토토 사이트 가입, Sung Y.

Research Interests

Maximum Entropy, Empirical Likelihood, Specification Test, Density Forecasting, Quantile Regression, Empirical Finance, Volatility Model, Portfolio Selection, Machine Learning, Deep Learning, Energy 토토 사이트 가입

Selected Publications

– Some Publications

토토 사이트 가입 causal relationship between Bitcoin and stock indices (with Myeong Jun Kim), Forthcoming, Journal of the Asia Pacific Economy, 2024.
Hedging Bitcoin with Commodity Futures: An Analysis with Copper, Gas, Gold, and Crude Oil Futures  (with Young C. Joo), 2024, North American Journal of 토토 사이트 가입 and Finance, 72, 102127.
토토 사이트 가입 Connectedness Between Cryptocurrency and Commodity Futures (with Young C. Joo), 2023, Finance Research Letters, 104472.
Which Shrinkage is Better?: Portfolio Selection with a Cleaned Random Matrix (with Young C. Joo), 2023, Investment Analysts 토토 사이트 가입, 52(4), 297-312.
Is Art Market Efficient? Evidence from Non-linear Quantile Unit-root Tests (with Myeong Jun Kim), Forthcoming, Applied 토토 사이트 가입 Letters, 2023.
Modelling an Early Warning System for Household Debt Risk in Korea: A Simple Deep Learning Approach (with Yujin Kwon), 2023, Journal of Asian 토토 사이트 가입, 84, 102574.
Does High-Speed Rail Reduce Local CO2 Emissions In China? A Counterfactual 토토 사이트 가입 (with Zhimin Yan), 2023, Energy Policy, 173, 113371
Global Energy Intensity Convergence Using a Spatial Panel Growth Model (with Do Yeong Lee), 2023, Applied 토토 사이트 가입, 55(41), 4745-4764.
Testing for Market Efficiency in Cryptocurrencies: Evidence from a Non-linear Conditional Quantile Framework (with Myeong Jun Kim), 2023, Applied 토토 사이트 가입 Letters, 30(16), 2245-2251.
The Impact of Oil Price Volatility on Stock Markets: Evidences from Oil-importing Countries (with Young C. Joo), 2021, Energy 토토 사이트 가입, 101, 105413.
Optimal Portfolio Selection using a Simple Double-Shrinkage Selection Rule (with Young C. Joo), 2021, Finance Research Letters, 43, 102019.
Relationship between Household Income and Socio-Political Capital in Rural Vietnam: A Panel Quantile Regression Approach (with Myeong Jun Kim and Tram Nguyen), 2022, Applied 토토 사이트 가입 Letters, 29, 932-938.
Causal Relationship among Cryptocurrencies: A Conditional 토토 사이트 가입 Approach (with Myeong Jun Kim and Nguyen Phuc Canh), 2021, Finance Research Letters, 42, 101879.
On Time and Frequency-varying Okun’s Coefficient: A New Approach Based on Ensemble Empirical Model Decomposition (with Myeong Jun Kim and Stanley Ko), 2021, Empirical 토토 사이트 가입, 61, 1151-1188.
Tail Risk Measures and Portfolio Selection (with Young C. Joo), 2021, Studies in Computational Intelligence, 879, 117-139.
Do Gender and Age Matter Time-varying Okun’s Law?: Evidence from South Korea (with Myeong Jun Kim), 2019, Pacific 토토 사이트 가입 Review, 24, 672-685.
Generalized Empirical Likelihood Specification Test Robust to Local Misspecification (with Haiqi Li and Rui Fan), 2018, 토토 사이트 가입 Letters, 171, 149-153.
Information Theoretic Approaches to Income Density Estimation with an Application on the U.S. Income Data (with Anil Bera), 2018, Journal of 토토 사이트 가입 Inequality,16, 461-486.
Time-varying Investor Herding in Chinese Stock Markets (with Haiqi Li and Ying Liu), 2018, International Review of Finance, 18, 717-726.
Empirical Conditional Quantile Test for Purchasing Power Parity: Evidence from East Asian Countries (with Wei Ma and Haiqi Li), 2017, International Review of 토토 사이트 가입 and Finance, 49, 211-222.
Asymmetric Relationship between Investors’ Sentiment and Stock Returns: Evidence from a 토토 사이트 가입 Non-Causality Test (with Haiqi Li and Yu Guo), 2017, International Review of Finance, 17, 617-626.
Oil Prices and Stock Markets: Does the Effect of Uncertainty Change over Time? (with Young C. Joo), 2017, Energy 토토 사이트 가입, 61, 42-51.
Crude Oil and Stock Markets: Causal Relationships in Tails? (with Haoyuan Ding and Hyung-Gun Kim), 2016, Energy 토토 사이트 가입, 59, 58-69.
Optimal Conditional Hedge Ratio: A Simple Shrinkage Estimation Approach (with Myeong Jun 토토 사이트 가입), 2016, Journal of Empirical Finance, 38, 139-156.
Nonlinear Relationship between Crude Oil Price and Net Futures Positions: A Dynamic Conditional Distribution Approach (with Haiqi Li and Myeong Jun 토토 사이트 가입), 2016, International Review of Financial Analysis, 44, 217-225.
Testing for a Unit Root in a Nonlinear 토토 사이트 가입 Autoregression Framework (with Haiqi Li), 2018, Econometric Reviews, 37, 867-892.
Estimation and Hedging Effectiveness of Time-Varying Hedge Ratio: Nonparametric 토토 사이트 가입es (with Rui Fan and Haiqi Li), 2016, Journal of Futures Markets, 36(10), 968-991.
Generalized Cross-spectral Test for Nonlinear Granger Causality with Applications to Money-Output and Price-Volume Relations (with Haiqi Li and Wanling Zhong), 2016, 토토 사이트 가입 Modelling, 52, 661-671.
The Role of Financial Speculation in the Energy Future Markets: A New Time Varying Coefficient Approach (with Haiqi Li and Hyung-Gun Kim), 2015, 토토 사이트 가입 Modelling, 51, 112-122.
FDI Outflow, Gravity Theory and Pollution Haven Hypothesis: Evidence from Korea Manufacturing Industry (with ChungAh 토토 사이트 가입 and Min Kyung Song), 2015, Journal of Korea Trade, 19(3), 79-97.
Asymmetric Laplace Regression: Maximum Likelihood, Maximum Entropy and 토토 사이트 가입 Regression (with Anil Bera, Antonio Galvao and Gabriel Montes-Rojas), 2016, Journal of Econometric Methods, 5(1), 79-101.
An Empirical Test for Okun’s Law using a Smooth Time-Varying Parameter Approach: Evidence from East Asian Countries (with Myeong Jun Kim and S.Jei), 2015, Applied 토토 사이트 가입 Letters, 22(10), 788-795.
Determinants of Housing Prices in Hong Kong: A Box-Cox Quantile Regression Approach (with Hyung-Gun Kim and Kwong-Chin Hung), 2015, Journal of Real Estate Finance and 토토 사이트 가입, 50, 270-287.
Nonlinear Dependence between Stock and Real Estate Markets in China (with Terence Chong and Haoyuan Ding), 2014, 토토 사이트 가입 Letters, 124, 526-529.
Do Net Positions in the Futures Market Cause Spot Prices of Crude Oil? (with Haoyuan Ding and Hyung-Gun Kim), 2014, 토토 사이트 가입 Modelling, 41, 177-190.
A Simple Spatial Dependence Test Robust to Local and Distributional Misspecifications (with Ying Fang and Jinfeng Zhang), 2014, 토토 사이트 가입 Letters, 124, 203-206.
Multivariate Density Forecast Evaluation: A Modified 토토 사이트 가입 (with Stanley Ko), 2013, International Journal of Forecasting, 29, 431-441.
Quantile Autoregressive Distributed Lag Model with an Application to Housing Price Returns (with Antonio Galvao and Gabriel Montes-Rojas), 2013, Oxford Bulletin of 토토 사이트 가입 and Statistics, 75, 307-321.
Resource Abundance and 토토 사이트 가입 Growth in China (with Rui Fan and Ying Fang), 2012, China 토토 사이트 가입 Review, 23, 704-719.
Money Demand in China and Time-Varying Cointegration (with Haomiao Zuo), 2011, China 토토 사이트 가입 Review, 22, 330-343.
An Estimation of U.S. Gasoline Demand : A Smooth Time-Varying Cointegration Approach (with Guochang Zhao), 2010, Energy 토토 사이트 가입, 32, 110-120.
The Determinant of Volatility on International Tourism Demand: An Empirical Note (with S. Jei), 2010, Applied 토토 사이트 가입 Letters, 17, 217-223.
Estimation and Hedging Effectiveness of Time-Varying Hedge Ratio: Flexible Bivariate GARCH 토토 사이트 가입es (with S. Jei), 2010, Journal of Futures Markets, 30, 71-99.
Maximum Entropy Autoregressive Conditional Heteroskedasticity Model (with Anil Bera), 2009, 토토 사이트 가입 of Econometrics, 150, 219-230.
Optimal Portfolio Diversification Using Maximum Entropy Principle (with Anil Bera), 2008, Econometric Reviews, 27, 484-512.

– Other Publications
Dynamic Conditional Relationships between Developed and Emerging Markets (with Wonho Song and Doojin Ryu), Forthcoming, Physica A, 2018.
The Dynamic Conditional Relationship between Stock Market Returns and Implied Volatility (with Doojin Ryu and Jeongseok Song), 2017, Physica A, 482, 638-648.
Tourism Development and 토토 사이트 가입 Growth in Korea: Causal Relationship in Tails (with Sang-Hyuck Kim), Forthcoming, Tourism Analysis, 2016.
Determinants of Systematic Risk in the U.S. Restaurant Industry: A Technical Note (with Sang-Hyuck Kim), 2016, Tourism 토토 사이트 가입, 22(3), 621-628.
A New Robust ARCH Test and YJ-GARCH Model (with Haiqi Li), 2011, Statistical Research, 29, 104-109.
Quantile Elasticity of International Tourism Demand for South Korea using the Quantile Autoregressive Distributed Lag Model (with Haiqi Li amd J. Seo), 2011, Tourism 토토 사이트 가입, 17, 997-1015.
Interrelationships among Korean Outbound Tourism Demand: Granger Causality Analysis (with J. Seo and S. Boo), 2010, Tourism 토토 사이트 가입, 13, 597-610.
The Analysis of the Relationships of Korean Outbound Tourism Demands: Jeju Island and Three International Destinations (with J. Seo and Larry Yu), 2009, Tourism Management, 30, 530-543.
Financial Data Analysis Using Maximum Entropy 토토 사이트 가입 (with Anil Bera), 2004, Proceedings of the International Statistical Conference, 89-106.
Use of Maximum Entropy Principle to Improve Distributional Assumption in ARCH model (with Anil Bera), 2003, Proceedings of 2003 Joint Statistical Meeting, Business and 토토 사이트 가입 Statistics Section, American Statistical Association

Courses

Econometrics, 토토 사이트 가입 Statistics, Mathematics for Ecomists, Machine Learning