(*: corresponding author)
Minseok Shin and Donggyu Kim (2025+).
Robust High-Dimensional Time-Varying Coefficient Estimation.
Forthcoming in Econometric Theory. Manuscript
Minseok Shin, Donggyu Kim, Yazhen Wang, and Jianqing Fan (2025).
Factor and Idiosyncratic VAR Volatility Matrix Models for Heavy-Tailed High-Frequency Financial Observations.
Journal of Econometrics, 252, 106129. Manuscript
Minseok Shin, Donggyu Kim, and Jianqing Fan (2023).
Adaptive Robust Large Volatility Matrix Estimation Based on High-Frequency Financial Data.
Journal of Econometrics, 237, 105514. Manuscript
Donggyu Kim, *Minseok Shin, and Yazhen Wang (2023).
Overnight GARCH-Itô Volatility Models.
Journal of Business & Economic Statistics, 41, 1215–1227. Manuscript
Donggyu Kim and *Minseok Shin (2023).
Volatility Models for Stylized Facts of High-Frequency Financial Data.
Journal of Time Series Analysis, 44, 262-279. Manuscript
Minseok Shin and Donggyu Kim.
Nonconvex High-Dimensional Time-Varying Coefficient Estimation for Noisy High-Frequency Observations with a Factor Structure.
Donggyu Kim, Minseog Oh, and Minseok Shin.
High-Dimensional Time-Varying Coefficient Estimation in Diffusion Models.