Donggyu Kim : Citation Profile

University of California-Riverside

7

H index

4

i10 index

106

Citations

RESEARCH PRODUCTION:

22

Articles

10

Papers

RESEARCH ACTIVITY:

   11 years (2014 - 2025). See details.
   Cites by year: 9
   Journals where Donggyu Kim has often published
   Relations with other researchers
   Recent citing documents: 24.    Total self citations: 22 (17.19 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pki680
   Updated: 2025-12-27    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 (16)

De Nard, Gianluca (3)

ausloos, marcel (3)

Barigozzi, Matteo (2)

Veraart, Almut (1)

Scaillet, Olivier (1)

Li, Feng (1)

Xiu, Dacheng (1)

Zhu, Ke (1)

Ossola, Elisa (1)

Cites to:

Fan, Jianqing (92)

Bollerslev, Tim (62)

Xiu, Dacheng (61)

Shephard, Neil (58)

Hansen, Peter (45)

Andersen, Torben (42)

Ait-Sahalia, Yacine (41)

Engle, Robert (35)

Podolskij, Mark (27)

Diebold, Francis (26)

Lunde, Asger (26)

Main data

Where Donggyu Kim has published?

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

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

Recent works citing Donggyu Kim (2025 and 2024)

YearTitle of citing document
2024Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models: A Critical Review. (2024). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2303.11777.

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

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2025Cubic-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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2025Covariance Matrix Estimation for Positively Correlated Assets. (2025). Liu, Weilong. In: Papers. RePEc:arx:papers:2507.01545.

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2025Data Synchronization at High Frequencies. (2025). Kong, Xinbing ; Liu, Cheng ; Wu, Bin. In: Papers. RePEc:arx:papers:2507.12220.

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2025Spectral analysis of high-dimensional spot volatility matrix with applications. (2025). Liu, Qiang ; Zhou, Wang. In: Papers. RePEc:arx:papers:2511.02660.

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2024High‐Frequency‐Based Volatility Model with Network Structure. (2024). Yuan, Huiling ; Wang, Junhui ; Li, Guodong ; Lu, Kexin. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:4:p:533-557.

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2024Statistical inference for GQARCH‐Itô‐jumps model based on the realized range volatility. (2024). Yu, Jin ; Liu, Guangying ; Hao, Hongxia ; Lin, Jin Guan. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:4:p:613-638.

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2024Network measurement and influence mechanism of dynamic risk contagion among global stock markets: Based on time-varying spillover index and complex network method. (2024). Ouyang, Haiqin ; Guan, Chao ; Yu, BO ; Lin, Binzhao. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001839.

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

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2025Modeling GDP with a continuous-time finance approach. (2025). Liu, Zhenya ; You, Rongyu ; Zhan, Yaosong. In: Finance Research Letters. RePEc:eee:finlet:v:76:y:2025:i:c:s1544612325002351.

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2025Volatility forecasting and volatility-timing strategies: A machine learning approach. (2025). Ryu, Doojin ; Cho, Hoon ; Chun, Dohyun. In: Research in International Business and Finance. RePEc:eee:riibaf:v:75:y:2025:i:c:s0275531924005166.

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2025Semiparametric Estimation and Application of Realized GARCH Model with Time-Varying Leverage Effect. (2025). Liu, Guangying ; Lin, Jinguan ; Mao, Yizhi ; Hao, Hongxia. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:9:p:1506-:d:1648583.

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2024Unveiling multiscale spatiotemporal dynamics of volatility in high-frequency financial markets. (2024). Chen, Tingting ; Peng, Wenyan ; Ouyang, Fangyan. In: PLOS ONE. RePEc:plo:pone00:0315308.

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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:

YearTitleTypeCited
2020Unified Discrete-Time Factor Stochastic Volatility and Continuous-Time Ito Models for Combining Inference Based on Low-Frequency and High-Frequency In: Papers.
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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.
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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.
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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.
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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.
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This paper has nother version. Agregated cites: 0		article
2021Exponential GARCH-Ito Volatility Models In: Papers.
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2021Effect of the U.S.--China Trade War on Stock Markets: A Financial Contagion Perspective In: Papers.
[Full Text][Citation analysis]		paper2
2024Effect of the U.S.–China Trade War on Stock Markets: A Financial Contagion Perspective.(2024) In: Journal of Financial Econometrics.
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This paper has nother version. Agregated cites: 2		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.
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This paper has nother version. Agregated cites: 0		article
2025Matrix-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]		article11
2018Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data In: Journal of Econometrics.
[Full Text][Citation analysis]		article7
2019Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction In: Journal of Econometrics.
[Full Text][Citation analysis]		article21
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]		article9
2023Adaptive robust large volatility matrix estimation based on high-frequency financial data In: Journal of Econometrics.
[Full Text][Citation analysis]		article5
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]		article13
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]		article5
2018Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article14

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