Sung Hoon Choi
Sung Hoon Choi
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My research focuses on the development of new tools for use with big data, machine learning, and forecasting. The tools primarily involve the development of new theoretical methods for use in both estimation and statistical inference using high-dimensional panel datasets.
Research interests
Research interests
Econometric Theory, Financial Econometrics, Machine Learning, Forecasting
Concentration: large panel data and factor models, high-dimensional data, high-frequency data
Education
Education
Ph.D., Economics, Rutgers University, NJ, 2021 (Advisor: Yuan Liao)
M.A., Applied Statistics, Yonsei University, Seoul, South Korea, 2016
B.A., Statistics, University of California at Berkeley, CA, 2013
Research Papers
Research Papers
Working Papers
Working Papers
"Low-Rank Structured Nonparametric Prediction of Instantaneous Volatility," with Donggyu Kim, submitted.
"Large Volatility Matrix Prediction using Tensor Factor Structure," with Donggyu Kim, submitted.
Published and Forthcoming Papers
Published and Forthcoming Papers
"Matrix-based Prediction Approach for Intraday Instantaneous Volatility Vector," with Donggyu Kim, Journal of Business & Economic Statistics, accepted. [Slides]
"Large Global Volatility Matrix Analysis Based on Observation Structural Information," with Donggyu Kim, Econometric Theory, accepted. [Slides]
"Large Volatility Matrix Analysis using Global and National Factor Models," with Donggyu Kim, Journal of Econometrics, 235, 1917-1993 (2023). [Slides]
"Feasible Weigthed Projected Principal Component Analysis for Semiparametric Factor Models," The Econometrics Journal, 26, 215-234 (2023). [Slides]
"Standard Errors for Panel Data Models with Unknown Clusters," with Jushan Bai and Yuan Liao, Journal of Econometrics, 240, 105004 (2024). [Matlab codes Replication Files]
"Feasible Generalized Least Squares for Panel Data with Cross-sectional and Serial Correlations," with Jushan Bai and Yuan Liao, Empirical Economics, 60, 309-326 (2021). [Python codes Matlab codes Replication Files]
"Tree Size Determination for Classification Ensemble," with Hyunjoong Kim, 2016, Journal of the Korean Data and Information Science Society, 27, 255-264. (Pre-doctoral)
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