연구실적
- A break test for the tail-event correlation matrix based on the self-normalization method JOURNAL OF THE KOREAN STATISTICAL SOCIETY, 2025, v.54 no.1, 91-109
- Nonparametric kernel estimation for local tail-event correlation Statistics and its Interface, 2025, v.18 no.1, 17-31
- Vector SHAP Values for Machine Learning Time Series Forecasting JOURNAL OF FORECASTING, 2025, v.44 no.2, 635-645
- 벡터 SHAP을 이용한 S&P 500 실현변동성 예측 변수 기여도 분석: LSTM과 ADL 모형 비교 응용통계연구, 2025, v.38 no.4, 485-495
- A self-normalization test for structural breaks in a regression model for panel data sets Journal of the Korean Statistical Society, 2024, v.53 no.2, 495-508
- Forecasting realized volatility using data normalization and recurrent neural network Communications for Statistical Applications and Methods, 2024, v.31 no.1, 105-127
- Causal temporal convolutional neural network를 이용한 변동성 지수 예측 응용통계연구, 2023, v.36 no.2, 129-139
- How to improve oil consumption forecast using google trends from online big data?: the structured regularization methods for large vector autoregressive model Communications for Statistical Applications and Methods, 2022, v.29 no.1, 721-731
- Parallel architecture of CNN-bidirectional LSTMs for implied volatility forecast Journal of Forecasting, 2022, v.41 no.6, 1087-1098
- Quantile correlation coefficient: a new tail dependence measure Statistical Papers, 2022, v.63 no.4, 1075-1104
- Subsample scan test for multiple breaks based on self-normalization Communications in Statistics - Theory and Methods, 2022
- 금융 실현변동성을 위한 내재변동성과 인터넷 검색량을 활용한 딥러닝 응용통계연구, 2022, v.35 no.1, 93-104
- A self-normalization break test for correlation matrix Statistical Papers, 2021, v.62 no.5, 2333-2353
- Nonparametric estimation of time varying correlation coefficient Journal of the Korean Statistical Society, 2021, v.50 no.2, 333-353
- A mean-difference test based on self-normalization for alternating regime index data sets Economics Letters, 2020, v.193, 108334
- A self-normalization test for correlation change Economics Letters, 2020, v.193, 108363
- Block bootstrapping for a panel mean break test Journal of the Korean Statistical Society, 2020, v.49 no.3, 802-821
- Bootstrapping volatility spillover index COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION, 2020, v.49 no.1, 66-78
- COVID-19 펜데믹에 대한 GSADF 버블 검정 분석 응용통계연구, 2020, v.33 no.5, 655-664
- Forecast of realized covariance matrix based on asymptotic distribution of the LU decomposition with an application for balancing minimum variance portfolio APPLIED ECONOMICS LETTERS, 2019, v.26 no.8, 661-668
- Moving block bootstrapping for a CUSUM test for correlation change Computational Statistics and Data Analysis, 2019, v.135, 95-106
- Quantile forecasts for financial volatilities based on parametric and asymmetric models Journal of the Korean Statistical Society, 2019, v.48 no.1, 68-83
- The roles of differencing and dimension reduction in machine learning forecasting of employment level using the FRED big data Communications for Statistical Applications and Methods, 2019, v.26 no.5, 497~506
- Three regime bivariate normal distribution: a new estimation method for co-value-at-risk, CoVaR European Journal of Finance, 2019, v.25 no.18, 1817-1833
- Vector error correction heterogeneous autoregressive forecast model of realized volatility and implied volatility COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION, 2019, v.48 no.5, 1503-1515
- Do we need the constant term in the heterogenous autoregressive model for forecasting realized volatilities? Communications in Statistics: Simulation and Computation, 2018, v.47 no.1, 63-73
- Forecasting realized volatility: A review Journal of the Korean Statistical Society, 2018, v.47 no.4, 395-404
- Forecasts for leverage heterogeneous autoregressive models with jumps and other covariates JOURNAL OF FORECASTING, 2018, v.37 no.6, 691-704
- Tests for structural breaks in memory parameters of long-memory heterogeneous autoregressive models COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2018, v.47 no.21, 5378-5389
- Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity JOURNAL OF ECONOMETRICS, 2018, v.202 no.2, 178-195
- Bayesian analysis of financial volatilities addressing long-memory, conditional heteroscedasticity and skewed error distribution COMMUNICATIONS FOR STATISTICAL APPLICATIONS AND METHODS, 2017, v.24 no.5, 507~518
- Bayesian analysis of financial volatilities addressing long-memory, conditional heteroscedasticity and skewed error distribution Communications for Statistical Applications and Methods, 2017, v.24 no.5, 507-518
- Bootstrap forecast intervals for asymmetric volatilities via EGARCH model Communications in Statistics - Theory and Methods, 2017, v.46 no.3, 1144-1157
- Estimation of structural mean breaks for long-memory data sets Statistics, 2017, v.51 no.4, 904-920
- Stationary bootstrapping for common mean change detection in cross-sectionally dependent panels Metrika, 2017, v.80 no.42894.0, 767-787
- Stationary bootstrapping for realized covariations of high frequency financial data Statistics, 2017, v.51 no.4, 844-861
- Stationary bootstrapping for structural break tests for a heterogeneous autoregressive model Communications for Statistical Applications and Methods, 2017, v.24 no.4, 367-382
- Stationary bootstrapping for structural break tests for a heterogeneous autoregressive model COMMUNICATIONS FOR STATISTICAL APPLICATIONS AND METHODS, 2017, v.24 no.4, 367~382
- Value at risk forecasting for volatility index Applied Economics Letters, 2017, v.24 no.21, 1613-1620
- 이상치에 근거한 선택적 실현변동성 예측 방법 응용통계연구, 2017, v.30 no.3, 323~334
- A CUSUM test for panel mean change detection Journal of the Korean Statistical Society, 2016, 3 Aug 2016
- An integrated heteroscedastic autoregressive model for forecasting realized volatilities Journal of the Korean Statistical Society, 2016, 1 FEB 2016
- Asymptotics for realized covariance under market microstructure noise and sampling frequency determination Communications for Statistical Applications and Methods, 2016, v.23 no.5, 411~421
- Kernel estimators of mode under ψ-weak dependence Annals of the Institute of Statistical Mathematics, 2016, v.68 no.2, 301-327
- Maximal inequalities and an application under a weak dependence Journal of the Korean Mathematical Society, 2016, v.53 no.1, 57-72
- SUR Approach for IV Estimation of Canonical Contagion Models Communications in Statistics: Simulation and Computation, 2016, v.45 no.1, 378-387
- Stationary bootstrap test for jumps in high-frequency financial asset data Communications for Statistical Applications and Methods, 2016, v.23 no.2, 163-177
- 장기기억성과 비대칭성을 띠는 실현변동성의예측을 위한 LIHAR모형 응용통계연구, 2016, v.29 no.7, 1213
- 장외시간 수익률을 반영한 실현변동성 추정치들의 비교 응용통계연구, 2016, v.29 no.1, 85-98
- A CUSUMSQ test for structural breaks in error variance for a long memory heterogeneous autoregressive model STATISTICS & PROBABILITY LETTERS, 2015, v.99, 167-176
- A Lagrangian multiplier test for market microstructure noise with applications to sampling interval determination for realized volatilities ECONOMICS LETTERS, 2015, v.129, 95-99
- Erratum: Corrigendum: Block Bootstrapping for Kernel Density Estimators under ψ-Weak Dependence (Communications in Statistics - Theory and Methods (2015) 43:17 (3751-3761)) Communications in Statistics - Theory and Methods, 2015, v.44 no.8, 1762
- Forecasting the realized variance of the log-return of Korean won US dollar exchange rate addressing jumps both in stock-trading time and in overnight Journal of the Korean Statistical Society, 2015, v.44 no.3, 390-402
- Long-memories and mean breaks in realized volatilities APPLIED ECONOMICS LETTERS, 2015, v.22 no.16, 1273-1280
- Stationary bootstrapping for panel cointegration tests under cross-sectional dependence STATISTICS, 2015, v.49 no.1, 209-223
- Stationary bootstrapping for semiparametric panel unit root tests COMPUTATIONAL STATISTICS & DATA ANALYSIS, 2015, v.83, 14-25
- 금융자산의 시장 미시구조 잡음에 대한부트스트래핑 라그랑지 승수 검정 응용통계연구, 2015, v.28 no.2, 189-200
- 모바일 사용자의 잠재 관심 추론을 위한 앙상블 기법 정보과학회 컴퓨팅의 실제 논문지, 2015, v.21 no.11, 706-712
- A Note on Exponential Inequalities of ψ-Weakly Dependent Sequences Communications for Statistical Applications and Methods, 2014, 제21권 3호, 245-251
- A bootstrap test for jumps in financial economics ECONOMICS LETTERS, 2014, v.125 no.1, 74-78
- Block bootstrapping for kernel density estimators under ψ-weak dependence Communications in Statistics - Theory and Methods, 2014, v.43 no.17, 3751-3761
- Infinite-order, long-memory heterogeneous autoregressive models COMPUTATIONAL STATISTICS & DATA ANALYSIS, 2014, v.76 Special Issue, 339-358
- Korean, Japanese, and Chinese populations featured similar genes encoding drug-metabolizing enzymes and transporters: a DMET Plus microarray assessment PHARMACOGENETICS AND GENOMICS, 2014, v.24 no.10, 477-485
- Modeling and Forecasting Realized Volatilities of Korean Financial Assets Featuring Long Memory and Asymmetry ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, 2014, v.43 no.1, 31-58
- Tests for random time effects and spatial error correlation in panel regression models STATISTICS, 2014, v.48 no.1, 101-120
강의
-
2023-1학기
-
시계열분석개론및실습 강의 계획서 상세보기
- 학수번호 20643분반 01
- 4학년 (3학점, 3시간) 월 5~5 (종A),수 4~4 (101)
-
경제자료분석 강의 계획서 상세보기
- 학수번호 G11808분반 01
- 학년 (3학점, 3시간) 월 6~7 (종D106)
-
학력
Iowa State UniversityPh.D.(통계학)