성명 | 이태욱 교수님 | |
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전공 | 금융시계열분석 | |
연구실 | 자연과학대학 504호 | |
twlee@hufs.ac.kr | ||
연락처 | 031-330-4858 | |
학력 | 서울대학교 통계학과 이학사 (2000) 서울대학교 통계학과 이학박사 (2007) |
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경력 | 고려대학교 인간유전체연구소 연구원 (2004) 서울대학교 통계학과 박사후연구원 (2007) 한국외국어대학교 통계학과 전임강사 (2008~2009) 한국외국어대학교 통계학과 조교수 (2009~2013) 한국외국어대학교 통계학과 부교수 (2013~2016) 한국외국어대학교 통계학과 교수 (2016~) |
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연구분야 | 금융시계열 분석, 금융공학, 확률과정 |
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논문 | [1] Lee, T and Lee, S (2004) Cusum test for parameter change based on the maximum likelihood estimator. Sequential Analysis 23, 239-256. [2] Lee, T and Lee, S (2005) Prevalence of insomnia and its relationship to menopausal status in middle-aged Korean women. Psychiatry and Clinical Neurosciences 59, 239-256. [3] Lee, T and Lee, S (2005) Test for Parameter Change in Linear Processes Based on Whittle's Estimator. Communications in Statistics: Theory and Methods 39, 2129-2141. [4] Lee, T and Lee, S (2008) Robust Estimation for the Order of Finite Mixture Models. Metrika, 68, 365-390. [5] Lee, T and Lee, S (2009) Consistency of minimizing a penalized density power divergence estimator for mixing distribution. Statistical Papers, 50, 67-80. [6] Lee, T and Lee, S (2009) Normal Mixture Quasi Maximum Likelihood Estimator for GARCH models. Scandinavian Journal of Statistics, 36, 157-170. [7] Lee, T and Lee, S (2010) Robust Estimation for Order of Hidden Markov Models Based on Density Power Divergence. Journal of Statistical Computation and Simulation, 80, 503-512. [8] Lee, S, Park, S and Lee, T (2010) A Note on the Jarque-Bera Normality Test for GARCH Innovations. Journal of the Korean Statistical Society, 39, 93-102. [9] Lee, T and Lee, S (2011) Value-at-risk forecasting based on Gaussian mixture ARMA-GARCH model. Journal of Statistical Computation and Simulation, 81, 1131-1144. [10] Ha, J and Lee, T (2011) NM-QELE for ARMA-GARCH models with non-Gaussian innovations. Statistics and Probability Letters, 81, 694-703. [11] Lee, T (2012) A Note on the Jarque-Bera Normality Test for ARMA-GARCH Innovations. Journal of the Korean Statistical Society, 41, 37-48. [12] Lee, S and Lee, T (2012) Inference for Box-Cox Transformed Threshold GARCH Models with Nuisance Parameter. Scandinavian Journal of Statistics, 39, 568-589. [13] Lee, T (2013) On Jarque-Bera normality and cusum parameter change tests for BCTT-GARCH models. Economics Letters, 119, 50-54. [14] Yoon, Y, Park, C and Lee, T (2013) Penalized regression models with autoregressive error terms. Journal of Statistical Computation and Simulation, 83, 1756-1772. [15] Kim, M, Lee, T, Noh, J and Baek, C (2014) Quasi-maximum likelihood estimation for multiple volatility shifts. Statistics and Probability Letters, 86, 50-60. [16] Lee, T, Park, C and Yoon, Y (2014) Bridge estimation for linear regression models with mixing properties. Australian and New Zealand Journal of Statistics, 56, 283-302. [17] Seo, B and Lee, T (2015) A new algorithm for maximum likelihood estimation in normal scale-mixture generalized autoregressive conditional heteroskedastic models. Journal of Statistical Computation and Simulation, 85, 202-215. [18] Lee, T, Kim, M and Baek, C (2015) Tests for volatility shifts in GARCH against long-range dependence. Journal of Time Series Analysis, 36, 127-153. |
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학회발표 | [1] Conference of the Korean Statistical Society, November 2006. “Asymptotics for GARCH models with normal mixture innovations” with Sangyeol Lee [2] Korean Mathematical Society Probability Workshop, June 2007. “Normal mixture Quasi maximum likelihood estimator for GARCH models” [3] Conference of the Korean Statistical Society, May 2008. “Normal mixture Quasi maximum likelihood estimator for GARCH models” with Sangyeol Lee [4] Korean Mathematical Society Probability Workshop, June 2008. “Inference for power-transformed and threshold GARCH models with nuisance parameters” [5] Conference of the Korean Statistical Society, November 2008. "Inference for power-transformed and threshold GARCH models with nuisance parameters" with Sangyeol Lee |
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프로젝트 | [1] 신진교수연구지원사업 (2008년 7월~2010년 6월) 한국학술진흥재단 |
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