교육

2007. 경제학 박사, 일리노이대학 (어바나-샴페인)

2006. 통계학 석사, 일리노이대학 (어바나-샴페인)

1998. 경제학 학사, 중앙대학교

경력

중앙대학교 경제학부 학부장, 2022. 3∼현재

2020~현재 중앙대학교 경제학부 교수

2015~2020 중앙대학교 경제학부 부교수

2013~2015 중앙대학교 경제학부 조교수

2010~2013 홍콩중문대학교 경제학과 조교수

2009~2010 일리노이대학 경제학과 방문 조교수

2007~2009 하문대학 경제학원 왕야난경제연구원(WISE) 조교수

연구분야

엔트로피 극대화 방법, 정보이론적 접근법, 가설검정, 분위수회귀, 변동성 모형, 금융계량, 포트폴리오 선택, 기계학습, 딥 러닝, 에너지경제, 전력경제

주요논문

– Some Publications

Testing for Market Efficiency in Cryptocurrencies: Evidence from a Non-linear Conditional Quantile Framework (with Myeong Jun Kim), Forthcoming, Applied Economics Letters, 2022.

The Impact of Oil Price Volatility on Stock Markets: Evidences from Oil-importing Countries (with Young C. Joo), 2021, Energy Economics, 101, 105413.

Optimal Portfolio Selection using a Simple Double-Shrinkage Selection Rule (with Young C. Joo), 2021, Finance Research Letters, 43, 102019.

Relationship between Household Income and Socio-Political Capital in Rural Vietnam: A Panel Quantile Regression Approach (with Myeong Jun Kim and Tram Nguyen), 2022, Applied Economics Letters, 29, 932-938.

Causal Relationship among Cryptocurrencies: A Conditional Quantile Approach (with Myeong Jun Kim and Nguyen Phuc Canh), 2021, Finance Research Letters, 42, 101879.

On Time and Frequency-varying Okun’s Coefficient: A New Approach Based on Ensemble Empirical Model Decomposition (with Myeong Jun Kim and Stanley Ko), 2021, Empirical Economics, 61, 1151-1188.

Tail Risk Measures and Portfolio Selection (with Young C. Joo), 2021, Studies in Computational Intelligence, 879, 117-139.

Do Gender and Age Matter Time-varying Okun’s Law?: Evidence from South Korea (with Myeong Jun Kim), 2019, Pacific Economic Review, 24, 672-685.

Generalized Empirical Likelihood Specification Test Robust to Local Misspecification (with Haiqi Li and Rui Fan), 2018, Economics Letters, 171, 149-153.

Information Theoretic Approaches to Income Density Estimation with an Application on the U.S. Income Data (with Anil Bera), 2018, Journal of Economic Inequality,16, 461-486.

Time-varying Investor Herding in Chinese Stock Markets (with Haiqi Li and Ying Liu), 2018, International Review of Finance, 18, 717-726.

Empirical Conditional Quantile Test for Purchasing Power Parity: Evidence from East Asian Countries (with Wei Ma and Haiqi Li), 2017, International Review of Economics and Finance, 49, 211-222.

Asymmetric Relationship between Investors’ Sentiment and Stock Returns: Evidence from a Quantile Non-Causality Test (with Haiqi Li and Yu Guo), 2017, International Review of Finance, 17, 617-626.

Oil Prices and Stock Markets: Does the Effect of Uncertainty Change over Time? (with Young C. Joo), 2017, Energy Economics, 61, 42-51.

Crude Oil and Stock Markets: Causal Relationships in Tails? (with Haoyuan Ding and Hyung-Gun Kim), 2016, Energy Economics, 59, 58-69.

Optimal Conditional Hedge Ratio: A Simple Shrinkage Estimation Approach (with Myeong Jun Kim), 2016, Journal of Empirical Finance, 38, 139-156.

Nonlinear Relationship between Crude Oil Price and Net Futures Positions: A Dynamic Conditional Distribution Approach (with Haiqi Li and Myeong Jun Kim), 2016, International Review of Financial Analysis, 44, 217-225.

Testing for a Unit Root in a Nonlinear Quantile Autoregression Framework (with Haiqi Li), 2018, Econometric Reviews, 37, 867-892.

Estimation and Hedging Effectiveness of Time-Varying Hedge Ratio: Nonparametric Approaches (with Rui Fan and Haiqi Li), 2016, Journal of Futures Markets, 36(10), 968-991.

Generalized Cross-spectral Test for Nonlinear Granger Causality with Applications to Money-Output and Price-Volume Relations (with Haiqi Li and Wanling Zhong), 2016, Economic Modelling, 52, 661-671.

The Role of Financial Speculation in the Energy Future Markets: A New Time Varying Coefficient Approach (with Haiqi Li and Hyung-Gun Kim), 2015, Economic Modelling, 51, 112-122.

FDI Outflow, Gravity Theory and Pollution Haven Hypothesis: Evidence from Korea Manufacturing Industry (with ChungAh Kim and Min Kyung Song), 2015, Journal of Korea Trade, 19(3), 79-97.

Asymmetric Laplace Regression: Maximum Likelihood, Maximum Entropy and Quantile Regression (with Anil Bera, Antonio Galvao and Gabriel Montes-Rojas), 2016, Journal of Econometric Methods, 5(1), 79-101.

An Empirical Test for Okun’s Law using a Smooth Time-Varying Parameter Approach: Evidence from East Asian Countries (with Myeong Jun Kim and S.Jei), 2015, Applied Economics Letters, 22(10), 788-795.

Determinants of Housing Prices in Hong Kong: A Box-Cox Quantile Regression Approach (with Hyung-Gun Kim and Kwong-Chin Hung), 2015, Journal of Real Estate Finance and Economics, 50, 270-287.

Nonlinear Dependence between Stock and Real Estate Markets in China (with Terence Chong and Haoyuan Ding), 2014, Economics Letters, 124, 526-529.

Do Net Positions in the Futures Market Cause Spot Prices of Crude Oil? (with Haoyuan Ding and Hyung-Gun Kim), 2014, Economic Modelling, 41, 177-190.

A Simple Spatial Dependence Test Robust to Local and Distributional Misspecifications (with Ying Fang and Jinfeng Zhang), 2014, Economics Letters, 124, 203-206.

Multivariate Density Forecast Evaluation: A Modified Approach (with Stanley Ko), 2013, International Journal of Forecasting, 29, 431-441.

Quantile Autoregressive Distributed Lag Model with an Application to Housing Price Returns (with Antonio Galvao and Gabriel Montes-Rojas), 2013, Oxford Bulletin of Economics and Statistics, 75, 307-321.

Resource Abundance and Economic Growth in China (with Rui Fan and Ying Fang), 2012, China Economic Review, 23, 704-719.

Money Demand in China and Time-Varying Cointegration (with Haomiao Zuo), 2011, China Economic Review, 22, 330-343.

An Estimation of U.S. Gasoline Demand : A Smooth Time-Varying Cointegration Approach (with Guochang Zhao), 2010, Energy Economics, 32, 110-120.

The Determinant of Volatility on International Tourism Demand: An Empirical Note (with S. Jei), 2010, Applied Economics Letters, 17, 217-223.

Estimation and Hedging Effectiveness of Time-Varying Hedge Ratio: Flexible Bivariate GARCH Approaches (with S. Jei), 2010, Journal of Futures Markets, 30, 71-99.

Maximum Entropy Autoregressive Conditional Heteroskedasticity Model (with Anil Bera), 2009, Journal of Econometrics, 150, 219-230.

Optimal Portfolio Diversification Using Maximum Entropy Principle (with Anil Bera), 2008, Econometric Reviews, 27, 484-512.

– Other Publications

Dynamic Conditional Relationships between Developed and Emerging Markets (with Wonho Song and Doojin Ryu), Forthcoming, Physica A, 2018.

The Dynamic Conditional Relationship between Stock Market Returns and Implied Volatility (with Doojin Ryu and Jeongseok Song), 2017, Physica A, 482, 638-648.

Tourism Development and Economic Growth in Korea: Causal Relationship in Tails (with Sang-Hyuck Kim), Forthcoming, Tourism Analysis, 2016.

Determinants of Systematic Risk in the U.S. Restaurant Industry: A Technical Note (with Sang-Hyuck Kim), 2016, Tourism Economics, 22(3), 621-628.

A New Robust ARCH Test and YJ-GARCH Model (with Haiqi Li), 2011, Statistical Research, 29, 104-109.

Quantile Elasticity of International Tourism Demand for South Korea using the Quantile Autoregressive Distributed Lag Model (with Haiqi Li amd J. Seo), 2011, Tourism Economics, 17, 997-1015.

Interrelationships among Korean Outbound Tourism Demand: Granger Causality Analysis (with J. Seo and S. Boo), 2010, Tourism Economics, 13, 597-610.

The Analysis of the Relationships of Korean Outbound Tourism Demands: Jeju Island and Three International Destinations (with J. Seo and Larry Yu), 2009, Tourism Management, 30, 530-543.

Financial Data Analysis Using Maximum Entropy Approach (with Anil Bera), 2004, Proceedings of the International Statistical Conference, 89-106.

Use of Maximum Entropy Principle to Improve Distributional Assumption in ARCH model (with Anil Bera), 2003, Proceedings of 2003 Joint Statistical Meeting, Business and Economic Statistics Section, American Statistical Association

담당강의

(학부) 계량경제학, 경제수학, 경제통계학, 머신러닝

(대학원) 계량경제학