In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Large 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: 0 | article | |
| 2024 | Large Global Volatility Matrix Analysis Based on Observation Structural Information In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Dynamic Realized Minimum Variance Portfolio Models In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2024 | Dynamic 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 | |
| 2024 | Matrix-based Prediction Approach for Intraday Instantaneous Volatility Vector In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2016 | Statistical Inference for Unified Garch–Itô Models with High-Frequency Financial Data In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 2 |
| 2022 | Conditional quantile analysis for realized GARCH models In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 0 |
| 2016 | Unified 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] | article | 6 |
| 2018 | Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data In: Journal of Econometrics. [Full Text][Citation analysis] | article | 3 |
| 2019 | Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction In: Journal of Econometrics. [Full Text][Citation analysis] | article | 9 |
| 2019 | Structured volatility matrix estimation for non-synchronized high-frequency financial data In: Journal of Econometrics. [Full Text][Citation analysis] | article | 5 |
| 2021 | Volatility analysis with realized GARCH-Itô models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 4 |
| 2023 | Adaptive robust large volatility matrix estimation based on high-frequency financial data In: Journal of Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2016 | Sparse PCA-based on high-dimensional Itô processes with measurement errors In: Journal of Multivariate Analysis. [Full Text][Citation analysis] | article | 1 |
| 2017 | Hypothesis tests for large density matrices of quantum systems based on Pauli measurements In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 0 |
| 2016 | Asymptotic theory for large volatility matrix estimation based on high-frequency financial data In: Stochastic Processes and their Applications. [Full Text][Citation analysis] | article | 9 |
| 2014 | Adaptive linear step-up multiple testing procedure with the bias-reduced estimator In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 0 |
| 2016 | Jump Variation Estimation with Noisy High Frequency Financial Data via Wavelets In: Econometrics. [Full Text][Citation analysis] | article | 2 |
| 2018 | Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 8 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team