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~isPartOf:"China economic review : an international journal"
~isPartOf:"Journal of econometrics"
~person:"Kim, Donggyu"
~subject:"ARCH model"
~subject:"Schätztheorie"
~subject:"United States"
~subject:"Volatility"
~subject:"Volatilität"
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ARCH model
Schätztheorie
United States
Volatility
Volatilität
Estimation
5
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5
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5
Time series analysis
5
Zeitreihenanalyse
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Kim, Donggyu
Todorov, Viktor
14
Bollerslev, Tim
11
Slottje, Daniel Jonathan
8
Tauchen, George Eugene
8
Gao, Jiti
6
Li, Jia
6
Linton, Oliver
6
Park, Joon Y.
6
Aït-Sahalia, Yacine
5
Baltagi, Badi H.
5
Cai, Zongwu
5
Francq, Christian
5
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5
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5
Zakoïan, Jean-Michel
5
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4
Diebold, Francis X.
4
Engle, Robert F.
4
Ghysels, Eric
4
Koop, Gary
4
Lee, Lung-fei
4
Lu, Xun
4
McAleer, Michael
4
Pesaran, M. Hashem
4
Sasaki, Yuya
4
Su, Liangjun
4
Wang, Fa
4
Xiu, Dacheng
4
Barigozzi, Matteo
3
Berndt, Ernst R.
3
Callaway, Brantly
3
Chen, Xiaohong
3
Fan, Yanqin
3
Heckman, James J.
3
Hsiao, Cheng
3
Jorgenson, Dale Weldeau
3
Kao, Chihwa
3
Klaauw, Wilbert van der
3
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3
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China economic review : an international journal
Journal of econometrics
KAIST College of Business Working Paper Series
2
KAIST College of Business Working Paper Series No
2
Econometrics : open access journal
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
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ECONIS (ZBW)
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1
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
Saved in:
2
Structured volatility matrix
estimation
for non-synchronized high-frequency financial data
Fan, Jianqing
;
Kim, Donggyu
- In:
Journal of econometrics
209
(
2019
)
1
,
pp. 61-78
Persistent link: https://www.econbiz.de/10012302521
Saved in:
3
Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction
Kim, Donggyu
;
Fan, Jianqing
- In:
Journal of econometrics
208
(
2019
)
2
,
pp. 395-417
Persistent link: https://www.econbiz.de/10012145042
Saved in:
4
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
Saved in:
5
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
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