Jihyun Kim
Sungkyunkwan University
Associate Professor
Toulouse School of Economics
Research Associate
kim.jihyun@skku.edu
 

Curriculum Vitae [pdf]

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Publications

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 New Robust Inference for Predictive Regressions

   Rustam Ibragimov, Jihyun Kim, Anton Skrobotov (2023)

   Econometric Theory, forthcoming

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Uniform and Lp Convergences for Nonparametric Continuous Time Regressions with Semiparametric Application

   Ruijun Bu, Jihyun Kim, Bin Wang (2023)

   Journal of Econometrics

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Nonstationary Volatility Regressions

   Jihyun Kim (2022)

   Journal of Economic Theory and Econometrics

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Forecasting Energy Consumption using a Bias-corrected Nonparametric Estimation Method

   Jihyun Kim, Minsoo Jeong (2021)

   Journal of The Korean Data Analysis Society

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Estimation of Volatility Functions in Jump Diffusions Using Truncated Bipower Increments

   Jihyun Kim, Joon Y. Park, Bin Wang (2021)

   Econometric Theory

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Volatility Regressions with Fat Tails

   Jihyun Kim, Nour Meddahi (2020)

   Journal of Econometrics

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Asymptotics for Recurrent Diffusions with Application to High Frequency Regression

   Jihyun Kim, Joon Y. Park (2017)

   Journal of Econometrics

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Contests with Bilateral Delegation: Unobservable Contracts

   Kyung Hwan Baik, Jihyun Kim (2014)

   Journal of Institutional and Theoretical Economics

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Local Linear Estimation of Nonparametric Cointegrating Regression

   Jihyun Kim, Changsik Kim (2010)

   Journal of Economic Theory and Econometrics 

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Working Papers

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Unit Root, Mean Reversion and Nonstationarity in Financial Time Series

   Jihyun Kim, Joon Y. Park

   Journal of Econometrics, R&R

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Stationary Ultra Long Run Component

   Christian Gouriéroux, Jihyun Kim, Nour Meddahi

   Journal of Econometrics, R&R   

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Revisiting Continuous Time Limits of Volatility Processes

   Jihyun Kim, Nour Meddahi

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Forecast Comparison Tests Under Fat Tails

   Jihyun Kim, Nour Meddahi, Mamiko Yamashita

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Semiparametric Multiplicative GARCH-X Model: Adopting Economic Variables to Explain Volatility

   Heejoon Han, Jihyun Kim, Dennis Kristensen

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Moduli of Continuity of Brownian Motion and Related Processes over an Expanding Time Interval

   Shin Kanaya, Jihyun Kim, Joon Y. Park

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