Curriculum Vitae
EDUCATION
Ph.D., Economics, University of Illinois at Urbana-Champaign, 2007.
M.S., Statistics, University of Illinois at Urbana-Champaign, 2006.
M.S., Economics, University of Illinois at Urbana-Champaign, 2002.
M.A., Economics, Chung-Ang University, Korea, 2000.
B.A., Economics, Chung-Ang University, Korea, 1998.
FIELDS OF INTERESTS
Econometrics, Applied Econometrics, Financial Econometrics, Empirical Finance, Applied Microeconomics.
DISSERTATION
Title: Essays on Maximum Entropy Principle with Applications to Econometrics and Finance
Advisor: Professor Anil K. Bera.
PUBLICATIONS AND WORKING PAPERS
Publications
An Estimation of U.S. Gasoline Demand : A Smooth Time-Varying Cointegration Approach (with Guochang Zhao), 2010, Energy Economics, 32, 110-120.
''Estimation and Hedging Effectiveness of Time-Varying Hedge Ratio: Flexible Bivariate GARCH Approaches'' (with Sang Y. Jei), 2010, Journal of Futures Markets, 30, 71-99.
''The Analysis of the Relationships of Korean Outbound Tourism Demands: Jeju Island and Three International Destinations'' (with Joo H. Seo and Larry Yu), 2009, Tourism Management, 30, 530-543.
"Maximum Entropy Autoregressive Conditional Heteroskedasticity Model" (with Anil Bera), 2009, Journal of Econometrics, 150, 219-230.
"The Determinant of Volatility on International Tourism Demand: An Empirical Note" (with Sang Y. Jei), 2010, Applied Economics Letters, 17, 217-223.
"Optimal Portfolio Diversification Using Maximum Entropy Principle" (with Anil Bera), 2008, Econometric Reviews, 27, 484-512.
"Financial Data Analysis Using Maximum Entropy Approach" (with Anil Bera), 2004, Proceedings of the International Statistical Conference, pp. 89-106, Sri Lanka (Refereed Articles).
"Use of Maximum Entropy Principle to Improve Distributional Assumption in ARCH model" (with Anil Bera), 2003, Proceedings of 2003 Joint Statistical Meeting, Business and Economic Statistics Section, American Statistical Association.
Working Papers
Density Forecast Evaluation Using Data-Driven Smooth Test (with Yupeng Zhang), 2010.
A Simple Spatial Dependence Test Robust to Local Parametric and Distributional Misspecifications (with Ying Fang and Jingfeng Zhang), 2010.
Robust Specification Test to Moment Condition Models (with Haiqi Li), 2010.
Money Demand in China : A Time-Varying Cointegration Approach (with Haomiao Zuo), 2010, Submitted.
Generalized Empirical Likelihood Specification Test Robust to Local Misspecification (with Haiqi Li), 2009.
Robust Portfolio Selection with S-shaped Utility (with Zhihuang Shuai), 2009.
Testing for Stock Market Contagion : A Quantile Regression Approach (with WendunWang and Naijing Huang), 2009.
The Fisher's Transformation for the Sample Correlation Coefficient: A Revisit (with Anil Bera), 2009.
Which Quantile is the Most Informative : Maximum Entropy Quantile Regression (with Anil K. Bera, Antonio Galvao and Gabriel Montes-Rojas), 2010, Revised and Resubmitted to Journal of Econometrics.
Quantile Autoregressive Distributed Lag Model with an Application to Housing Price Returns (with Antonio Galvao and Gabriel Montes-Rojas), 2009, Submitted.
Information Theoretic Approaches to Income Density Estimation with an Application to the U.S. Personal Income data (with Anil Bera), 2009, Submitted.
Estimation of Maximum Entropy Density with Application to Income Distribution Dynamics, 2004.
Working In Progress
Estimating Optimal Conditional Hedge Ratio: A Semi-Parametric Approach (with Haomiao Zuo and Shicheng Huang).
A Robust Test of Structural Parameters to Nearly Exogenous Instruments (with Rui Fan and Ying Fang).
Estimating Risk Neutral Densities from Option Prices under Uncertainty: A Maximum Entropy Approach (with Zhenxuan Zhang).
Diffusion Effects or Curse of Resources? An Evidence from China (with Rui Fan and Ying Fang).
- Estimation of Conditional Value at Risk Under Regression Quantiles.
Maximum Entropy Based-Test with Implication for Neyman's Smooth Test.
Information Matrix Test for Spatial Error Autoregressive Model (with Anil Beta, Pradosh Simlai and Jingfeng Zhang).
Testing for Spatial Effect Under Distributional Misspecification (with Jingfeng Zhang).
A Robust Test for Constant Correlation in a Multivariate GARCH Model under Local Misspecification (with Haiqi Li).
RESEARCH EXPERIENCE
Research Assistant for Professor Anil K. Bera, Department of Economics, UIUC, Fall 2005 - Spring 2006; Spring 2007.
Research Assistant for Professor Scott Weisbenner and NBER, Analysis of 401(k) Investment Options, Department of Finance, UIUC, and NBER. Fall 2002 - Spring 2004.
Research Assistant for Professor Kookshin Ahn, Department of Economics, Chung-Ang University, Spring 1998 - Spring 2000.
TEACHING EXPERIENCE
Econometric Analysis (PhD), University of Illinois, Spring 2010.
Time Series Econometrics (PhD), University of Illinois, Fall 2009.
Introduction to Applied Econometrics (Undergrad), University of Illinois, Fall 2009.
Quantitative Investment Analysis (Master in Finance; joint with Singapore Management University), WISE, Xiamen University, Fall 2008.
Advanced Quantitative and Economic Analysis (Master in Finance; joint with Singapore Management University), WISE, Xiamen University, Spring 2008.
Econometrics II (Graduate), WISE, Xiamen University, Spring 2008, Spring 2009.
Time Series Econometrics (Graduate), WISE, Xiamen University, Spring 2008, Spring 2009.
Teaching Assistant, Economic Statistics (Ph.D. course), UIUC, Fall 2006.
Teaching Assistant, Economic Statistics II (Undergraduate course), UIUC, Fall 2005, Spring 2005.
Instructor, Applied Econometrics, Department of Economics, Chung-Ang University, Summer 2004.
Teaching Assistant, Advanced Corporate Finance, UIUC, Spring 2002.
HONORS AND AWARDS
Conference Travel Grant Award, Department of Economics, UIUC. Sep. 2005; Oct. 2005; Oct. 2006.
Graduate College Conference Travel Grant Award, UIUC. Oct. 2003; Sep. 2004; Oct. 2005; Oct. 2006.
Information and Entropy Econometrics (IEE) Conference Grant Award, American University. Sep. 2005.
List of Teaching Assistant rated as Excellent, UIUC. Spring 2005; Fall 2006.
Hans Brems Best Research Paper Award (honorable mention), Department of Economics, UIUC, May 2005.
Hans Brems Best Research Paper Award, Department of Economics, UIUC, May 2003.
Best Paper Award, 79th Annivarsary of Chung-Ang Univeristy Foundation, Chung-Ang University, May 1997.
- Full University Undergraduate Scholarship, Chung-Ang University, 1996, 1997.
PRESENTATION IN CONFERENCE AND SEMINARS
Invited Seminar, Department of Economic Statistics, Korea University, Korea, July 27, 2010.
The International Symposium on Econometrics of Specification Tests in 30 Years (TEST 2010), WISE, Xiamen University, Xiamen, June 24-25, 2010.
The 19th Annual Meeting of the Midwest Econometrics Group, Purdue University, West Lafayette, Indiana, Sep. 11-12, 2009
The 2009 SummerWorkshop in Econometrics, Tsinghua University, Beijing, China, May 31 - June 1, 2009.
The 18th Annual Meeting of the Midwest Econometrics Group, University of Kansas, Lawrence, Kansas, Oct. 17-18, 2008.
Invited Seminar, Department of Finance, Ajou University, Korea, July 9, 2008.
Invited Seminar, Dicipline of Econometrics and Business Statistics, University of Sydney, Australia, June 11, 2008.
The 2008 International Symposium on Econometric Theory and Applications (SETA2008), Seoul National University, Korea, May 28-30, 2008.
2008 International Symposium on Recent Developments of Time Series Econometrics, Xiamen University, China, May 10-12, 2008.
Xiamen University - Humboldt University at Berlin Economics & Finance Workshop 2008, Xiamen University, China, Apr. 10-11, 2008.
Cino-Korean Econometrics Workshop 2007, Xiamen University, Dec. 12-13, 2007.
The 17th Annual Meeting of the Midwest Econometrics Group, Saint Louis University, St. Louis, Oct. 12-13, 2007.
The 16th Annual Meeting of the Midwest Econometrics Group, University of Cincinnati, Cincinnati, Oct. 6-7, 2006.
Econometrics Lunch Seminar, Department of Economics, UIUC, May 5, 2006.
The 15th Annual Meeting of the Midwest Econometrics Group, Southern Illinois University, Carbondale, Oct. 13-15, 2005.
The Second International Conference on Recent Developments in the Theory, Method and Application of Information and Entropy Economictrics, American University, Washington D.C., Sep. 23-25, 2005.
The 21th Canadian Econometrics Study Group Conference, York University, Toronto, Ontario, Canada, Sep. 24-26, 2004.
The 13th Annual Meeting of the Midwest Econometrics Group, University of Missouri, Columbia, Oct. 17-18, 2003.
The First International Conference on Recent Developments in the Theory, Method and Application of Information and Entropy Economictrics, American University, Washington D.C., Sep. 19-21, 2003.
The Social Science Conference, Chung-Ang University, Seoul, May 15, 1999.
ACADEMIC SERVICES
Awards Committee, Department of Economics, UIUC, 2005.
Session Chair and Discussant, Cino-Korean Econometrics Workshop, Xiamen University, 2007.
Recruiting Committee, WISE, Xiamen University, 2008.
Session Chair and Discussant, The 2008 International Symposium on Recent Developments of Time Series Econometrics, Xiamen University, 2008.
REFEREEING
Advances in Statistical Analysis
Annals of Regional Science
Applied Stochastic Models in Business and Industry (2)
Applied Economics (2)
Econometric Reviews (2)
Econometric Theory
Journal of Business and Economic Statistics
Journal of Econometrics (2)
Probabilistic Engineering Mechanics
Quantitative Finance
Quarterly Review of Economics and Finance
REFERENCE
Anil K. Bera
Professor of Economics
University of Illinois at Urbana-Champaign
1206 S. Sixth St., Champaign, IL 61820
Office: +1 (217) 333-4596
Email: abera@uiuc.eduRoger Koenker
McKinley Professor of Economics and Professor of Statistics
University of Illinois at Urbana-Champaign
1206 S. Sixth St., Champaign, IL 61820
Office: +1 (217) 333-4558
Email: rkoenker@illinois.eduZhongjun Qu
Assistant Professor of Economics
Boston University
270 Bay State Road, Boston, MA 02215
Office: +1 (617) 353-3184
Email: qu@bu.eduZhijie Xiao
Professor of Economics
Boston College
Chestnut Hill, Boston, MA 02467
Office: +1 (617) 552-1709
Email: zhijie.xiao@bc.edu