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Sparse PCA-based on high-dimensional Itô processes with measurement errors. (2016). Wang, Yazhen ; Kim, Donggyu.
In: Journal of Multivariate Analysis.
RePEc:eee:jmvana:v:152:y:2016:i:c:p:172-189.

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  1. Dynamic Realized Minimum Variance Portfolio Models. (2023). Oh, Minseog ; Kim, Donggyu.
    In: Papers.
    RePEc:arx:papers:2310.13511.

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  2. A 50-year personal journey through time with principal component analysis. (2022). Jolliffe, Ian.
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:188:y:2022:i:c:s0047259x21000981.

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  3. Structured volatility matrix estimation for non-synchronized high-frequency financial data. (2019). Kim, Donggyu ; Fan, Jianqing.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:209:y:2019:i:1:p:61-78.

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  4. Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction. (2019). Fan, Jianqing ; Kim, Donggyu.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:208:y:2019:i:2:p:395-417.

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  5. Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data. (2018). Kim, Donggyu ; Wang, Yazhen ; Li, Cui-Xia ; Kong, Xin-Bing.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:203:y:2018:i:1:p:69-79.

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  11. The Generalized Conditional Autoregressive Wishart Model for Multivariate Realized Volatility. (2017). , Philip ; Ng, F C ; Li, W K.
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