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  • 경제학과/글로벌경제학과

교수소개

전임교수 - 경제학과/글로벌경제학과

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  • 한철우 홈페이지 바로가기
CV1

관심분야

Machine learning, asset pricing, portfolio choice, investment, cryptocurrency

학력

  • Ph.D. Financial Engineering, KAIST, 2008

학술지 논문

  • (2023)  Pairs trading via unsupervised learning.  EUROPEAN JOURNAL OF OPERATIONAL RESEARCH.  307,  2
  • (2022)  Betting against analyst target price.  JOURNAL OF FINANCIAL MARKETS.  59,  1
  • (2022)  A geometric framework for covariance dynamics.  JOURNAL OF BANKING & FINANCE.  134,  1
  • (2021)  A machine learning approach for the short-term reversal strategy.  Journal of Data Science and Analysis.  7,  6
  • (2021)  Bimodal characteristic returns and predictability enhancement via machine learning.  MANAGEMENT SCIENCE.  68,  10
  • (2020)  Dynamics and determinants of credit risk discovery: Evidence from CDS and stock markets.  INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS.  55,  1
  • (2020)  A nonparametric approach to portfolio shrinkage.  JOURNAL OF BANKING & FINANCE.  120,  1
  • (2020)  How Much should portfolios be shrunk?.  FINANCIAL MANAGEMENT.  49,  3
  • (2017)  Deep learning networks for stock market analysis and prediction: methodology, data representations, and case studies.  EXPERT SYSTEMS WITH APPLICATIONS.  83,  1
  • (2017)  Geometric treatment of time-varying volatilities.  Review of Quantitative Finance and Accounting.  49,  4
  • (2017)  Partial structural break identification.  OXFORD BULLETIN OF ECONOMICS AND STATISTICS.  79,  2
  • (2016)  Modeling severity risk under PD-LGD correlation.  EUROPEAN JOURNAL OF FINANCE.  23,  15
  • (2015)  Impacts of derivative markets on spot market volatility and their persistence.  APPLIED ECONOMICS.  47,  22
  • (2015)  Market overreaction and investment strategies.  APPLIED ECONOMICS.  47,  54
  • (2014)  Comparison of credit risk models for loan portfolios.  JOURNAL OF RISK MODEL VALIDATION.  8,  2
  • (2013)  Characteristic factors and fund evaluation in Korea.  EMERGING MARKETS FINANCE AND TRADE.  49,  S4
  • (2013)  Effects of debt collection practices on loss given default.  JOURNAL OF BANKING & FINANCE.  73,  1
  • (2011)  Interest rate models on Lie groups.  QUANTITATIVE FINANCE.  11,  4
  • (2008)  An extended CreditRisk+ framework for portfolio credit risk management.  Journal of Credit Risk.  4,  4
  • (2007)  Efficient Value-at-Risk estimation for mortgage-backed securities.  Journal of Risk.  9,  3