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Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance

Asai, Manabu; McAleer, Michael - In: Journal of econometrics 189 (2015) 2, pp. 251-262

Persistent link: https://www.econbiz.de/10011504522

Volatility analysis with realized GARCH-Itô models

Song, Xinyu; Kim, Donggyu; Yuan, Huiling; Cui, Xiangyu; … - In: Journal of econometrics 222 (2021) 1,2, pp. 393-410

Persistent link: https://www.econbiz.de/10012619433

Jump variation estimation with noisy high frequency financial data via wavelets

Zhang, Xin; Kim, Donggyu; Wang, Yazhen - In: Econometrics : open access journal 4 (2016) 3, pp. 1-26

This paper develops a method to improve the estimation of jump variation using high frequency data with the existence … of market microstructure noises. Accurate estimation of jump variation is in high demand, as it is an important component … of volatility in finance for portfolio allocation, derivative pricing and risk management. The method has a two …

Persistent link: https://www.econbiz.de/10011568279

Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data

Kim, Donggyu; Wang, Yazhen - In: Journal of econometrics 194 (2016) 2, pp. 220-230

Persistent link: https://www.econbiz.de/10011705111

Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data

Kim, Donggyu; Kong, Xin-Bing; Li, Cui-Xia; Wang, Yazhen - In: Journal of econometrics 203 (2018) 1, pp. 69-79

Persistent link: https://www.econbiz.de/10011974617