Minseok Shin
Biographic Data
| ID | 8921560 |
|---|---|
| NAME | Minseok Shin |
| GIVEN NAMES | Minseok |
| FAMILY NAME | Shin |
| SIGNATURE | SHIN M |
| AFFILIATIONS | College of Business, Korea Advanced Institute of Science and Technology (KAIST), Seoul, Korea |
| VERIFIED | No |
| TOTAL WORKS | 1 |
| TOTAL CITATIONS | 0 |
| AUTHOR COUNT | 1 |
| EDITOR COUNT | 0 |
| FIRST PUBLICATION YEAR | 2023 |
| LATEST PUBLICATION YEAR | 2023 |
| H-INDEX | 0 |
Overnight GARCH-Itô Volatility Models
Various parametric volatility models for financial data have been developed to incorporate high-frequency realized volatilities and better capture market dynamics. However, because high-frequency trading data are not available during the close-to-open period, the volatility models often ignore volatility information over the close-to-open period and thus may suffer from loss of important information relevant to market dynamics. In this article, t…
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Overnight GARCH-Itô Volatility Models
Various parametric volatility models for financial data have been developed to incorporate high-frequency realized volatilities and better capture market dynamics. However, because high-frequency trading data are not available during the close-to-open period, the volatility models often ignore volatility information over the close-to-open period and thus may suffer from loss of important information relevant to market dynamics. In this article, t…
Autoregressive conditional heteroskedasticity (1 works) · Complex Systems and Time Series Analysis (1 works) · Econometrics (1 works) · Economics (1 works) · Financial Risk and Volatility Modeling (1 works) · Forward volatility (1 works) · Implied volatility (1 works) · Market Dynamics and Volatility (1 works) · Realized variance (1 works) · Stochastic volatility (1 works)