Copyright ©POSTECH IDS. All rights reserved.
Faculty
Shin, Minseok
RESEARCH AREA
ㅃBig Data Analysis, Financial Econometrics, High-dimensional Statistics, Risk Management, High-frequency FinanceKey Publications and Projects
- J. Lim and M. Song, “A framework for understanding event abstraction problem solving: Current states of event abstraction studies,” Data & Knowledge Engineering, vol. 154, p. 102352, 2024. doi: 10.1016/j.datak.2024.102352.
- 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"