Professor, Department of Economics, SKKU (Sungkyunkwan University)




·         “Time Series Properties of ARCH Processes with Persistent Covariates,” with Joon Y. Park, Journal of Econometrics, 146 (2008), 275-292.

·          “Non-stationary Non-parametric Volatility Model,” with Shen Zhang, The Econometrics Journal, 15 (2012), 204-225.
·         “ARCH/GARCH with Persistent Covariate: Asymptotic Theory of MLE,” with Joon Y. Park, Journal of Econometrics, 167 (2012), 95-112.
·         “Comparison of Realized Measure and Implied Volatility in Forecasting Volatility,”  with Myung D. Park, Journal of Forecasting, 32 (2013), 522-533.

·        GARCH with Omitted Persistent Covariate," with Joon Y. Park, Economics Letters, 124 (2014), 248-254.  

·         Asymptotic Theory of the QMLE for GARCH-X Models with Stationary and Non-stationary Covariates”, with Dennis Kristensen, Journal of Business & Economic Statistics, 32 (2014), 416-429. 

·        Semiparametric ARCH-X Model for Leverage Effect and Long Memory in Stock Return Volatility,” with Shen Zhang, Journal of Economic Theory and Econometrics, 25 (2014), 81-100.
·        Asymptotic Properties of GARCH-X Processes,” Journal of Financial Econometrics, 13 (2015), 188-221.
·         A Multiplicative Error Model with Heterogeneous Components for Forecasting Realized Volatility,” with Myung D. Park and Shen Zhang, Journal of Forecasting, 34 (2015), 209-219

·         The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series”, with Oliver Linton, Tatsushi Oka and Yoon-Jae Whang, Journal of Econometrics, 193 (2016), 251-270. 

·        Measuringthe Systemic Risk in Korean Banking Sector and Evaluating the Usefulness ofFinancial Supervisory Regulations,” with Seong Bok Lee (in Korean), The Korean Journal of Studies in Financial Supervision, 4-2 (2017), 31-60

·         Modeling the Dynamics between Stock Price and Dividend: An Endogenous Regime Switching Approach”, with Na Kyeong Lee, Korean Economic Review, 34 (2018), 213-235

·         Carry Trades and Endogenous Regime Switches in Exchange Rate Volatility", with Dooyeon Cho and Na Kyeong Lee, Journal of International Financial Markets, Institutions & Money, 58 (2019), 255-268.

·         Quantile Dependence between Stock Markets and Its Application in Volatility Forecasting", Journal of Economic Theory and Econometrics, 30 (2019), 96-142.

·         Distributional Relationship between the Korean and the U.S. Stock Markets Analyzed by a Functional Regression Approach", with Gyung Mo Kim (in Korean), The Korean Journal of Economic Studies, 67 (2019), 5-38.

·         World Distribution of Income for 1970-2010: Dramatic Improvement in World Income Inequality during the 2000s", 2019, with Soondong Hong and Chang Sik Kim, Empirical Economics, forthcoming.

·         A Triple Regime Stochastic Volatility Model with Threshold and Leverage Effects", 2020, with Eunhee Lee, Korean Economic Review, forthcoming.

 Working Papers and Work in Progress

·         “Semiparametric Multiplicative GARCH-X Model: Adopting Economic Variables to Explain Volatility”, 2015, with Dennis Kristensen.

·         “The Tail Behavior of Safe Haven Currencies: A Cross-Quantilogram Analysis", 2018, with Dooyeon Cho.  

      ·         Estimation and Inference of Quantile Impulse Response Function by Local Projections: With Applications to VaR Dynamics", 2019, with Whayoung Jung and Ji Hyung Lee.