Position: Associate Professor, Department of Economics, SKKU (Sungkyunkwan University)

 
 
 
 

 

Publications
 

·         “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

·         "Adopting Economic and Financial Variables to Explain Stock Market Volatility in Korea", 2016, with Seunghee Lee (in Korean), The Korean Journal of Economic Studies, forthcoming.


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

 
 Working Papers and Work in Progress
  

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


·         A Triple Regime Stochastic Volatility Model with Threshold and Leverage Effects", 2016, with Eunhee Lee and Chang Sik Kim.


  


·         “World Income Inequality and Effect of Top Income Share: 1970-2010", 2016, with Soondong Hong and Chang Sik Kim.