Donggyu Kim

College of Business, Korea Advanced Institute of Science and Technology (KAIST)

85 Hoegiro Dongdaemun-Gu

Seoul 02455

Korea, Republic of (South Korea)

SCHOLARLY PAPERS

3

DOWNLOADS

503

SSRN CITATIONS

4

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

Factor GARCH-ITO Models for High-Frequency Data with Application to Large Volatility Matrix Prediction

Number of pages: 41 Posted: 13 Dec 2017
Donggyu Kim and Jianqing Fan
College of Business, Korea Advanced Institute of Science and Technology (KAIST) and Princeton University - Bendheim Center for Finance
Downloads 194 (157,607)
Citation 2

Abstract:

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Factor model, GARCH, low-rank, POET, quasi-maximum likelihood estimator, sparsity

2.

Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model

Number of pages: 42 Posted: 13 Dec 2017
Jianqing Fan and Donggyu Kim
Princeton University - Bendheim Center for Finance and College of Business, Korea Advanced Institute of Science and Technology (KAIST)
Downloads 174 (173,765)
Citation 2

Abstract:

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Concentration inequality; Huber loss; low-rank matrix; pre-averaging; spasrity

3.

Structured Volatility Matrix Estimation for Non-Synchronized High-Frequency Financial Data

Number of pages: 35 Posted: 13 Dec 2017
Jianqing Fan and Donggyu Kim
Princeton University - Bendheim Center for Finance and College of Business, Korea Advanced Institute of Science and Technology (KAIST)
Downloads 135 (214,770)

Abstract:

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Diffusion process, factor model, high-frequency data, low-rank matrix, matrix completion, POET, sparsity