- 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, 832–843.
- (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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