빅데이터 분석
신민석교수
전공분야
빅데이터 분석, 금융 계량경제학, 고차원 통계학, 위험 관리, 고빈도 금융대표 논문 및 프로젝트
- M Shin, D Kim, J Fan, "Adaptive Robust Large Volatility Matrix Estimation Based on High-Frequency Financial Data", Journal of Econometrics, vol. 237, AN. 105514, 2023. doi: 10.1016/j.jeconom.2023.105514
- D Kim, M Shin, Y Wang, "Overnight GARCH-Itô Volatility Models", Journal of Business & Economic Statistics, Vol. 41, p. 1215–1227, 2023. doi: 10.1080/07350015.2022.2116027
- D Kim, M Shin, "Volatility Models for Stylized Facts of High-Frequency Financial Data", Journal of Time Series Analysis, vol. 44, p. 262-279, 2023. doi: 10.1111/jtsa.12666
- M Shin, D Kim, "Nonconvex High-Dimensional Time-Varying Coefficient Estimation for Noisy High-Frequency Observations with a Factor Structure", p. 94, doi: 10.48550/arXiv.2401.02694
- M Shin, D Kimb, Y Wangc, J Fand, "Factor and Idiosyncratic VAR-Ito Volatility Matrix Models for Heavy-Tailed High-Frequency Financial Observations"