연구분야

엔트로피 극대화 방법, 정보이론적 접근법, 가설검정, 분위수회귀, 변동성 모형, 금융계량, 포트폴리오 선택, 기계학습, 딥 러닝, 에너지e 스포츠 토토 사이트, 전력e 스포츠 토토 사이트

주요논문

– Some Publications

Quantile causal relationship between Bitcoin and stock indices (with Myeong Jun e 스포츠 토토 사이트), 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 e 스포츠 토토 사이트 and Finance, 72, 102127.
Quantile 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 Journal, 52(4), 297-312.
Is Art Market Efficient? Evidence from Non-linear Quantile Unit-root Tests (with Myeong Jun Kim), Forthcoming, Applied e 스포츠 토토 사이트 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 e 스포츠 토토 사이트, 84, 102574.
Does High-Speed Rail Reduce Local CO2 Emissions In China? A Counterfactual Approach (with Zhimin Yan), 2023, Energy Policy, 173, 113371
Global Energy Intensity Convergence Using a Spatial Panel Growth Model (with Do Yeong Lee), 2023, Applied e 스포츠 토토 사이트, 55(41), 4745-4764.
Testing for Market Efficiency in Cryptocurrencies: Evidence from a Non-linear Conditional Quantile Framework (with Myeong Jun Kim), 2023, Applied e 스포츠 토토 사이트 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 e 스포츠 토토 사이트, 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 e 스포츠 토토 사이트 Letters, 29, 932-938.
Causal Relationship among Cryptocurrencies: A Conditional Quantile Approach (with Myeong Jun e 스포츠 토토 사이트 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 e 스포츠 토토 사이트, 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 e 스포츠 토토 사이트), 2019, Pacific Economic Review, 24, 672-685.
Generalized Empirical Likelihood Specification Test Robust to Local Misspecification (with Haiqi Li and Rui Fan), 2018, e 스포츠 토토 사이트 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 Economic 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 e 스포츠 토토 사이트 and Finance, 49, 211-222.
Asymmetric Relationship between Investors’ 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.
Oil Prices and Stock Markets: Does the Effect of Uncertainty Change over Time? (with Young C. Joo), 2017, Energy e 스포츠 토토 사이트, 61, 42-51.
Crude Oil and Stock Markets: Causal Relationships in Tails? (with Haoyuan Ding and Hyung-Gun Kim), 2016, Energy e 스포츠 토토 사이트, 59, 58-69.
Optimal Conditional Hedge Ratio: A Simple Shrinkage Estimation Approach (with Myeong Jun e 스포츠 토토 사이트), 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 e 스포츠 토토 사이트), 2016, International Review of Financial Analysis, 44, 217-225.
Testing for a Unit Root in a Nonlinear Quantile Autoregression Framework (with Haiqi Li), 2018, Econometric Reviews, 37, 867-892.
Estimation 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.
Generalized 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.
The Role of Financial Speculation in the Energy Future Markets: A New Time Varying Coefficient Approach (with Haiqi Li and Hyung-Gun e 스포츠 토토 사이트), 2015, Economic Modelling, 51, 112-122.
FDI Outflow, Gravity Theory and Pollution Haven Hypothesis: Evidence from Korea Manufacturing Industry (with ChungAh e 스포츠 토토 사이트 and Min Kyung Song), 2015, Journal of Korea Trade, 19(3), 79-97.
Asymmetric 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.
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 e 스포츠 토토 사이트 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 e 스포츠 토토 사이트, 50, 270-287.
Nonlinear Dependence between Stock and Real Estate Markets in China (with Terence Chong and Haoyuan Ding), 2014, e 스포츠 토토 사이트 Letters, 124, 526-529.
Do Net Positions in the Futures Market Cause Spot Prices of Crude Oil? (with Haoyuan Ding and Hyung-Gun e 스포츠 토토 사이트), 2014, Economic Modelling, 41, 177-190.
A Simple Spatial Dependence Test Robust to Local and Distributional Misspecifications (with Ying Fang and Jinfeng Zhang), 2014, e 스포츠 토토 사이트 Letters, 124, 203-206.
Multivariate Density Forecast Evaluation: A Modified Approach (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 e 스포츠 토토 사이트 and Statistics, 75, 307-321.
Resource Abundance and Economic Growth in China (with Rui Fan and Ying Fang), 2012, China Economic Review, 23, 704-719.
Money Demand in China and Time-Varying Cointegration (with Haomiao Zuo), 2011, China Economic Review, 22, 330-343.
An Estimation of U.S. Gasoline Demand : A Smooth Time-Varying Cointegration Approach (with Guochang Zhao), 2010, Energy e 스포츠 토토 사이트, 32, 110-120.
The Determinant of Volatility on International Tourism Demand: An Empirical Note (with S. Jei), 2010, Applied e 스포츠 토토 사이트 Letters, 17, 217-223.
Estimation and Hedging Effectiveness of Time-Varying Hedge Ratio: Flexible Bivariate GARCH Approaches (with S. Jei), 2010, Journal of Futures Markets, 30, 71-99.
Maximum Entropy Autoregressive Conditional Heteroskedasticity Model (with Anil Bera), 2009, Journal 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 Economic Growth in Korea: Causal Relationship in Tails (with Sang-Hyuck e 스포츠 토토 사이트), Forthcoming, Tourism Analysis, 2016.
Determinants of Systematic Risk in the U.S. Restaurant Industry: A Technical Note (with Sang-Hyuck Kim), 2016, Tourism e 스포츠 토토 사이트, 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 e 스포츠 토토 사이트, 17, 997-1015.
Interrelationships among Korean Outbound Tourism Demand: Granger Causality Analysis (with J. Seo and S. Boo), 2010, Tourism e 스포츠 토토 사이트, 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 Approach (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 Economic Statistics Section, American Statistical Association

담당강의

(학부) 계량e 스포츠 토토 사이트, 경제수학, 경제통계학, 머신러닝
(대학원) 계량e 스포츠 토토 사이트