전임교수
김윤미
연구분야
응용거시경제학, 시계열분석
학력
- Ph.D., Economics, University of Washington, 2008.
- 경제학석사, 고려대학교, 2003.
- 경제학사, 고려대학교, 2001.
주요 경력
- 2013. 03~현재서울시립대 경제학부, 조교수/부교수/교수
- 2011. 09~2013. 02국민대학교 경제학과, 조교수
- 2008. 07~2011. 08University of Manitoba, 조교수
대표 논문
- Dealing with Markov-switching parameters in quantile regression models (with Lijuan Huo and Taehwan Kim), Communications in Statistics-Simulation and Computation, 51(11), 2022, pp.6773-6791.
- A unified framework jointly explaining business conditions, stock returns, volatility and ‘volatility feedback news’ effects (with Changjin Kim), Studies in Nonlinear Dynamics & Econometrics, 23(2), 2019, pp.1-14.
- The instability of the Pearson correlation coefficient in the presence of coincidental outliers (with Taehwan Kim and Tolga Ergun), Finance Research Letters, 13, 2015, pp.243-257.
- Pricing Stock Market Volatility: Does it Matter whether the Volatility is Related to the Business Cycle? (with Charles R. Nelson), Journal of Financial Econometrics, 12(2), 2014, pp.307-328.
- Dealing with Endogeneity in a Time-Varying Parameter Model: Joint Estimation and Two-Step Estimation Procedures (with Changjin Kim), The Econometrics Journal, 14, 2011, pp.487-497.