Jaeheon Jung

I am a graduate student at Rutgers University and expect to complete my Ph.D. in Economics in May of 2021.

During my lifetime, I aspire to make valuable contributions to the body of human knowledge. To give shape to this goal, I have decided to pursue a Ph.D. in Economics, which will enable me to expand human knowledge by pursuing research in econometrics.

My research explores estimating a covariance matrix of a high-dimensional data set with factor models. The estimation of a large covariance matrix is fundamental in multivariate analysis, which involves many applications across various scientific disciplines such as portfolio optimization and risk management, gene networks, and climate studies. It is generally recognized that one of the major challenges in large covariance estimation is the number of parameters grows quadratically in the dimension of a data set. To overcome the challenge, many researchers impose various structural assumptions and then use regularization techniques to estimate large covariance matrices accurately. My research is in line with those studies.