Education

• • B.S. Statistics, Seoul National University, Korea, Feb 2000.

  • Ph.D. Statistics, Seoul National University, Korea, Feb 2008.

Professional Experiences 

      Academic experiences

• • • Full Professor, Department of Statistics, Kyungpook National University, Oct 2021 - present

    • Associate Professor,  Department of Statistics, Kyungpook National University, Mar 2018 - Sep 2021

    • Full-time Lecturer, Assistant, Associate Professor, Department of Computer Science and Statistics, Jeju National University,  Sep 2011 - Feb 2018

    • Postdoctoral Researcher, Department of Statistics, Seoul National University, Mar 2008 - Feb 2009

     Industrial experiences

• • • Manager and Quant, OTC Derivatives Team, Kyobo Securities, Nov 2010 - Aug 2011

    • Assistant Manager and Quant, Risk Management Team,  Hyundai Motor's Company Investment Securities, Feb 2009 - Nov 2010

Research Interests

• • Time series analysis and stochastic processes

  • Change point analysis

  • Robust inference

  • Valuation of financial derivatives

Awards

• • Academic promotion award,  Korean Statistical Society, 2015

  • Outstanding employee award, Hyundai Motor's Company Investment Securities, 2010

  • Best doctoral dissertation award in college of natural sciences, Seoul National University, 2008

Grants

• • Mid-Career Researcher Program (Creative Research) Grant, National Research Foundation of Korea, Sep. 2025 - Aug. 2028

  • Scientists in Local Universities Grant, National Research Foundation of Korea, June 2019 - May 2024 

  • Young Researcher Program Grant, National Research Foundation of Korea, June 2016 - May 2019

  • Young Researcher Program Grant, National Research Foundation of Korea, June 2013 - May 2016

Academic Activities

• • Editor in chief, Journal of the Korean Data & Information Science Society, 2023- 2024. 9

  • Associate Editor, Journal of the Korean Statistical Society, 2023- Present

  • Co-editor, Journal of the Korean Data & Information Science Society, 2021- 2022

  • Associate Editor, The Korean Journal of Applied Statistics, 2021- Present

  • Associate Editor, Journal of the Korean Data & Information Science Society, 2015 - 2020

  • Associate Editor, Communications for Statistical Applications and Methods, 2012 - Present

Publications

Song, J. and Kang, J. (2025+). A moment-based test for conditional Poissonity in integer-valued conditional autoregressive models. Accepted in Statistical Papers.

Liu, Z. and Song, J. (2025). Information matrix test for normality of innovations in stationary time series models. Journal of Statistical Computation and Simulation. (link) 

Kang, J. and Song, J. (2025). Test for conditional Poissonity in integer-valued conditional autoregressive models.  Journal of Statistical Computation and Simulation, 95, 450-460. (link)

Liu, Z. and Song, J. (2023). Normality test in random coefficient autoregressive models. Journal of the Korean Statistical Society, 52, 960-981. (link)

Song, J. and Kang, J. (2021). Change point analysis in Bitcoin return series: a robust approach. Communications for Statistical Applications and Methods, 28, 511-520. (link)

Song, J. (2021). Sequential change point test in the presence of outliers: the density power divergence based approach. Electronic Journal of Statistics, 15, 3504-3550. (link)

Kim, B., Song, J. and Baek, C. (2021). Robust test for structural instability in dynamic factor models.  Annals of the Institute of Statistical Mathematics, 73, 821-853. (link)

Song, J. and Kang, J. (2021). Test for parameter change in the presence of outliers: the density power divergence based approach.  Journal of Statistical Computation and Simulation, 91, 1016-1039. (link)

Kim, S. and Song, J. (2021). Statistical hypothesis testing using deep learning: Focusing on two sample t-test. Journal of the Korean Data & Information Science Society, 32, 25-35. (link)

Kang, J. and Song, J. (2020). A robust approach for testing parameter change in Poisson autoregressive models. Journal of the Korean Statistical Society, 49, 1285-1302. (link) 

Song, J. and Kang, J. (2020). Sequential change point detection in ARMA-GARCH models.  Journal of Statistical Computation and Simulation, 90(8),1520-1538. (link)

Song, J. (2020). Robust test for dispersion parameter change in discretely observed diffusion processes. Computational Statistics & Data Analysis, 142,106832. (link)

Song, J. and Baek, C. (2019). Detecting structural breaks in realized volatility. Computational Statistics & Data Analysis, 134, 58-75. (link)

Song, J. and Kang, J. (2018). Parameter change tests for ARMA-GARCH models. Computational Statistics & Data Analysis, 121, 41-56. (link)

Kang, J. and Song, J. (2017). Score test for parameter change in Poisson autoregressive models. Economics Letters, 160, 33-37. (link)

Song, J., Oh, D.-H. and Kang, J. (2017). Robust estimation in stochastic frontier models. Computational Statistics & Data Analysis, 105, 243-267. (link)

Song, J. (2017). Robust estimation of dispersion parameter in discretely observed diffusion processes. Statistica Sinica, 27, 373-388. (link)

Song, J. (2016). A study on demand forecasting for Jeju-bound tourists by travel purpose using seasonal ARIMA-Intervention model. Journal of the Korean Data & Information Science Society,27, 725-732. (link)

Kang, J. and Song, J. (2015). Robust parameter change test for Poisson autoregressive models. Statistics & Probability Letters, 104, 14-21.

Lee, J.-H. and Song, J. (2014). Valuation of long-maturity KIKO options under the stochastic volatility model. Asia-Pacific  Journal of Financial Studies, 43, 492-529.

Song, J. and Ko, B. (2013). Testing the exchange rate data for the parameter change based on ARMA-GARCH model. Journal of the Korean Data & Information Science Society, 24, 151-159.

Lee, S. and Song, J. (2013). Minimum density power divergence estimator for diffusion processes. Annals of the Institute of Statistical Mathematics, 65, 213-236.

Koo, J. and Song, J. (2013). Study on a hedging volatility depending on path type of underlying asset prices. The Korean Journal of Applied Statistics, 26, 187-200.

Song, J. (2011). Deciding a sampling length for estimating the parameters in geometric Brownian motion. Journal of the Korean Data & Information Science Society, 22, 549-553.

Lee, S. and Song, J. (2009). Minimum density power divergence estimator for GARCH models. TEST, 18, 316-341.

Song, J. and Lee, S. (2009). Test for parameter change in discretely observed diffusion processes. Statistical Inference for Stochastic Processes, 12, 165-183.

Lee, S. and Song, J. (2008). Test for parameter change in ARMA models with GARCH innovations. Statistics & Probability Letters, 78, 1990-1998.

Song, J., Lee, S, Na, O. and Kim, H. (2007). Minimum density power divergence estimator for diffusion parameter in discretely observed diffusion processes. Communications for Statistical Applications and Methods, 14, 267-280.