2019 to 2020, Founding Head, Department of Quantitative Applied Economics, Sungkyunkwan University
2019 to present, Professor, Sungkyunkwan University
2014-2019, Associate Professor, Sungkyunkwan University
2012-2014, Associate Professor, Kyung Hee University
2006-2012, Assistant Professor, National University of Singapore
1998-2001, Economist, Research Department, the Bank of Korea
Journal Articles
(2026)
The cross-quantilogram: Measuring quantile dependence and testing directional predictability across time-series and cross-sectional data.
STATA JOURNAL.
26,
2
(2026)
고차원 설명변수를 활용한 월별 산업활동동향 디플레이터 나우캐스팅.
Journal of Economic Theory and Econometrics.
37,
1
(2026)
체감경기와 실물경기 간 괴리 측정 및 분석.
경제분석.
32,
1
(2025)
Bankruptcy Prediction for Listed Companies in Korea Using Machine Learning and Oversampling Methods.
Journal of Economic Theory and Econometrics.
36,
2
(2025)
서울 아파트 시장 모형 분석: 시차 가변 계수 공적분 모형과 내생적 국면전환을 반영한 오차수정모형의 적용.
한국경제포럼.
18,
1
(2024)
머신러닝을 이용한 한국 주식시장 변동성 예측: Multi-Input LSTM 모형의 적용.
금융연구.
38,
3
(2024)
머신러닝 기법을 이용한 한국 인플레이션 예측:시계열 지속성과 머신러닝 예측의 관계에 관한 사례 연구.
국제경제연구.
30,
2
(2024)
Exploring House Price Momentum in the U.S. after the Subprime Mortgage Crisis.
Journal of Economic Theory and Econometrics.
35,
1
(2024)
Estimation and Inference of Quantile Impulse Response Functions by Local Projections: With Applications to VaR Dynamics*.
JOURNAL OF FINANCIAL ECONOMETRICS.
22,
1
(2023)
랜덤 포레스트(Random Forest)의 시계열 적용에 관한 연구: 한국 물가상승률 예측 사례 분석.
경제학연구.
71,
3
(2022)
머신러닝 방법을 활용한 한국의 수출입 증가율 예측 및 분석.
국제경제연구.
28,
4
(2022)
Multi-Step-Ahead Forecasting of the CBOE Volatility Index in a Data-Rich Environment: Application of Random Forest with Boruta Algorithm.
KOREAN ECONOMIC REVIEW.
38,
3
(2021)
The tail behavior of safe haven currencies: A cross-quantilogram analysis.
JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS MONEY.
70,
(2020)
World distribution of income for 1970-2010: dramatic reduction in world income inequality during the 2000s.
EMPIRICAL ECONOMICS.
59,
2
(2020)
Triple Regime Stochastic Volatility Model with Threshold and Leverage Effects.
KOREAN ECONOMIC REVIEW.
36,
2
(2019)
함수적 회귀 모형을 이용한 한국과 미국 주식시장의 횡단면 분포 간의 관계 분석.
경제학연구.
67,
2
(2019)
Additive endogenous regime switching garch model.
Journal of Economic Theory and Econometrics.
30,
2
(2019)
Quantile dependence between stock markets and its application in volatility forecasting.
Journal of Economic Theory and Econometrics.
30,
1
(2019)
Carry trades and endogenous regime switches in exchange rate volatility.
JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS MONEY.
58,
1
(2018)
Modeling the Dynamics between Stock Price and Dividend: An Endogenous Regime Switching Approach.
KOREAN ECONOMIC REVIEW.
34,
2
Publications
(2025)
머신러닝과 경제/금융 시계열 예측.
자유아카데미.
Solo
Honors / Awards
SKKU Young Fellowship, Sungkyunkwan University, 2020.
