|
|
 학력사항 |
| 1988. 2 |
서울대학교 국제경제학과, 경제학 학사 |
| 1990. 2 |
서울대학교 국제경제학과, 경제학 석사 |
| 1999. 8 |
University of California, San Diego, 경제학 박사 |
| 경력사항 |
| 2000.2 - 2002.2 |
Post-doctral Researcher, Tinbergen Institute, Erasmus University Rotterdam |
| 2002.3 - 2006.4 |
서울시립대학교 조교수 |
| 2006.5 - 현재 |
서울시립대학교 부교수 |
| 연구실적 |
| ◎ "Linking Series Generated at Different Frequencies", 『Journal of Forecasting』(SSCI), 27권 2호 pp95-108 |
◎ "Porfolio Selection with Heavy Tails"(coauthored with C.G. de Vries), Journal of Empirical Finance,
14(3), 383-400, 2007 |
| ◎ "하방위험을 이용한 위험자산의 최적배분",(재무관리연구), 24권3호, pp133-152, 2007 |
◎ “Introduction to M-M Processes" (coauthored with C.W.J Granger), Journal of Economics,
Vol 130, pp. 143-164, 2006. |
◎ "FI-BREAK model of US Inflation Rate: Long-memory, level shifts, or both?"
The Korean Economic Review , vol 22, no1, 2006 |
◎“Portfolio Diversification Effects of Downside Risk," (coauthored with C.G. de Vries), Journal of
Financial Econometrics, 3, 107-125, 2005 |
◎ “Forecasting Time Series with long memory and level shifts", (coauthored with P.H.F. Franses),
Journal of Forecasting, Vol 24, No 2005 |
◎ “Occasional structural breaks and long memory with an application to the S&P500 absolute stock
returns”, (coauthored with C.W.J Granger) Journal of Empirical Finance, 11, 399-421, 2004. |
|
 |
|
 | |
연구분야 : 계량경제학