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.
· “경제/금융 변수를 이용한 한국 주식시장의 변동성 분석 및 예측 (Adopting Economic and Financial Variables to Explain Stock Market Volatility in Korea)", with Seunghee Lee, The Korean Journal of Economic Studies, 64(2) (2016), 67-95.
· “내생적 국면 전환을 이용한 실현 변동성 모형 (An Endogenous Regime Switching Model for Realized Volatility) ", with Sejung Kim, Journal of Economic Theory and Econometrics, 27(4) (2016), 73-97.
· “국내 은행부문의 시스템리스크 측정 및 자기자본규제의 유용성 평가 (Measuring the Systemic Risk in Korean Banking Sector and Evaluating the Usefulness of Financial Supervisory Regulations),” with Seong Bok Lee, The Korean Journal of Studies in Financial Supervision (금융감독연구), 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.
· “함수적 회귀 모형을 이용한 한국과 미국 주식시장의 횡단면 분포 간의 관계 분석 (Distributional Relationship between the Korean and the U.S. Stock Markets Analyzed by a Functional Regression Approach)", with Gyung Mo Kim, The Korean Journal of Economic Studies, 67 (2019), 5-38.
· “내생적 국면전환을 이용한 GARCH 모형 (Additive Endogenous Regime Switching GARCH Model) ", with Hyunjin Yang, Chang Sik Kim, Journal of Economic Theory and Econometrics, 30(2) (2019), 20-54.
· “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.
· “Exploring House Price Momentum in the U.S. after the Subprime Mortgage Crisis", 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.
· “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, 국제경제연구 (Kukje Kyungje Yongu), 30(2), 21-56. 2024 국제경제학술상 수상 논문
· “머신러닝을 이용한 한국 주식시장 변동성 예측: Multi-Input LSTM 모형의 적용 (Forecasting of the Korean Stock Market Volatility Index Using a Modified Multi-Input LSTM Model) ", 2024, 김겨레 공저, 금융연구 (Journal of Money & Finance), 38(3), 1-28. 2025 금융연구 우수논문상 수상 논문
· “서울 아파트 시장 모형 분석: 시차 가변 계수 공적분 모형과 내생적 국면전환을 반영한 오차수정모형의 적용 (Modeling the Seoul Apartment Market: Application of the Time-Varying Coefficient Cointegration Model and the Error Correction Model with Endogenous Regime Switching)", 2025, with 최한수, Pinshan Pan, 한국경제포럼, 18(1), 1-25.
· “머신러닝과 오버샘플링(oversampling)을 이용한 상장기업 부도예측 연구 (Bankruptcy Prediction for Listed Companies in Korea Using Machine Learning and Oversampling Methods)", with 노시현, Journal of Economic Theory and Econometrics, 36(2) (2025), 59-82.
· “체감경기와 실물경기 간 괴리 측정 및 분석 (Measuring and Analyzing the Gap Between Perceived and Real Economic Conditions)", 2025, with 손윤석, 경제분석, 32(1) (2026), 53-79.
· “고차원 설명변수를 활용한 월별 산업활동동향 디플레이터 나우캐스팅 (Nowcasting monthly industrial activity deflators using high-dimensional predictors)", 2026, with 김겨레, 김지현, 한예린, Journal of Economic Theory and Econometrics, 37(1) (2026), 37-74.
· “The cross-quantilogram: Measuring quantile dependence and testing directional predictability across time series and cross-sectional data ", with Pinshan Pan and Gyure Kim, The Stata Journal, 26(2) (2026), 244-273.