2019 to 2020, Founding Head, Department of Quantitative Applied Economics, Sungkyunkwan University
2019 to present, Professor, Sungkyunkwan University
2014-2019, Associate Professor, Sungkyunkwan University
2012-2014, Associate Professor, Kyung Hee University
2006-2012, Assistant Professor, National University of Singapore
1998-2001, Economist, Research Department, the Bank of Korea
학술지 논문
(2023)
랜덤 포레스트(Random Forest)의 시계열 적용에 관한 연구: 한국 물가상승률 예측 사례 분석.
경제학연구.
71,
3
(2022)
머신러닝 방법을 활용한 한국의 수출입 증가율 예측 및 분석.
국제경제연구.
28,
4
(2022)
Multi-Step-Ahead Forecasting of the CBOE Volatility Index in a Data-Rich Environment: Application of Random Forest with Boruta Algorithm.
KOREAN ECONOMIC REVIEW.
38,
3
(2021)
The tail behavior of safe haven currencies: A cross-quantilogram analysis.
JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS MONEY.
70,
(2020)
World distribution of income for 1970-2010: dramatic reduction in world income inequality during the 2000s.
EMPIRICAL ECONOMICS.
59,
2
(2020)
Triple Regime Stochastic Volatility Model with Threshold and Leverage Effects.
KOREAN ECONOMIC REVIEW.
36,
2
(2019)
함수적 회귀 모형을 이용한 한국과 미국 주식시장의 횡단면 분포 간의 관계 분석.
경제학연구.
67,
2
(2019)
Additive endogenous regime switching garch model.
Journal of Economic Theory and Econometrics.
30,
2
(2019)
Quantile dependence between stock markets and its application in volatility forecasting.
Journal of Economic Theory and Econometrics.
30,
1
(2019)
Carry trades and endogenous regime switches in exchange rate volatility.
JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS MONEY.
58,
1
(2018)
Modeling the Dynamics between Stock Price and Dividend: An Endogenous Regime Switching Approach.
KOREAN ECONOMIC REVIEW.
34,
2
(2017)
국내 은행부문의 시스템리스크 측정 및 자기자본규제의 유용성 평가.
금융감독연구.
4,
2
(2016)
An endogenous regime switching model for realized volatility.
Journal of Economic Theory and Econometrics.
27,
4
(2016)
Quantile Dependence between Foreign Exchange Market and Stock Market: The Case of Korea.
Journal of East Asian Economic Integration.
20,
4
(2016)
경제/금융 변수를 이용한 한국 주식시장의 변동성분석 및 예측.
경제학연구.
64,
2
(2016)
The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series.
JOURNAL OF ECONOMETRICS.
193,
1
(2015)
Effects of the US Stock Market Return and Volatility on the VKOSPI.
ECONOMICS-THE OPEN ACCESS OPEN-ASSESSMENT E-JOURNAL.
9,
35
(2015)
A Multiplicative Error Model with Heterogeneous Components for Forecasting Realized Volatility.
JOURNAL OF FORECASTING.
34,
(2015)
Asymptotic Properties of GARCH-X Processes.
JOURNAL OF FINANCIAL ECONOMETRICS.
13,
1
(2014)
Semiparametric ARCH-X model for leverage effect and long memory in stock return volatility.
Journal of Economic Theory and Econometrics.
25,
3
수상/공훈
SKKU Young Fellowship, Sungkyunkwan University, 2020.
발전기금
