Professor, Department of Economics and Department of Quantitative Applied Economics, SKKU (Sungkyunkwan University, 성균관대학교)
Founding Head, Department of Quantitative Applied Economics (퀀트응용경제학과), 2019-2020
Publications (Google Scholar)
· “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.
· “Measuring the Systemic Risk in Korean Banking Sector and Evaluating the Usefulness of Financial 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", with Soondong Hong and Chang Sik Kim, Empirical Economics, 59 (2020), 765-798.
· “Triple Regime Stochastic Volatility Model with Threshold and Leverage Effects", with Eunhee Lee, Korean Economic Review, 36 (2020), 481-509.
· “The Tail Behavior of Safe Haven Currencies: A Cross-Quantilogram Analysis", with Dooyeon Cho, Journal of International Financial Markets, Institutions & Money, 70 (2021), 1-17.
· “Multi-Step-Ahead Forecasting of the CBOE Volatility Index in a Data-Rich Environment: Application of Random Forest with Boruta Algorithm", with Byung Yeon Kim, Korean Economic Review, 38 (2022), 541-569.
· "머신러닝 방법을 활용한 한국의 수출입 증가율 예측 및 분석 (Forecasting Exports and Imports of South Korea Using Machine Learning Methods)", 2022, 장나원 공저, 국제경제연구 (Kukje Kyungje Yongu), 28(4), 59-89.
· "랜덤 포레스트(Random Forest)의 시계열 적용에 관한 연구: 한국 물가상승률 예측 사례 분석 (Random Forest for Stationary Time Series: The Case of Forecasting Inflation in Korea)", 경제학연구 (The Korean Journal of Economic Studies), 71(3) (2023), 37-73.
· “Modeling House Price Dynamics and Macroeconomic Variables Affecting House Price Momentum", with Pinshan Pan, Journal of Economic Theory and Econometrics, 35 (2024), 1-28.
· “Estimation and Inference of Quantile Impulse Response Function by Local Projections: With Applications to VaR Dynamics", with Whayoung Jung and Ji Hyung Lee, Journal of Financial Econometrics, 22(1) (2024), 1-29.
Working Papers and Work in Progress
· “Semiparametric Multiplicative GARCH-X Model: Adopting Economic Variables to Explain Volatility”, 2015, with Jihyun Kim and Dennis Kristensen.
· “머신러닝 기법을 이용한 한국 인플레이션 예측: 시계열 지속성과 머신러닝 예측의 관계에 관한 사례 연구 (Forecasting Korean Inflation: A Case Study on Relationship between Time Series Persistence and Machine Learning Forecasting", 2024.
· “머신러닝을 이용한 한국 주식시장 변동성 예측: Multi-Input LSTM 모형의 적용 (A Multi-Input LSTM Model for Forecasting Volatility Index in Korea) ", 2024, with 김겨레