Sookmyung Statistics
Professor
Hwang, Sun-Young

RESEARCH & PUBLICATIONS
line
Research Interests
Financial time series analysis, Multivariate statistical analysis.
High-frequency time series, Volatility analysis.
Winner of 2015 Gallup-Korea Academic Award (2015년도 한국갤럽학술상 수상자).
 
Publication
(2023) Finding hidden structure of sparse longitudinal data via functional eigenfunctions, Applied Economics Letters, online published.
(2023) Change point detection for the intraday volatility using functional ARCH and conditional Copula, Communications in Statistcs-Simulation and Computation, online published.
(2023) Linear time-varying regression with Copula-DCC-Asymmetric-GARCH models for volatility, Applied Economic, 55(3), 255-272.
(2022) Unit Root Tests and their Challenges, Communications in Statistics-Theory and Methods, online published.
(2022) Reformulating scale-free network via strong dependency, Journal of Complex Networks, Volume 10(6), December, cnac052.
(2021) On the threshold innovation inquasi-likelihood for conditionally heteroscedastic time series,Communicationsin Statistics : Simulation and Computation, 50, 2042-2053.
(2021) Barely-stationary AR(1)sequences near random walk, Journal of the Korean StatisticalSociety, 50, 832843.
(2021) Functional ARCH directionaldependence via copula for intraday volatility based on high-frequency financialtime series,Applied Economics, 53, 506-520.
(2020) A copula nonlinear Grangercausality, Economic Modelling, 88, 420-430.
(2020) Slow-explosive AR(1) processesconverging to random walk, Communications in Statistics-Theory and Methods, 49,2094-2109.
(2020) Stationarity test based on densityapproach, Journal of Nonparametric Statistics, 32, 345-366.
(2020) Forecasting evaluation viaparametric bootstrap for threshold-INARCH models, Communications forStatistical Applications and Methods, 27, 177-187.
(2019) The copula directional dependence bystochastic volatility models, Communications in Statistics-Simulation and Computation,48, 1153-1175.
(2017) A profile Godambe information ofpower transformations for ARCH time series. Communications inStatistics-Theory and Methods, 46, 688-6908.
(2017) Feasible optimum Godambe scores fora semi-parametric GARCH tme series. Journal of the Korean Statistical Society, 46, 104-112.
(2017) Directional dependence via Gaussiancopula beta regression model with asymmetric GARCH marginals. Communicationsin Statistics - Simulation and Computation, 46, 7639-7653.
(2016) Using the dependent wild bootstrapfor the nonparametric goodness-of-fit test for density functions. Statistics, 50,750-774.
(2015) Using a bimodal kernel for anonparametric regression specifiction test. Statistica, Sinica, 25,1145-1161.
(2014) Non-regodic martingale estimatingfunctions and related asymptotics. Statistics, 48, 487-507.
(2014) Martingale estimating functions forstochastic processes : a review toward a unifying tool. In ContemporaryDevelopments in Statistical Theroy, 9-28, Springer
(2013) Arbitrary initial values and randomnorm for explosive AR(1) processes generated by stationary errors. Statistics& Probablity Letters, 83, 127-134
(2012) Preliminary test of fit in a generalclass of conditionally heteroscedastic nonlinear time series. Journal ofStatistical Computation and Simulation, 82, 763-781.
(2011) Asymptotic optimal inference formultivariate branching-Markov processes via martingale estimating functions andmixed normality. Journal of Multivariate Analysis, 102, 1018-1031.
(2010) Explosive volatilities forthreshold-GARCH processes generated by asymmetric innovations. Statistics& Probability Letters, 80, 26-33.
(2009) Branching Markov processes andrelated asymptotics. Journal of Multivariate Analysis, 100,1155-1167.
(2009) Asymptotic variance-covariancematrix of sample autocorrelations for threshold asymmetric GARCHprocesses. Statistics, 43, 35-51.

 

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