Working Papers
“Closed-Form Transition Density Expansions for Multivariate Time-inhomogeneous Jump Diffusions”
“Continuous Time Stochastic Volatility Models with Regime Shifts.” with Di Yuan
Selected Publications
“Regime-Switching Univariate Diffusion Models of the Short-Term Interest Rate,” Studies in Nonlinear Dynamics & Econometrics, (2009), Vol. 13: Iss. 1, Article 4.
“Closed-Form Likelihood Expansions for Multivariate Time-Inhomogeneous Diffusions,” Journal of Econometrics, (2013), 174(2), 45-65.
“Explicit Form of Approximate Transition Probability Density Functions of Diffusion Processes,” Journal of Econometrics, (2015), 187, 57-73.
“How Does Daylight Saving Time Affect Electricity Demand? An Answer Using Aggregate Data from a Natural Experiment in Western Australia,” with Alistair Pellen and Virginie Masson, Energy Economics, (2017), 66, 247-260.
"A model of Informal Favor Exchange on Networks," with Virginie Masson, Angus Moore, and Mandar Oak, Journal of Public Economic Theory, (2018), 20, 639-656.
“An Empirical Analysis on the U-Shape Hypothesis about the Relationship between Female Labor Force Participation and Economic Development in Korea,” with Hyunji Kim and Junho Bae, Korean Journal of Economics, (2021), 28 (1), 3-38. (in Korean)