Curriculum Vitae
EDUCATION
Ph.D., Economics, University of Illinois at Urbana-Champaign, 2007.
M.S., Statistics, University of Illinois at Urbana-Champaign, 2006.
M.S., Economics, University of Illinois at Urbana-Champaign, 2002.
M.A., Economics, Chung-Ang University, Korea, 2000.
B.A., Economics, Chung-Ang University, Korea, 1998.
FIELDS OF INTERESTS
Econometrics, Applied Econometrics, Financial Econometrics, Empirical Finance, Applied Microeconomics.
DISSERTATION
Title: Essays on Maximum Entropy Principle with Applications to Econometrics and Finance
Advisor: Professor Anil K. Bera.
EMPLOYMENT
Associate Professor, School of Economics, Chung-Ang University, Sept. 2013 - present.
Assistant Professor, Department of Economics, The Chinese University of Hong Kong, Aug. 2010 - Jul. 2013.
Visiting Assistant Professor, Department of Economics, University of Illinois at Urbana-Champaign, Aug. 2009 - July 2010.
Assistant Professor, The Wang Yanan Institute of Studies in Economics, Xiamen University, Aug. 2007 - July 2009.
PUBLICATIONS AND WORKING PAPERS
Publications
Empirical Conditional Quantile Test for Purchasing Power Parity: Evidence from East Asian Countries (with Wei Ma and Haiqi Li), 2017, International Review of Economics and Finance, Forthcoming.
Asymmetric Relationship between Investors' Sentiment and Stock Returns: Evidence from a Quantile Non-Causality Test (with Haiqi Li and Yu Guo), 2017, International Review of Finance, Forthcoming.
Oil Prices and Stock Markets: Does the Effect of Uncertainty Change over Time? (with Young C. Joo), 2017, Energy Economics, 61, 42-51.
Crude Oil and Stock Markets: Causal Relationships in Tails? (with Haoyuan Ding and Hyung-Gun Kim), 2016, Energy Economics, 59, 58-69.
Optimal Conditional Hedge Ratio: A Simple Shrinkage Estimation Approach (with Myeong Jun Kim), 2016, Journal of Empirical Finance, 38, 139-156.
Nonlinear Relationship between Crude Oil Price and Net Futures Positions: A Dynamic Conditional Distribution Approach (with Haiqi Li and Myeong Jun Kim), 2016, International Review of Financial Analysis, 44, 217-225.
Testing for a Unit Root in a Non-linear Quantile Autoregression Framework (with Haiqi Li), 2016, Econometric Reviews, Forthcoming.
Estimation and Hedging Effectiveness of Time-Varying Hedge Ratio: Nonparametric Approaches (with Rui Fan and Haiqi Li), 2015, Journal of Futures Markets, 36(10), 968-991.
Generalized Cross-spectral Test for Nonlinear Granger Causality with Applications to Money-Output and Price-Volume Relations (with Haiqi Li and Wanling Zhong), 2016, Economic Modelling, 52(PB), 661-671.
The Role of Financial Speculation in the Energy Future Markets: A New Time Varying Coefficient Approach (with Haiqi Li and Hyung-Gun Kim), 2015, Economic Modelling, 51, 112-122.
Asymmetric Laplace Regression: Maximum Likelihood, Maximum Entropy and Quantile Regression (with Anil Bera, Antonio Galvao and Gabriel Montes-Rojas), 2016, Journal of Econometric Methods, 5(1), 79-101.
Nonlinear Dependence between Stock and Real Estate Markets in China (Terence Chong and Haoyuan Ding), 2014, Economics Letters, 124, 526-529.
Do Net Positions in the Futures Market Cause Spot Prices of Crude Oil? (with Haoyuan Ding and Hyung-Gun Kim), 2014, Economic Modelling, 41, 177-190.
A Simple Spatial Dependence Test Robust to Local and Distributional Misspecifications (with Ying Fang and Jinfeng Zhang), 2014, Economics Letters, 124, 203-206.
Determinants of Housing Prices in Hong Kong: A Box-Cox Quantile Regression Approach (with Hyung-Gun Kim and Kwong-Chin Hung), 2015, Journal of Real Estate Finance and Economics, 50, 270-287.
Multivariate Density Forecast Evaluation: A Modified Approach (with Stanley Ko), 2013, International Journal of Forecasting, 29, 431-441.
Quantile Autoregressive Distributed Lag Model with an Application to Housing Price Returns (with Antonio Galvao and Gabriel Montes-Rojas), 2013, Oxford Bulletin of Economics and Statistics, 75, 307-321.
Resource Abundance and Economic Growth in China (with Rui Fan and Ying Fang), 2012, China Economic Review, 23, 704-719.
Money Demand in China and Time-Varying Cointegration (with Haomiao Zuo), 2011, China Economic Review, 22, 330-343.
An Estimation of U.S. Gasoline Demand : A Smooth Time-Varying Cointegration Approach (with Guochang Zhao), 2010, Energy Economics, 32, 110-120.
Estimation and Hedging Effectiveness of Time-Varying Hedge Ratio: Flexible Bivariate GARCH Approaches (with Sang Y. Jei), 2010, Journal of Futures Markets, 30, 71-99.
Maximum Entropy Autoregressive Conditional Heteroskedasticity Model (with Anil Bera), 2009, Journal of Econometrics, 150, 219-230.
Optimal Portfolio Diversification Using Maximum Entropy Principle (with Anil Bera), 2008, Econometric Reviews, 27, 484-512.
Other Publications
Tourism Development and Economic Growth in Korea: Causal Relationship in Tails (with Sang-Hyuck Kim), 2016, Tourism Analysis, Forthcoming.
FDI Outflow, Gravity Theory and Pollution Haven Hypothesis: Evidence from Korea Manufacturing Industry (with ChungAh Kim and Min Kyung Song), 2015, Journal of Korea Trade, 19(3), 79-97.
An Empirical Test for Okun's Law using a Smooth Time-Varying Parameter Approach: Evidence from East Asian Countries (with Myeong Jun Kim and Sang Y. Jei), 2015, Applied Economics Letters, 22(10), 788-795.
Determinants of Systematic Risk in the U.S. Restaurant Industry: A Technical Note (with Sang-Hyuck Kim), 2016, Tourism Economics, 22(3), 621-628.
A New Robust ARCH Test and YJ-GARCH Model (with Haiqi Li), 2011, Statistical Research, 29, 104-109.
Quantile elasticity of international tourism demand for South Korea using the quantile autoregressive distributed lag model (with Haiqi Li amd Seo), 2011, Tourism Economics, 17, 997-1015.
The Determinant of Volatility on International Tourism Demand: An Empirical Note (with Sang Y. Jei), 2010, Applied Economics Letters, 17, 217-223.
''Interrelationships among Korean Outbound Tourism Demand: Granger Causality Analysis'' (with Seo and Boo), 2010, Tourism Economics, 3, 597-610.
''The Analysis of the Relationships of Korean Outbound Tourism Demands: Jeju Island and Three International Destinations'' (with Seo and Larry Yu), 2009, Tourism Management, 30, 530-543.
"Financial Data Analysis Using Maximum Entropy Approach" (with Anil Bera), 2004, Proceedings of the International Statistical Conference, pp. 89-106, Sri Lanka (Refereed Articles).
"Use of Maximum Entropy Principle to Improve Distributional Assumption in ARCH model" (with Anil Bera), 2003, Proceedings of 2003 Joint Statistical Meeting, Business and Economic Statistics Section, American Statistical Association.
Working Papers
Multivariate Density Forecast Evaluation: Smooth Test Approach (with Stanley Ko), 2017. Submitted.
Stability of Money Demand in China : Distributional Dynamics Approach (with Yousha Liang and H. Ding), 2016. Submitted
Revisiting Time Varying Okun’s Law: Short-term and Long-term Fluctuations (with Myeong Jun Kim), 2016. Submitted
Testing for Stock Market Contagion : A Quantile Regression Approach (with Wendun Wang and Naijing Huang), 2015.
Information Theoretic Approaches to Income Density Estimation with an Application to the U.S. Personal Income data (with Anil Bera), 2016, Revised and Resubmitted.
Robust Specification Test to Moment Condition Models (with Haiqi Li), 2016.
Generalized Empirical Likelihood Specification Test Robust to Local Misspecification (with Haiqi Li), 2016.
Density Forecast Evaluation Using Data-Driven Smooth Test (with Yupeng Zhang), 2012.
Robust Portfolio Selection and S-shaped Utility (with Zhihuang Shuai), 2011.
The Fisher's Transformation for the Sample Correlation Coefficient: A Revisit (with Anil Bera), 2011.
Estimation of Maximum Entropy Density with Application to Income Distribution Dynamics, 2004.
Working In Progress
Maximum Entropy Based Test (with Stanley Ko).
Combining Forecast Densities Using Adaptive Mixing Strategy (with Stanley Ko).
Testing for Asymmetry: Location of Mode (with Stanley Ko).
Testing for Instrumental Variable Models under Weak Identification and Local Nonexogeneity (with Rui Fan).
A Unified Test for Linear and Nonlinear Granger Causality via Generalized Cross-Spectrum (with Haiqi Li).
Maximum Entropy Density Estimation under Inequality Moment Conditions.
A Robust Test of Structural Parameters to Nearly Exogenous Instruments.
Estimating Risk Neutral Densities from Option Prices under Uncertainty: A Maximum Entropy Approach (with Stanley Ko).
For Better Portfolio Performance: Constrained Covariance Matrix Estimator using Multivariate Skewed-t Distribution (with Young-Chan Joo).
Test for Asymmetry in Okun’s Law: Regression Spline Approach (with Myeong Jun Kim).
Revisit Forward Rate Unbiassedness Hypothesis : Smooth Time-Varying Parameter Approach (with Myeong Jun Kim and Yousha Liang).
- Estimation of Conditional Value at Risk Under Regression Quantiles.
Maximum Entropy Based-Test with Implication for Neyman's Smooth Test.
Information Matrix Test for Spatial Error Autoregressive Model (with Anil Bera and Pradosh Simlai).
A Robust Test for Constant Correlation in a Multivariate GARCH Model under Local Misspecification (with Haiqi Li).
TEACHING EXPERIENCE
Econometrics (Grad), Chung-Ang University, Fall 2015, 2016
Econometrics (Undergrad), Chung-Ang University, Spring 2015, 2016.
Mathematics for Economists (Undergrad), Chung-Ang University, Spring 2014, 2015, 2016.
Economic Statistics (Undergrad), Chung-Ang University, Fall 2013, 2014, 2015, 2016.
Public Finance (Undergrad), Chung-Ang University, Spring 2014.
Macroeconomics (Undergrad), Chung-Ang University, Fall 2013, 2014.
Econometric Theory and Applications (Grad), HSBC Business School, Peking University, Spring 2012 and Spring 2013.
Applied Econometrics (Grad), CUHK, Spring 2012 and Spring 2013.
Method of Economic Statistics (Undergrad), CUHK, Spring 2012 and Spring 2013.
Applied Time Series Analysis (Grad), CUHK, Spring 2011.
Applied Forecasting Method (Undergrad), CUHK, Spring 2011, Fall 2011, Fall 2012
Econometric Analysis (PhD), University of Illinois, Spring 2010.
Time Series Econometrics (PhD), University of Illinois, Fall 2009.
Introduction to Applied Econometrics (Undergrad), University of Illinois, Fall 2009.
Quantitative Investment Analysis (Master in Finance; joint with Singapore Management University), WISE, Xiamen University, Fall 2008.
Advanced Quantitative and Economic Analysis (Master in Finance; joint with Singapore Management University), WISE, Xiamen University, Spring 2008.
Econometrics II (Graduate), WISE, Xiamen University, Spring 2008, Spring 2009.
Time Series Econometrics (Graduate), WISE, Xiamen University, Spring 2008, Spring 2009.
Teaching Assistant, Economic Statistics (Ph.D. course), UIUC, Fall 2006.
Teaching Assistant, Economic Statistics II (Undergraduate course), UIUC, Fall 2005, Spring 2005.
Instructor, Applied Econometrics, Department of Economics, Chung-Ang University, Summer 2004.
Teaching Assistant, Advanced Corporate Finance, UIUC, Spring 2002.
HONORS AND AWARDS
Direct Grant Award (3), CUHK, 2010, 2011, 2012
Conference Travel Grant Award, Department of Economics, UIUC. Sep. 2005; Oct. 2005; Oct. 2006.
Graduate College Conference Travel Grant Award, UIUC. Oct. 2003; Sep. 2004; Oct. 2005; Oct. 2006.
Information and Entropy Econometrics (IEE) Conference Grant Award, American University. Sep. 2005.
List of Teaching Assistant rated as Excellent, UIUC. Spring 2005; Fall 2006.
Hans Brems Best Research Paper Award (honorable mention), Department of Economics, UIUC, May 2005.
Hans Brems Best Research Paper Award, Department of Economics, UIUC, May 2003.
Best Paper Award, 79th Annivarsary of Chung-Ang Univeristy Foundation, Chung-Ang University, May 1997.
- Full University Undergraduate Scholarship, Chung-Ang University, 1996, 1997.
PRESENTATION IN CONFERENCE AND SEMINARS
- Invited Seminar, Department of Finance and Business Economics, University of Macau, Macau, China, Dec. 14, 2015.
- Invited Seminar, The Korea Econometric Study Group, Department of Economics, Sungkyunkwan University, Seoul, Korea, Nov. 27, 2015.
- Invited Seminar, Department of Business Statistics and Econometrics, Guanghua School of Management, Peking University, Beijing, China, Apr. 19, 2015.
- The 2015 Korea's Allied Economic Association Annual Meeting, Yonsei University, Seoul, Korea, Feb. 24 - 25, 2015.
- Invited Lecture, The Institute of Management Research, Kangwon National University, Chuncheon, Korea, Dec. 17, 2014.
- The Third International Conference on Futures and Derivative Markets, Shanghai Institute of Futures and Derivatives, Pudong, Shanghai, China, Oct. 30 - Nov. 2, 2014.
- The 2014 Summer Meeting The Korea Academic Society of Industrial Organization, Jeju National University, Jeju, Korea, Aug. 22, 2014.
- The 2014 Korean Econometric Society, Sol Beach & Resort, Yangyang, Korea, Jun. 27-28, 2014.
- The 2014 Anual Meeting The Korean Asociation of Applied Economics, Chung-Ang University, Seoul, Korea, Apr. 18, 2014.
- Invited Seminar, Department of Economics, Kyung Hee University, Korea, Mar. 18, 2014.
The 23rd Annual Meeting of the Midwest Econometrics Group, Indiana University, Bloomington. Indiana, Oct. 25-26, 2013.
- Invited Seminar, Department of Economics, Korea University, Korea, Sep. 27, 2013.
- The 2012 Asian Meeting of the Econometric Society, Delhi, India, Dec. 20-22, 2012.
- Invited Seminar, Department of Economics, Yonsei University, Korea, Sep. 20, 2012.
- Invited Seminar, Korea Energy Economics Institute, Korea, Oct. 6, 2011.
- The 2011 Asian Meeting of the Econometric Society, Korea University, Seoul, Korea, August 11-13, 2011.
- Invited Seminar, Department of Economics, HKUST, Hong Kong, China, Apr. 13, 2011.
- Invited Seminar, Antai College of Economics and Management, Shanghai Jiao Tong University, Shanghai, China, Mar. 10, 2011.
- Invited Seminar, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University, Xiamen, China, Oct. 14, 2010.
Invited Seminar, The Research Institute of Economics and Management (RIEM), Southwestern University of Finance and Economics, Chengdu, China, Oct. 8, 2010.
The 20th Annual Meeting of the Midwest Econometrics Group, Washing University, St. Louis, Missouri, Oct. 1-2, 2010.
Info-Metrics: Theory and Applications in the Social Sciences, American University, Washington D.C., Sep. 24-25, 2010.
The 10th World Congress of the Econometric Society, Shanghai, China, Aug. 17-21, 2010.
Invited Seminar, Department of Economics and Statistics, Korea University, Korea, July 27, 2010.
The International Symposium on Econometrics of Specification Tests in 30 Years (TEST 2010), WISE, Xiamen University, Xiamen, June 24-25, 2010.
The 19th Annual Meeting of the Midwest Econometrics Group, Purdue University, West Lafayette, Indiana, Sep. 11-12, 2009
The 2009 SummerWorkshop in Econometrics, Tsinghua University, Beijing, China, May 31 - June 1, 2009.
The 18th Annual Meeting of the Midwest Econometrics Group, University of Kansas, Lawrence, Kansas, Oct. 17-18, 2008.
Invited Seminar, Department of Finance, Ajou University, Korea, July 9, 2008.
Invited Seminar, Dicipline of Econometrics and Business Statistics, University of Sydney, Australia, June 11, 2008.
The 2008 International Symposium on Econometric Theory and Applications (SETA2008), Seoul National University, Korea, May 28-30, 2008.
2008 International Symposium on Recent Developments of Time Series Econometrics, Xiamen University, China, May 10-12, 2008.
Xiamen University - Humboldt University at Berlin Economics & Finance Workshop 2008, Xiamen University, China, Apr. 10-11, 2008.
Cino-Korean Econometrics Workshop 2007, Xiamen University, Dec. 12-13, 2007.
The 17th Annual Meeting of the Midwest Econometrics Group, Saint Louis University, St. Louis, Oct. 12-13, 2007.
The 16th Annual Meeting of the Midwest Econometrics Group, University of Cincinnati, Cincinnati, Oct. 6-7, 2006.
Econometrics Lunch Seminar, Department of Economics, UIUC, May 5, 2006.
The 15th Annual Meeting of the Midwest Econometrics Group, Southern Illinois University, Carbondale, Oct. 13-15, 2005.
The Second International Conference on Recent Developments in the Theory, Method and Application of Information and Entropy Economictrics, American University, Washington D.C., Sep. 23-25, 2005.
The 21th Canadian Econometrics Study Group Conference, York University, Toronto, Ontario, Canada, Sep. 24-26, 2004.
The 13th Annual Meeting of the Midwest Econometrics Group, University of Missouri, Columbia, Oct. 17-18, 2003.
The First International Conference on Recent Developments in the Theory, Method and Application of Information and Entropy Economictrics, American University, Washington D.C., Sep. 19-21, 2003.
The Social Science Conference, Chung-Ang University, Seoul, May 15, 1999.
ACADEMIC SERVICES
Editor, Journal of Economic Development, Feb. 2015 - Present
Member, Econometric Society
Member, American Economic Association.
Member, Korea Econometric Society
REFEREEING
Academia Economic Papers; Advances in Statistical Analysis; Annals of Regional Science; Applied Stochastic Models in Business and Industry; Applied Economics; Econometric Reviews; Econometric Theory; Econometrica; Emerging Markets Finance and Trade; Empirical Economics; Energies; Energy Economics; Energy Policy; Entropy; European Journal of Finance; Housing, Theory and Society; International Review of Economics and Finance; International Review of Financial Analysis; Journal of Applied Econometrics; Journal of Business and Economic Statistics; Journal of Econometrics; Journal of Economic Development; Journal of Futures Markets; Journal of Mathematical Modelling and Algorithms; Journal of Statistical Computation and Simulation; Journal of Population Economics; Physica A; Probabilistic Engineering Mechanics; Quantitative Finance; Quarterly Review of Economics and Finance; Tourism Economics; Tourism Management.
REFERENCE
Anil K. Bera
Professor of Economics
University of Illinois at Urbana-Champaign
1206 S. Sixth St., Champaign, IL 61820
Office: +1 (217) 333-4596
Email: abera@uiuc.eduRoger Koenker
McKinley Professor of Economics and Professor of Statistics
University of Illinois at Urbana-Champaign
1206 S. Sixth St., Champaign, IL 61820
Office: +1 (217) 333-4558
Email: rkoenker@illinois.eduZhongjun Qu
Associate Professor of Economics
Boston University
270 Bay State Road, Boston, MA 02215
Office: +1 (617) 353-3184
Email: qu@bu.eduZ