![](\"https:\/\/econ.cau.ac.kr\/wp-content\/uploads\/2025\/02\/parksungyong.jpg\" "\\"parksungyong\\"")
<\/span><\/div><\/div><\/div>Park, Sung Y.<\/h3>\n
Email : sungpark@cau.ac.kr Ph.D. Economics, University of Illinois at Urbana-Champaign, 2007. 2020 \u2013 present, Professor, School of Economics, Chung-Ang University, Maximum Entropy, Empirical Likelihood, Specification Test, Density Forecasting, Quantile Regression, Empirical Finance, Volatility Model, Portfolio Selection, Machine Learning, Deep Learning, Energy Economics<\/p>\n \u2013 Some Publications<\/p>\n Quantile causal relationship between Bitcoin and stock indices (with Myeong Jun Kim), Forthcoming, Journal of the Asia Pacific Economy, 2024. \u2013 Other Publications Econometrics, Economic Statistics, Mathematics for Ecomists, Machine Learning<\/div><\/div><\/div><\/div><\/div><\/div><\/div><\/p>","protected":false},"excerpt":{"rendered":" Professor<\/p>\n","protected":false},"author":2,"featured_media":2444,"menu_order":0,"comment_status":"closed","ping_status":"closed","template":"","format":"standard","meta":{"_acf_changed":false,"footnotes":""},"portfolio_category":[40],"portfolio_skills":[],"portfolio_tags":[],"class_list":["post-1443","avada_portfolio","type-avada_portfolio","status-publish","format-standard","has-post-thumbnail","hentry","portfolio_category-current-professor-en"],"acf":[],"aioseo_notices":[],"_links":{"self":[{"href":"https:\/\/econ.cau.ac.kr\/en\/wp-json\/wp\/v2\/avada_portfolio\/1443","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/econ.cau.ac.kr\/en\/wp-json\/wp\/v2\/avada_portfolio"}],"about":[{"href":"https:\/\/econ.cau.ac.kr\/en\/wp-json\/wp\/v2\/types\/avada_portfolio"}],"author":[{"embeddable":true,"href":"https:\/\/econ.cau.ac.kr\/en\/wp-json\/wp\/v2\/users\/2"}],"replies":[{"embeddable":true,"href":"https:\/\/econ.cau.ac.kr\/en\/wp-json\/wp\/v2\/comments?post=1443"}],"version-history":[{"count":5,"href":"https:\/\/econ.cau.ac.kr\/en\/wp-json\/wp\/v2\/avada_portfolio\/1443\/revisions"}],"predecessor-version":[{"id":2364,"href":"https:\/\/econ.cau.ac.kr\/en\/wp-json\/wp\/v2\/avada_portfolio\/1443\/revisions\/2364"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/econ.cau.ac.kr\/en\/wp-json\/wp\/v2\/media\/2444"}],"wp:attachment":[{"href":"https:\/\/econ.cau.ac.kr\/en\/wp-json\/wp\/v2\/media?parent=1443"}],"wp:term":[{"taxonomy":"portfolio_category","embeddable":true,"href":"https:\/\/econ.cau.ac.kr\/en\/wp-json\/wp\/v2\/portfolio_category?post=1443"},{"taxonomy":"portfolio_skills","embeddable":true,"href":"https:\/\/econ.cau.ac.kr\/en\/wp-json\/wp\/v2\/portfolio_skills?post=1443"},{"taxonomy":"portfolio_tags","embeddable":true,"href":"https:\/\/econ.cau.ac.kr\/en\/wp-json\/wp\/v2\/portfolio_tags?post=1443"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}
\nPhone : 02-820-5622
\nRoom : 1021 Centennial
\nPersonal Webpage : http:\/\/www.sungpark.net<\/a><\/p>\n<\/div><\/div><\/div><\/div><\/div>Education and Professional Experience<\/h4><\/a><\/li>
Research and Teaching<\/h4><\/a><\/li><\/ul><\/div>
Education<\/h5>\n
\nM.S. Statistics, University of Illinois at Urbana-Champaign, 2006.
\nB.A. Economics, Chung-Ang University, 1998.<\/p>\nExperience<\/h5>\n
\n2015 \u2013 2020, Associate Professor, School of Economics, Chung-Ang University,
\n2013 \u2013 2015, Assistant Professor, School of Economics, Chung-Ang University,
\n2010 \u2013 2013, Assistant Professor, Department of Economics, The Chinese University of Hong Kong, China.
\n2009 \u2013 2010, Visiting Assistant Professor, Department of Economics, University of Illinois at Urbana-Champaign.
\n2007 \u2013 2009, Assistant Professor, The Wang Yanan Institute of Studies in Economics (WISE), Xiamen University, China.<\/div>Research Interests<\/h5>\n
Selected Publications<\/h5>\n
\nHedging Bitcoin with Commodity Futures: An Analysis with Copper, Gas, Gold, and Crude Oil Futures \u202f(with Young C. Joo), 2024, North American Journal of Economics and Finance, 72, 102127.
\nQuantile Connectedness Between Cryptocurrency and Commodity Futures (with Young C. Joo), 2023, Finance Research Letters, 104472.
\nWhich Shrinkage is Better?: Portfolio Selection with a Cleaned Random Matrix (with Young C. Joo), 2023, Investment Analysts Journal, 52(4), 297-312.
\nIs Art Market Efficient? Evidence from Non-linear Quantile Unit-root Tests (with Myeong Jun Kim), Forthcoming, Applied Economics Letters, 2023.
\nModelling an Early Warning System for Household Debt Risk in Korea: A Simple Deep Learning Approach (with Yujin Kwon), 2023, Journal of Asian Economics, 84, 102574.
\nDoes High-Speed Rail Reduce Local CO2 Emissions In China? A Counterfactual Approach (with Zhimin Yan), 2023, Energy Policy, 173, 113371
\nGlobal Energy Intensity Convergence Using a Spatial Panel Growth Model (with Do Yeong Lee), 2023, Applied Economics, 55(41), 4745-4764.
\nTesting for Market Efficiency in Cryptocurrencies: Evidence from a Non-linear Conditional Quantile Framework (with Myeong Jun Kim), 2023, Applied Economics Letters, 30(16), 2245-2251.
\nThe Impact of Oil Price Volatility on Stock Markets: Evidences from Oil-importing Countries (with Young C. Joo), 2021, Energy Economics, 101, 105413.
\nOptimal Portfolio Selection using a Simple Double-Shrinkage Selection Rule (with Young C. Joo), 2021, Finance Research Letters, 43, 102019.
\nRelationship between Household Income and Socio-Political Capital in Rural Vietnam: A Panel Quantile Regression Approach (with Myeong Jun Kim and Tram Nguyen), 2022, Applied Economics Letters, 29, 932-938.
\nCausal Relationship among Cryptocurrencies: A Conditional Quantile Approach (with Myeong Jun Kim and Nguyen Phuc Canh), 2021, Finance Research Letters, 42, 101879.
\nOn Time and Frequency-varying Okun\u2019s Coefficient: A New Approach Based on Ensemble Empirical Model Decomposition (with Myeong Jun Kim and Stanley Ko), 2021, Empirical Economics, 61, 1151-1188.
\nTail Risk Measures and Portfolio Selection (with Young C. Joo), 2021, Studies in Computational Intelligence, 879, 117-139.
\nDo Gender and Age Matter Time-varying Okun\u2019s Law?: Evidence from South Korea (with Myeong Jun Kim), 2019, Pacific Economic Review, 24, 672-685.
\nGeneralized Empirical Likelihood Specification Test Robust to Local Misspecification (with Haiqi Li and Rui Fan), 2018, Economics Letters, 171, 149-153.
\nInformation Theoretic Approaches to Income Density Estimation with an Application on the U.S. Income Data (with Anil Bera), 2018, Journal of Economic Inequality,16, 461-486.
\nTime-varying Investor Herding in Chinese Stock Markets (with Haiqi Li and Ying Liu), 2018, International Review of Finance, 18, 717-726.
\nEmpirical Conditional Quantile Test for Purchasing Power Parity: Evidence from East Asian Countries (with Wei Ma and Haiqi Li), 2017, International Review of Economics and Finance, 49, 211-222.
\nAsymmetric Relationship between Investors\u2019 Sentiment and Stock Returns: Evidence from a Quantile Non-Causality Test (with Haiqi Li and Yu Guo), 2017, International Review of Finance, 17, 617-626.
\nOil Prices and Stock Markets: Does the Effect of Uncertainty Change over Time? (with Young C. Joo), 2017, Energy Economics, 61, 42-51.
\nCrude Oil and Stock Markets: Causal Relationships in Tails? (with Haoyuan Ding and Hyung-Gun Kim), 2016, Energy Economics, 59, 58-69.
\nOptimal Conditional Hedge Ratio: A Simple Shrinkage Estimation Approach (with Myeong Jun Kim), 2016, Journal of Empirical Finance, 38, 139-156.
\nNonlinear Relationship between Crude Oil Price and Net Futures Positions: A Dynamic Conditional Distribution Approach (with Haiqi Li and Myeong Jun Kim), 2016, International Review of Financial Analysis, 44, 217-225.
\nTesting for a Unit Root in a Nonlinear Quantile Autoregression Framework (with Haiqi Li), 2018, Econometric Reviews, 37, 867-892.
\nEstimation and Hedging Effectiveness of Time-Varying Hedge Ratio: Nonparametric Approaches (with Rui Fan and Haiqi Li), 2016, Journal of Futures Markets, 36(10), 968-991.
\nGeneralized Cross-spectral Test for Nonlinear Granger Causality with Applications to Money-Output and Price-Volume Relations (with Haiqi Li and Wanling Zhong), 2016, Economic Modelling, 52, 661-671.
\nThe Role of Financial Speculation in the Energy Future Markets: A New Time Varying Coefficient Approach (with Haiqi Li and Hyung-Gun Kim), 2015, Economic Modelling, 51, 112-122.
\nFDI Outflow, Gravity Theory and Pollution Haven Hypothesis: Evidence from Korea Manufacturing Industry (with ChungAh Kim and Min Kyung Song), 2015, Journal of Korea Trade, 19(3), 79-97.
\nAsymmetric Laplace Regression: Maximum Likelihood, Maximum Entropy and Quantile Regression (with Anil Bera, Antonio Galvao and Gabriel Montes-Rojas), 2016, Journal of Econometric Methods, 5(1), 79-101.
\nAn Empirical Test for Okun\u2019s Law using a Smooth Time-Varying Parameter Approach: Evidence from East Asian Countries (with Myeong Jun Kim and S.Jei), 2015, Applied Economics Letters, 22(10), 788-795.
\nDeterminants 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 Economics, 50, 270-287.
\nNonlinear Dependence between Stock and Real Estate Markets in China (with Terence Chong and Haoyuan Ding), 2014, Economics Letters, 124, 526-529.
\nDo Net Positions in the Futures Market Cause Spot Prices of Crude Oil? (with Haoyuan Ding and Hyung-Gun Kim), 2014, Economic Modelling, 41, 177-190.
\nA Simple Spatial Dependence Test Robust to Local and Distributional Misspecifications (with Ying Fang and Jinfeng Zhang), 2014, Economics Letters, 124, 203-206.
\nMultivariate Density Forecast Evaluation: A Modified Approach (with Stanley Ko), 2013, International Journal of Forecasting, 29, 431-441.
\nQuantile Autoregressive Distributed Lag Model with an Application to Housing Price Returns (with Antonio Galvao and Gabriel Montes-Rojas), 2013, Oxford Bulletin of Economics and Statistics, 75, 307-321.
\nResource Abundance and Economic Growth in China (with Rui Fan and Ying Fang), 2012, China Economic Review, 23, 704-719.
\nMoney Demand in China and Time-Varying Cointegration (with Haomiao Zuo), 2011, China Economic Review, 22, 330-343.
\nAn Estimation of U.S. Gasoline Demand : A Smooth Time-Varying Cointegration Approach (with Guochang Zhao), 2010, Energy Economics, 32, 110-120.
\nThe Determinant of Volatility on International Tourism Demand: An Empirical Note (with S. Jei), 2010, Applied Economics Letters, 17, 217-223.
\nEstimation and Hedging Effectiveness of Time-Varying Hedge Ratio: Flexible Bivariate GARCH Approaches (with S. Jei), 2010, Journal of Futures Markets, 30, 71-99.
\nMaximum Entropy Autoregressive Conditional Heteroskedasticity Model (with Anil Bera), 2009, Journal of Econometrics, 150, 219-230.
\nOptimal Portfolio Diversification Using Maximum Entropy Principle (with Anil Bera), 2008, Econometric Reviews, 27, 484-512.<\/p>\n
\nDynamic Conditional Relationships between Developed and Emerging Markets (with Wonho Song and Doojin Ryu), Forthcoming, Physica A, 2018.
\nThe Dynamic Conditional Relationship between Stock Market Returns and Implied Volatility (with Doojin Ryu and Jeongseok Song), 2017, Physica A, 482, 638-648.
\nTourism Development and Economic Growth in Korea: Causal Relationship in Tails (with Sang-Hyuck Kim), Forthcoming, Tourism Analysis, 2016.
\nDeterminants of Systematic Risk in the U.S. Restaurant Industry: A Technical Note (with Sang-Hyuck Kim), 2016, Tourism Economics, 22(3), 621-628.
\nA New Robust ARCH Test and YJ-GARCH Model (with Haiqi Li), 2011, Statistical Research, 29, 104-109.
\nQuantile Elasticity of International Tourism Demand for South Korea using the Quantile Autoregressive Distributed Lag Model (with Haiqi Li amd J. Seo), 2011, Tourism Economics, 17, 997-1015.
\nInterrelationships among Korean Outbound Tourism Demand: Granger Causality Analysis (with J. Seo and S. Boo), 2010, Tourism Economics, 13, 597-610.
\nThe 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.
\nFinancial Data Analysis Using Maximum Entropy Approach (with Anil Bera), 2004, Proceedings of the International Statistical Conference, 89-106.
\nUse of Maximum Entropy Principle to Improve Distributional Assumption in ARCH model (with Anil Bera), 2003, Proceedings of 2003 Joint Statistical Meeting, Business and Economic Statistics Section, American Statistical Association<\/p>\nCourses<\/h5>\n