통합검색

College of Economics - College of Economics

List KOR
  • Professor Emeritus Econometrics
  • PARK, JOON-YONG
CV1

Education

  • 1978 B.S., Seoul National University, Seoul, Korea.
  • 1983 Ph.D. Candidate in Economics, University of Iowa, Iowa City, Iowa, USA.
  • 1987 Ph.D. in Economics, Yale University, New Haven, Connecticut, USA.
  • Doctoral Dissertation supervised by P.C.B. Phillips and entitled “Statistical Inference in Linear Models with Integrated Processes.”

Experience

  • 2009.7 - present: Professor of Economics, Wisnewsky Professor of Human Studies, and Adjunct Professor of Statistics, Indiana University.
  • 2024.3 - present: Professor Emeritus, Sungkyunkwan University, Korea.
  • 2020.3 - 2024.2: Munhaeng Distinguished Chair Professor, Sungkyunkwan University, Korea.
  • 2004.3 - 2020.2: Special Term Professor of Economics, Sungkyunkwan University, Korea.
  • 2006.7 - 2009.8: Professor of Economics, and Everett Chair in Liberal Arts, Texas A&M University.
  • 2002.7 - 2006.6: Professor of Economics, Rice University.
  • 1992.3 - 2004.2: Professor of Economics, Seoul National University, Korea.
  • 1991.7 - 1993.8: Associate Professor of Economics, University of Toronto, Canada.
  • 1987.7 - 1991.6: Assistant Professor of Economics, Cornell University.

Journal Articles

  • (2021)  ESTIMATION OF VOLATILITY FUNCTIONS IN JUMP DIFFUSIONS USING TRUNCATED BIPOWER INCREMENTS.  ECONOMETRIC THEORY.  37,  5
  • (2021)  Nonparametric Estimation of Jump Diffusion Models.  JOURNAL OF ECONOMETRICS.  1,  C
  • (2020)  Testing for Stationarity at High Frequency.  JOURNAL OF ECONOMETRICS.  215,  1
  • (2019)  Estimation of longrun variance of continuous time stochastic process using discrete sample.  JOURNAL OF ECONOMETRICS.  210,  2
  • (2017)  A new approach to model regime switching.  JOURNAL OF ECONOMETRICS.  196,  1
  • (2017)  Asymptotics for recurrent diffusions with application to high frequency regression.  JOURNAL OF ECONOMETRICS.  196,  1
  • (2016)  A new approach to modeling the effects of temperature fluctuations on monthly electricity demand.  ENERGY ECONOMICS.  60, 
  • (2016)  Disentangling temporal patterns in elasticities: A functional coefficient panel analysis of electricity demand.  ENERGY ECONOMICS.  60, 
  • (2016)  Evaluating factor pricing models using high-frequency panels.  QUANTITATIVE ECONOMICS.  7,  3
  • (2016)  A reexamination of stock return predictability.  JOURNAL OF ECONOMETRICS.  192,  1
  • (2016)  Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models.  JOURNAL OF ECONOMETRICS.  192,  1
  • (2016)  Nonstationarity in time series of state densities.  JOURNAL OF ECONOMETRICS.  192,  1
  • (2016)  TESTING FOR A UNIT ROOT AGAINST TRANSITIONAL AUTOREGRESSIVE MODELS.  INTERNATIONAL ECONOMIC REVIEW.  57,  2
  • (2015)  Does ambiguity matter? Estimating asset pricing models with a multiple-priors recursive utility.  JOURNAL OF FINANCIAL ECONOMICS.  115,  2
  • (2014)  Time-varying Long-run Income and Output Elasticities of Electricity Demand with an Application to Korea.  ENERGY ECONOMICS.  46,  Special SI
  • (2014)  GARCH with omitted persistent covariate.  ECONOMICS LETTERS.  124,  2
  • (2014)  An asymptotic analysis of likelihood-based diffusion model selection using high frequency data.  JOURNAL OF ECONOMETRICS.  178, 
  • (2014)  NONSTATIONARY NONLINEARITY: A SURVEY ON PETER PHILLIPS'S CONTRIBUTIONS WITH A NEW PERSPECTIVE.  ECONOMETRIC THEORY.  30,  4
  • (2012)  Stationarity-based specification tests for diffusions when the process is nonstationary.  JOURNAL OF ECONOMETRICS.  169,  2
  • (2012)  Random walk or chaos: A formal test on the Lyapunov exponent.  JOURNAL OF ECONOMETRICS.  169,  1

Publications

  • (2002)  경제시계열분석.  경문사.  Co-author
  • (1995)  資本自由化論: 理論과 우리 現實』.  법문사.  Co-author

Honors / Awards

  • 2014, 2020 Trustees Teaching Award, Indiana University
  • 2014 Plura Scripsit Award, Econometric Theory
  • 2012 Weatherall Distinguished Fellow, Queens University.
  • 2012 Dasan Economics Award, The Korea Economic Daily
  • 2010 Cho-Rak-Kyo Economics Award, Yonsei University
  • 2007 Fellow, Journal of Econometrics
  • 2004 Economist Award, The Maeil Business Newspaper
  • 2002 Fellow, Econometric Society
  • 2001 Faculty of the Year, Alumni, Seoul National University
  • 1999 Teacher of the Year, Department of Economics, Yale University
  • 1999 Multa Scripsit Award, Econometric Theory
  • 1996 Cheongram Award, Korean Economic Association
  • 1987 Carl A. Anderson’s Award, Cowles Foundation for Research in Economics, Yale University
  • 1986 Doctoral Dissertation Fellowship, Alfred P. Sloan Foundation

Conference Paper

  • (2013)  Regressions at High Frequency.  the 23rd Annual Meeting of the Midwest Econometrics Group Conference.  UNITED STATES
  • (2013)  Mean Reversion and Unit Root Properties of Diffusion Models.  Princeton-QUT-SMU Conference on Measuring Risk.  UNITED STATES
  • (2013)  Regime Switching Model with Endogenous Autoregressive Latent Factor.  2013 African Econometric Society Meeting.  GHANA
  • (2013)  Mean Reversion and Unit Root Properties of Diffusion Models.  Conference on Stochastic Dominance and Related Themes.  UNITED KINGDOM
  • (2011)  Asymptotic Theory of Maximum Likelihood Estimator for Diffusion Model.  2011 World Statistics Congress of the International Statistical Institute (ISI).  IRELAND
  • (2011)  Martingale Regressions for Conditional Mean Models in Continuous Time.  Frontiers in Financial Econometrics Workshop.  AUSTRALIA
  • (2011)  Martingale Regressions for Conditional Mean Models in Continuous Time.  University of Sydney.  AUSTRALIA
  • (2011)  Asymptotic Theory of Maximum Likelihood Estimator for Diffusion Model.  Oxford University.  UNITED KINGDOM
  • (2011)  Nonstationarity in Time Series of State Densities.  Conference in Honor of Joel Horowitz.  UNITED KINGDOM
  • (2011)  Martingale Regressions for Conditional Mean Models in Continuous Time.  5th CIREQ Time Series Conference.  CANADA
  • (2011)  Martingale Regressions for Conditional Mean Models in Continuous Time.  Nonlinear and Financial Econometrics Conference.  FRANCE
  • (2010)  Asymptotic Theory of Maximum Likelihood Estimator for Diffusion Model.  International Symposium on Financial Engineering and Risk Management.  TAIWAN
  • (2010)  Asymptotic Theory of Maximum Likelihood Estimator for Diffusion Model.  International Symposium on Financial Engineering and Risk Management.  TAIWAN
  • (2001)  Nonstationary Nonlinearity: An Outlook for New Opportunities.  2001 Econometric Society Australasian Meeting.  AUSTRALIA