Research
Primary Research Interests: Time-series Econometrics, Applied Macroeconomics
Secondary Research Interests: Financial Economics, Monetary Economics, Energy Economics
Published Paper
“Fourier ADL Cointegration Test to Approximate Smooth Breaks with New Evidence from Crude Oil Market”, with Vladimir Arčabić and Hyejin Lee, in Economic Modelling in 2017
FADL.pdf Data Empirical Code Code_FADL_Crititical Values
“Nature of Comovements in US State and MSA Housing Prices”, with Alan Tidwell, Yan (Olivia) Lu, and Junsoo Lee, in Real Estate Economics in 2023
Working Papers
“Fourier Residual-based Cointegration Tests for Unknown Smooth Breaks”, with Hyejin Lee.
“Global Co-movements of International Reserves and Their Effects”, with Junsoo Lee
“Forecasting The Indian Inflation Using Fourier GARCH and Factor Augmented GARCH Models”, with Ram Das.
Forecasting Indian Inflation.pdf
In Progress
“The Quantile ADL Cointegration Test: A Single Equation Approach” with Junsoo Lee.
“The Effect of Exchange Rate Regime on Current Account Adjustment: A Factor Model Analysis” with Junsoo Lee.