(2016)
A reexamination of stock return predictability.
JOURNAL OF ECONOMETRICS.
192,
1
(2016)
Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models.
JOURNAL OF ECONOMETRICS.
192,
1
(2016)
Nonstationarity in time series of state densities.
JOURNAL OF ECONOMETRICS.
192,
1
(2016)
TESTING FOR A UNIT ROOT AGAINST TRANSITIONAL AUTOREGRESSIVE MODELS.
INTERNATIONAL ECONOMIC REVIEW.
57,
2
(2015)
Does ambiguity matter? Estimating asset pricing models with a multiple-priors recursive utility.
JOURNAL OF FINANCIAL ECONOMICS.
115,
2
(2014)
Time-varying Long-run Income and Output Elasticities of Electricity Demand with an Application to Korea.
ENERGY ECONOMICS.
46,
Special SI
(2014)
GARCH with omitted persistent covariate.
ECONOMICS LETTERS.
124,
2
(2014)
An asymptotic analysis of likelihood-based diffusion model selection using high frequency data.
JOURNAL OF ECONOMETRICS.
178,
(2014)
NONSTATIONARY NONLINEARITY: A SURVEY ON PETER PHILLIPS'S CONTRIBUTIONS WITH A NEW PERSPECTIVE.
ECONOMETRIC THEORY.
30,
4
(2012)
Stationarity-based specification tests for diffusions when the process is nonstationary.
JOURNAL OF ECONOMETRICS.
169,
2
(2012)
Random walk or chaos: A formal test on the Lyapunov exponent.
JOURNAL OF ECONOMETRICS.
169,
1
Publications
(2002)
경제시계열분석.
경문사.
Co-author
(1995)
資本自由化論: 理論과 우리 現實』.
법문사.
Co-author
Honors / Awards
2014, 2020 Trustees Teaching Award, Indiana University
2012 Dasan Economics Award, The Korea Economic Daily
2010 Cho-Rak-Kyo Economics Award, Yonsei University
2007 Fellow, Journal of Econometrics
2004 Economist Award, The Maeil Business Newspaper
2002 Fellow, Econometric Society
2001 Faculty of the Year, Alumni, Seoul National University
1999 Teacher of the Year, Department of Economics, Yale University
1999 Multa Scripsit Award, Econometric Theory
1996 Cheongram Award, Korean Economic Association
1987 Carl A. Anderson’s Award, Cowles Foundation for Research in Economics, Yale University
1986 Doctoral Dissertation Fellowship, Alfred P. Sloan Foundation
Conference Paper
(2013)
Regressions at High Frequency.
the 23rd Annual Meeting of the Midwest Econometrics Group Conference.
UNITED STATES
(2013)
Mean Reversion and Unit Root Properties of Diffusion Models.
Princeton-QUT-SMU Conference on Measuring Risk.
UNITED STATES
(2013)
Regime Switching Model with Endogenous Autoregressive Latent Factor.
2013 African Econometric Society Meeting.
GHANA
(2013)
Mean Reversion and Unit Root Properties of Diffusion Models.
Conference on Stochastic Dominance and Related Themes.
UNITED KINGDOM
(2011)
Asymptotic Theory of Maximum Likelihood Estimator for Diffusion Model.
2011 World Statistics Congress of the International Statistical Institute (ISI).
IRELAND
(2011)
Martingale Regressions for Conditional Mean Models in Continuous Time.
Frontiers in Financial Econometrics Workshop.
AUSTRALIA
(2011)
Martingale Regressions for Conditional Mean Models in Continuous Time.
University of Sydney.
AUSTRALIA
(2011)
Asymptotic Theory of Maximum Likelihood Estimator for Diffusion Model.
Oxford University.
UNITED KINGDOM
(2011)
Nonstationarity in Time Series of State Densities.
Conference in Honor of Joel Horowitz.
UNITED KINGDOM
(2011)
Martingale Regressions for Conditional Mean Models in Continuous Time.
5th CIREQ Time Series Conference.
CANADA
(2011)
Martingale Regressions for Conditional Mean Models in Continuous Time.
Nonlinear and Financial Econometrics Conference.
FRANCE
(2010)
Asymptotic Theory of Maximum Likelihood Estimator
for Diffusion Model.
International Symposium on Financial Engineering and Risk Management.
TAIWAN
(2010)
Asymptotic Theory of Maximum Likelihood Estimator for Diffusion Model.
International Symposium on Financial Engineering and Risk Management.
TAIWAN
(2001)
Nonstationary Nonlinearity: An Outlook for New Opportunities.
2001 Econometric Society Australasian Meeting.
AUSTRALIA