Research Interest
- Time Series Econometrics, Forecasting methods, Finance, Macroeconomics and Monetary Economics
Publications
- "Long Memory versus Structural Breaks in Modeling and Forecasting Realized Volatility," (with Eric Zivot and Kyongwook Choi), Journal of International Money and Finance, forthcoming.
- "Term Time Employment and the Academic Performance of Undergraduates," (with Michael Wenz), Journal of Education Finance, forthcoming.
- "Markov Switching and Long Memory: A Monte Carlo Analysis," 2009, Applied Economics Letters, 16:12, 1205-10.
- "Dynamic Hedging Performance with the Evaluation of Multivariate GARCH Models: Evidence from KOSTAR Index Futures," (with Gyu-Hyen Moon and Chung-Hyo Hong), 2009, Applied Economics Letters, 16:9, 913-19.
- "Parsimonious Modeling and Forecasting of Corporate Yield Curve," (with Donald Salyards), 2009, Journal of Forecasting, 28:1, 73-88. [Data]
- "A Securitized Market for Human Capital," (with Donald Salyards), 2008, Economic Affairs, 28:3, 50-56.
- "Macroeconomic and Financial Market Volatilities: An Empirical Evidence of Factor Model," 2008, Economics Bulletin, Vol. 3, No. 33, 1-18.
Book Contributions
- "The Great Destruction: The Causes of Global Financial Crisis in 2008," (with David Kesler and Mussie Tessema), in Global Financial Crisis: Its Impact on Indian Economy, Serials Publications, 2010.
- "Changes in the Labor Market of Women in Taiwan from 1978 to 2007," (with Gabriel Manrique), in Women in Taiwan: Social and Cultural Perspectives, University of Indianapolis Press, 2009.
Working Papers
Work in Progress
- "The Regional Factor Analysis of the US Housing Market," (with Michael Wenz)