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대표 연구
Kim, D., Oh, M., and Shin, M. (2026+) High-Dimensional Time-Varying Coefficient Estimation in Diffusion Models. To appear in Econometric Reviews.
Oh, M., Kim, D., and Wang, Y. (2024+) Robust Realized Integrated Beta Estimator with Application to Dynamic Analysis of Integrated Beta. To appear in Journal of Econometrics.
Kim, D. and Oh, M. (2024) Dynamic Realized Minimum Variance Portfolio Models. Journal of Business & Economic Statistics, 42, 1238-1249.
Kim, D., Oh, M., Song, X., and Wang, Y. (2024) Factor Overnight GARCH-Ito Models. Journal of Financial Econometrics, 22, 1209-1235.
Oh, M. and Kim, D. (2024). Effect of the U.S.–China Trade War on Stock Markets: A Financial Contagion Perspective. Journal of Financial Econometrics, 22, 954-1005.
Kim, D., Oh, M., and Wang, Y. (2022). Conditional Quantile Analysis for Realized GARCH Models. Journal of Time Series Analysis, 43, 640-665.
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