no code implementations • 5 Mar 2024 • Sung Hoon Choi, Donggyu Kim
In this paper, we introduce a novel method for predicting intraday instantaneous volatility based on Ito semimartingale models using high-frequency financial data.
no code implementations • 2 May 2023 • Sung Hoon Choi, Donggyu Kim
In this paper, we develop a novel large volatility matrix estimation procedure for analyzing global financial markets.
no code implementations • 25 Aug 2022 • Sung Hoon Choi, Donggyu Kim
Several large volatility matrix inference procedures have been developed, based on the latent factor model.
no code implementations • 23 Aug 2021 • Sung Hoon Choi
By using the FPPC method, estimators of the factors and loadings have faster rates of convergence than those of the conventional factor analysis.