6
H index
3
i10 index
88
Citations
Donggyu Kim : Citation Profile
University of California-Riverside | RESEARCH PRODUCTION: 30 Articles 26 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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12 years (2014 - 2026). 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 | 9 |
| Journal of Time Series Analysis | 4 |
| Journal of Business & Economic Statistics | 3 |
| Journal of Financial Econometrics | 2 |
| Econometric Theory | 2 |
| Journal of Multivariate Analysis | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Papers / arXiv.org | 13 |
| Working Papers / University of California at Riverside, Department of Economics | 13 |
Recent works citing Donggyu Kim (2026 and 2025)
| Year | Title of citing document |
|---|---|
| 2025 | Covariance Matrix Estimation for Positively Correlated Assets. (2025). Liu, Weilong. In: Papers. RePEc:arx:papers:2507.01545. Full description at Econpapers || Download paper |
| 2025 | Data Synchronization at High Frequencies. (2025). Kong, Xinbing ; Liu, Cheng ; Wu, Bin. In: Papers. RePEc:arx:papers:2507.12220. Full description at Econpapers || Download paper |
| 2026 | Spectral analysis of high-dimensional spot volatility matrix with applications. (2025). Liu, Qiang ; Zhou, Wang. In: Papers. RePEc:arx:papers:2511.02660. Full description at Econpapers || Download paper |
| 2026 | Post-Screening Portfolio Selection. (2026). Tanaka, Shinya ; Uematsu, Yoshimasa. In: Papers. RePEc:arx:papers:2604.17593. Full description at Econpapers || Download paper |
| 2026 | Split-Session Cluster GARCH for Overnight and Intraday Returns: The Role of Tail Heterogeneity. (2026). Hansen, Peter Reinhard ; Chen, Xinxian ; Tong, Chen. In: Papers. RePEc:arx:papers:2607.03669. Full description at Econpapers || Download paper |
| 2026 | Valuation Effects of US Semiconductor Restrictions on US Executives in Chinese Listed Companies. (2026). Wang, Kai ; Qi, Tong ; Liu, Jiaxin. In: China & World Economy. RePEc:bla:chinae:v:34:y:2026:i:2:p:110-141. Full description at Econpapers || Download paper |
| 2024 | High‐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. Full description at Econpapers || Download paper |
| 2024 | Statistical 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. Full description at Econpapers || Download paper |
| 2025 | High frequency factor analysis with partially observable factors. (2025). Lu, Wenqi ; Chen, Dachuan ; Xie, Siyu. In: Journal of Econometrics. RePEc:eee:econom:v:251:y:2025:i:c:s0304407625001125. Full description at Econpapers || Download paper |
| 2026 | Estimation of common factors for microstructure noise and efficient price in a high-frequency dual factor model. (2026). LINTON, OLIVER ; Chen, Jia. In: Journal of Econometrics. RePEc:eee:econom:v:254:y:2026:i:pa:s0304407623000131. Full description at Econpapers || Download paper |
| 2026 | High dimensional regression coefficient test with high frequency data. (2026). Mykland, Per A ; Feng, Long ; Zhang, Lan ; Chen, Dachuan. In: Journal of Econometrics. RePEc:eee:econom:v:254:y:2026:i:pa:s0304407624001581. Full description at Econpapers || Download paper |
| 2025 | Modeling 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. Full description at Econpapers || Download paper |
| 2026 | Spectral analysis of high-dimensional spot volatility matrix with applications. (2026). Liu, Zhi ; Zhou, Wang. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:214:y:2026:i:c:s0047259x26000436. Full description at Econpapers || Download paper |
| 2025 | Volatility 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. Full description at Econpapers || Download paper |
| 2025 | Higher-order co-moment contagion during Trump’s second presidential term: A trade policy uncertainty perspective. (2025). Demir, Ender ; Jalkh, Naji ; Bouri, Elie. In: Research in International Business and Finance. RePEc:eee:riibaf:v:79:y:2025:i:c:s0275531925002843. Full description at Econpapers || Download paper |
| 2026 | Regime-dependent causality between Chinese and U.S. equity markets: Evidence from Markov switching models. (2026). Marashdeh, Hazem ; Valadkhani, Abbas. In: Research in International Business and Finance. RePEc:eee:riibaf:v:83:y:2026:i:c:s0275531926000127. Full description at Econpapers || Download paper |
| 2025 | Semiparametric 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. Full description at Econpapers || Download paper |
| 2026 | Estimation of High-Dimensional Volatility Matrices with Dynamic Conditional Correlation-embedded Mixed Factor Structures. (2026). Matsuda, Yasumasa ; Dai, Runyu. In: DSSR Discussion Papers. RePEc:toh:dssraa:152. 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 | 1 |
| 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: 1 | 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 | 1 |
| 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: 1 | 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 | 5 |
| 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: 5 | article | |
| 2022 | Large Volatility Matrix Analysis Using Global and National Factor Models In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 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: 1 | article | |
| 2024 | Large Global Volatility Matrix Analysis Based on Observation Structural Information In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2025 | LARGE GLOBAL VOLATILITY MATRIX ANALYSIS BASED ON OBSERVATION STRUCTURAL INFORMATION.(2025) In: Econometric Theory. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2024 | Large Global Volatility Matrix Analysis Based on Observation Structural Information.(2024) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2023 | Dynamic Realized Minimum Variance Portfolio Models In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 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: 1 | article | |
| 2024 | Dynamic Realized Minimum Variance Portfolio Models.(2024) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2025 | Matrix-based Prediction Approach for Intraday Instantaneous Volatility Vector In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2026 | Matrix-based Prediction Approach for Intraday Instantaneous Volatility Vector.(2026) 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.(2024) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2025 | Large Volatility Matrix Prediction using Tensor Factor Structure In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2025 | Large Volatility Matrix Prediction using Tensor Factor Structure.(2025) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2024 | Property of Inverse Covariance Matrix-based Financial Adjacency Matrix for Detecting Local Groups In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2024 | Property of Inverse Covariance Matrix-based Financial Adjacency Matrix for Detecting Local Groups.(2024) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2025 | Low-Rank Structured Nonparametric Prediction of Instantaneous Volatility In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2025 | Low-Rank Structured Nonparametric Prediction of Instantaneous Volatility.(2025) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 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 |
| 2023 | Volatility models for stylized facts of high‐frequency financial data In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 0 |
| 2026 | Matrix-based factor analysis on the prediction of insurance claims probability In: ASTIN Bulletin. [Full Text][Citation analysis] | article | 0 |
| 2024 | EXPONENTIAL REALIZED GARCH-ITÔ VOLATILITY MODELS In: Econometric Theory. [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 | 8 |
| 2018 | Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data In: Journal of Econometrics. [Full Text][Citation analysis] | article | 6 |
| 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 | 14 |
| 2019 | Structured volatility matrix estimation for non-synchronized high-frequency financial data In: Journal of Econometrics. [Full Text][Citation analysis] | article | 6 |
| 2021 | Volatility analysis with realized GARCH-Itô models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 7 |
| 2023 | Adaptive robust large volatility matrix estimation based on high-frequency financial data In: Journal of Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2024 | Adaptive Robust Large Volatility Matrix Estimation Based on High-Frequency Financial Data.(2024) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2025 | Factor and idiosyncratic VAR volatility matrix models for heavy-tailed high-frequency financial observations In: Journal of Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2026 | Robust realized integrated beta estimator with application to dynamic analysis of integrated beta In: Journal of Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2024 | Robust Realized Integrated Beta Estimator with Application to Dynamic Analysis of Integrated Beta.(2024) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 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 | 13 |
| 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 | 3 |
| 2024 | Factor Overnight GARCH-Itô Models In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2026 | High-dimensional time-varying coefficient estimation in diffusion models In: Econometric Reviews. [Full Text][Citation analysis] | article | 0 |
| 2018 | Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 13 |
| 2024 | Factor and Idiosyncratic VAR-Ito Volatility Models for Heavy-Tailed High-Frequency Financial Data In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2024 | High-Dimensional Time-Varying Coefficient Estimation In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2024 | Robust High-Dimensional Time-Varying Coefficient Estimation In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2024 | Nonconvex High-Dimensional Time-Varying Coefficient Estimation for Noisy High-Frequency Observations with a Factor Structure In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2025 | Robust Reinforcement Learning under Diffusion Models for Data with Jumps In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 20 2026. Contact: CitEc Team