Jihyun Kim
Sungkyunkwan University
Associate Professor
Toulouse School of Economics
Research Associate
kim.jihyun@skku.edu
Publications
New Robust Inference for Predictive Regressions
Rustam Ibragimov, Jihyun Kim, Anton Skrobotov (2023)
Econometric Theory, forthcoming
Uniform and Lp Convergences for Nonparametric Continuous Time Regressions with Semiparametric Application
Ruijun Bu, Jihyun Kim, Bin Wang (2023)
Journal of Econometrics
Nonstationary Volatility Regressions
Jihyun Kim (2022)
Journal of Economic Theory and Econometrics
Forecasting Energy Consumption using a Bias-corrected Nonparametric Estimation Method
Jihyun Kim, Minsoo Jeong (2021)
Journal of The Korean Data Analysis Society
Estimation of Volatility Functions in Jump Diffusions Using Truncated Bipower Increments
Jihyun Kim, Joon Y. Park, Bin Wang (2021)
Econometric Theory
Volatility Regressions with Fat Tails
Jihyun Kim, Nour Meddahi (2020)
Journal of Econometrics
Asymptotics for Recurrent Diffusions with Application to High Frequency Regression
Jihyun Kim, Joon Y. Park (2017)
Journal of Econometrics
Contests with Bilateral Delegation: Unobservable Contracts
Kyung Hwan Baik, Jihyun Kim (2014)
Journal of Institutional and Theoretical Economics
Local Linear Estimation of Nonparametric Cointegrating Regression
Jihyun Kim, Changsik Kim (2010)
Journal of Economic Theory and Econometrics
Working Papers
Unit Root, Mean Reversion and Nonstationarity in Financial Time Series
Jihyun Kim, Joon Y. Park
Journal of Econometrics, R&R
Stationary Ultra Long Run Component
Christian Gouriéroux, Jihyun Kim, Nour Meddahi
Journal of Econometrics, R&R
Revisiting Continuous Time Limits of Volatility Processes
Jihyun Kim, Nour Meddahi
Forecast Comparison Tests Under Fat Tails
Jihyun Kim, Nour Meddahi, Mamiko Yamashita
Semiparametric Multiplicative GARCH-X Model: Adopting Economic Variables to Explain Volatility
Heejoon Han, Jihyun Kim, Dennis Kristensen
Moduli of Continuity of Brownian Motion and Related Processes over an Expanding Time Interval
Shin Kanaya, Jihyun Kim, Joon Y. Park