- About Us
- BA in Economics, Seoul National University, 1998
- PhD in Economics, Rice University, 2006 경제학 박사
- 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
- Econometrics, Financial Econometrics
- The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series, Journal of Econometrics, 193: 251-270, 2016
- Asymptotic Properties of GARCH-X Processes, Journal of Financial Econometrics, 13: 188-221, 2015
- Asymptotic Theory of the QMLE for GARCH-X Models with Stationary and Non-stationary Covariates, Journal of Business & Economic Statistics, 32: 416-429, 2014
- ARCH/GARCH with Persistent Covariate: Asymptotic Theory of MLE, Journal of Econometrics, 167: 95-112, 2012
- Non-stationary Non-parametric Volatility Model, The Econometrics Journal, 15: 204-225, 2012
- Time Series Properties of ARCH Processes with Persistent Covariates, Journal of Econometrics, 146: 275-292, 2008
Honors / Awards
- National Research Foundation of Korea Grant, 2016-2017.
- Grant for Excellent Article, National Research Foundation of Korea, 2015.
- Sungkyun Researech Fund, Sungkyunkwan University, 2014-2015.
- National Research Foundation of Korea Grant, 2013-2015.
- KHU 2012-1676 Grant, Kyung Hee University, 2012-2013.
- Risk Management Institute Grant, National University of Singapore, 2009-2012.
- Risk Management Institute Grant, National University of Singapore, 2007-2009.
- FASS SRSS Grant, National University of Singapore, 2006.
- Excellent Teacher Award, Faculty of Arts and Social Sciences, National University of Singapore, 2008.
- RBNZ-NZESG Research Award, Special NZESG Meeting in Honour of Peter C. B. Phillips, March 2008.
- 9th Annual SoFiE (Society for Financial Econometrics) Conference, Hong Kong, June 2016 .
- 11th World Congress of the Econometric Society, Montreal, Canada, August 2015.
- 11th International Symposium on Econometric Theory and Applications, Tokyo, Japan, May 2015.
- International Workshop on Non- and Semiparametric Volatility and Correlation Models, Paderborn, Germany, July 2014.
- 7th CSDA International Conference on Computational and Financial Econometrics, London, UK, December 2013.
- Econometric Society Australasian Meeting, Sydney, Australia, July 2013.
- Asian Meeting of Econometric Society, Delhi, India, December 2012.