Sookmyung Statistics
Hwang, Sun-Young

Research Interests
Time Series ; multivariate Statistical Analysis
Volatility Analysis for Financial Time Series ; High-Frequency Time Series
The Winner of 2015 Gallup-Korea Academic Award(2015 한국갤럽학술상 수상자)
(2018) Slow-explosive AR(1) progresses converging to random walk. Submittes manuscript.
(2018) Threshold innovation in quasi-likehold for ARCH models withasymmetric errors. Submitted manuscript.
(2018) The copula directional dependence by stochastic volatility models.
Communications in Statistics - Simulation and Computation, accepted, in press..
(2017) A profile Godambe information of power transformations for ARCH time series. Communications in Statistics-Theory and Methods, 46, 688-6908.
(2017) Feasible optimum Godambe scores for a semi-parametric GARCH tme series.
Journal of the Korean Statistical Society, 46, 104-112.
(2017) Directional dependence via Gaussian copula beta regression model with asymmetric GARCH marginals. Communications in Statistics - Simulation and Computation, 46, 7639-7653.
(2016) Using the dependent wild bootstrap for the nonparametric goodness-of-fit test for density functions. Statistics, 50, 750-774.
(2015) Using a bimodal kernel for a nonparametric regression specifiction test. Statistica, Sinica, 25, 1145-1161.
(2014) Non-regodic martingale estimating functions and related asymptotics. Statistics, 48, 487-507.
(2014) Martingale estimating functions for stochastic processes : a review toward a unifying tool. In Contemporary Developments in Statistical Theroy, 9-28, Springer
(2013) Arbitrary initial values and random norm for explosive AR(1) processes generated by stationary errors. Statistics & Probablity Letters, 83, 127-134
(2012) Preliminary test of fit in a general class of conditionally heteroscedastic nonlinear time series. Journal of Statistical Computation and Simulation, 82, 763-781.
(2011) Asymptotic optimal inference for multivariate branching-Markov processes via martingale estimating functions and mixed normality. Journal of Multivariate Analysis, 102, 1018-1031.
(2010) Explosive volatilities for threshold-GARCH processes generated by asymmetric innovations. Statistics & Probability Letters, 80, 26-33.
(2009) Branching Markov processes and related asymptotics. Journal of Multivariate Analysis, 100, 1155-1167.
(2009) Asymptotic variance-covariance matrix of sample autocorrelations for threshold asymmetric GARCH processes. Statistics, 43, 35-51.
(2005) Explosive random coefficient AR(1) processes and related asymptotics for least squares estimation. Journal of Time Series Analysis, 26, 807-824.
(2004) Power transformation and threshold modeling for ARCH innovations with applications to tests for ARCH structure. Stochastic Processes and their Applications, 110, 295-314.
(2003) Estimation for nonlinear autoregressive models generated by beta-ARCH processes. Sankhya, 65, 744-762.
(1998) Parameter estimation for generalized random coefficient autoregressive processes. Journal of Statistical Planning and Inference. 68, 323-337.
(1995) The asymptotic distributions of residual autocorrelations and related test of fit for a class of nonlinear time series models. Statistica Sinica, 4, 107-126.
(1994) Large sample inference based on multiple observations from nonlinear autoregressive processes. Stochastic Processes and their Applications, 49, 127-140.
(1993) Asymptotic optimal inference for a class of nonlinear time series. Stochastic Processes and their Applications, 46, 91-113.