(Ph.D.) The University of North Carolina at Chapel Hill, 통계학 박사, 2010
(M.S.) 서울대학교, 통계학 석사, 2005
(B.S.) 서울대학교, 통계학 학사, 2003
약력/경력
오하이오 대학 조교수 2010.9-2013.5
성균관대학교 조교수/부교수/교수 2013.3 - 현재
학술지 논문
(2023)
LOCAL WHITTLE ESTIMATION OF HIGH-DIMENSIONAL
LONG-RUN VARIANCE AND PRECISION MATRICES.
ANNALS OF STATISTICS.
51,
6
(2023)
TEST OF CHANGE POINT VERSUS LONG-RANGE DEPENDENCE IN FUNCTIONAL TIME SERIES.
JOURNAL OF TIME SERIES ANALYSIS.
1,
1
(2023)
Detecting Changes in Correlation Networks with Application to Functional Connectivity of fMRI Data.
PSYCHOMETRIKA.
88,
2
(2022)
Volatility changes in cryptocurrencies: evidence from sparse VHAR-MGARCH model.
APPLIED ECONOMICS LETTERS.
1,
1
(2021)
Robust test for structural instability in dynamic factor models.
ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS.
73,
4
(2021)
Sparse vector heterogeneous autoregressive modeling for realized volatility.
JOURNAL OF THE KOREAN STATISTICAL SOCIETY.
50,
2
(2021)
Two sample tests for high-dimensional autocovariances.
COMPUTATIONAL STATISTICS DATA ANALYSIS.
153,
1
(2020)
Block wild bootstrap-based CUSUM tests robust to high persistence and misspecification.
COMPUTATIONAL STATISTICS & DATA ANALYSIS.
150,
106996
(2020)
Asymptotics of bivariate local Whittle estimators with applications to fractal connectivity.
JOURNAL OF STATISTICAL PLANNING AND INFERENCE.
205,
(2020)
Factor-augmented HAR model improves realized volatility forecasting.
APPLIED ECONOMICS LETTERS.
27,
12
(2019)
Detecting structural breaks in realized volatility.
COMPUTATIONAL STATISTICS & DATA ANALYSIS.
134,
(2018)
Periodic dynamic factor models: estimation approaches and applications.
ELECTRONIC JOURNAL OF STATISTICS.
12,
2
(2017)
Sparse seasonal seasonal and periodic vector autoregressive modeling.
COMPUTATIONAL STATISTICS & DATA ANALYSIS.
106,
1
(2015)
A piecewise polynomial trend against long range dependence.
JOURNAL OF THE KOREAN STATISTICAL SOCIETY.
44,
3
(2015)
TESTS FOR VOLATILITY SHIFTS IN GARCH AGAINST LONG-RANGE DEPENDENCE.
JOURNAL OF TIME SERIES ANALYSIS.
36,
2
(2014)
On integral representations of operator fractional Brownian fields.
STATISTICS & PROBABILITY LETTERS.
92,
(2014)
On distinguishing multiple changes in mean and long-range dependence using local Whittle estimation.
ELECTRONIC JOURNAL OF STATISTICS.
8,
수상/공훈
제 26회 과학기술 우수 논문상 수상 (한국통계학회, “A piecewise polynoimal trend against long range dependence”, Journal of the Korean Statistical Society (SCIE))
Associate Editor, Journal of Korean Statistical Society, 2017-present
발전기금
