김명직/주요논문

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이 문서는 김명직 경제금융학부 교수의 논문을 기록한 문서입니다.

English

  • “ Supervising Operational Risks: A New Index of Key Risk Indicators Approach,”(with Dae-Shik Won) Journal of Economic Research, 16, 2011, 97-115.
  • “Assessing Sovereign Debt Strategies Under Alternative Term Structure Models,"(with Geon-Ho Choi and Hangyong Lee) Asia-Pacific Journal of Financial Studies,39, 2010, 777-799.
  • “Benchmarking Venture Investment and Korean Venture Capital Industry,” (with Cheolho Han, Dongchul Kwak) Journal of Money and Finance, 23, 2009, 1-26.1)
  • “Stress Testing of Financial Industries: A Simple New Approach to Joint Stress Testing of Korean Banking, Securities, and Non-Life Insurance Industries," (with Kook-Hyun Chang) Asia-Pacific Journal of Financial Studies, 38, 2009, 521-543.1)
  • “Stress EAD: Experience of 2003 Korea Credit Card Distress," Journal of Economic Research, 13, 2008, 73-102.
  • “Downturn LGD, Best Estimate of Expected Loss, and Potential LGD under Basel II," Journal of Economic Research, 11, 203-223, 2006.
  • “Jumps and Time-Varying Correlations in Daily Foreign Exchange Rates," Journal of International Money and Finance, 20, 611-637, 2001 (with Kook-Hyun Chang).
  • "Measuring Korea's Potential GDP and Trend Unemployment," Journal of Economic Theory and Econometrics, 5, 43-64, 1999 (with Ji-Sung Yoo).
  • “Contagion and Reverse Contagion: The Case of the Korean Financial Crisis," Journal of Economic Research, 3, 21-40, 1998 (with Ji-Sung Yoo).
  • “Modelling Business Cycles via Common Trends-Common Cycles Model," Journal of Economic Research, 2, 79-97, 1997.
  • “Transient Fads and the Crash of '87, ”Journal of Applied Econometrics, 11, 41-58, 1996 (with Chang-Jin Kim).
  • "Duration Dependence in Korean Business Cycles: Evidence and Its Implication Based on Gibbs Sampling Approach to Regime-Switching Model, Seoul Journal of Economics, 1996.
  • “A Markov Switching Factor Model of Coincident and Leading Indicators," Journal of Economic Research, 1, 253-272, 1996 (with Ji-Sung Yoo).
  • "Volatility and Jump Risk in Korean Financial Markets," Journal of Economic Research, 1, 349-368, 1996 (with Kook-Hyun Chang).
  • “New Index of Coincident Indicators: A Multivariate Markov Switching FactorModel Approach,” Journal of Monetary Economics, 36, 607-630, 1995 (with Ji-Sung Yoo).
  • “Are Jumps in Stock Returns Diversifiable? Evidence and Implications for Option Pricing,” Journal of Financial and Quantitative Analysis, 29, 609-631, 1994 (with Robert Brooks, Young-Ho Oh).
  • “Predictable Stock Returns: The Role of Small Sample Bias,” Journal of Finance, 48, 641-661, 1993 (with Charles R. Nelson).
  • “The Unbiased Expectations Hypothesis and Error-Learning,” Advances in Quantitative Analysis of Finance and Accounting, 2, 105-113, 1993 (with Robert Brooks and Miles Livingston).
  • “An Analysis of Patterns from the Statement of Cash Flows,” Financial Practice and Education, 3, 73-79, 1993 (with Benton E. Gup, William D. Samson, Michael Dugan and Thawatchai Jittrapanun).
  • “Mean-Reversion in Stock Prices? A Reappraisal of the Empirical Evidence, Review of Economic Studies, 58 (with Charles R. Nelson and Richard Startz), 1991, 515-528(also appeared in Andrew W. Lo ed: Market Efficiency: Stock Market Behavior in Theory and Practice, Edward Elgar Publishing Ltd, 1997).

Korean

  • “Constructing the Composite Index Using Unobserved Component Model and Its Application,” Journal of the Korean Academia-Industrial Cooperation Society, 15,220-227, 2014.
  • “Latent Factor Analysis of KOSDAQ Markets,” Korean Journal of Futures and Options, 17, 77-96, 2009.
  • “An Econometric Assessment of Guarantee Policy Instrument on Mitigation of Basel II Procyclicality,” Korean Journal of Money and Finance, 12, 43-72, 2007.
  • “Credit Allocation and Economic Capital of Guarantee Business,” Hanyang Journal of Economic Studies, 2006, 27, 85-103 (with Jung-Mee Shin).
  • “Macroeconomic Stress Testing of Retail Credit Sector,” Hanyang Journal of Economic Studies, 2006, 27, 93-112 (with Dong Chul Kwak).
  • “Characteristics of Korean Business Cycle in 2000s and Dating of Turning Points, Journal of Economic Studies, 1-28, 2005 (with Kwon-Sik Kim).
  • “Optimal Bond Portfolio under the BIS Rule and Optimization of Credit Risk,” Journal of Korean Securities Association, 34, 123-152, 2005 (with Soon-Jae Park).
  • “Estimating Credit Rating and Transition Matrix of Savings Bank Industry Based upon IRB-Approach,” Korean Journal of Futures and Options, 13, 2005, 61-85 (with Sung-Hwan Shin, Hong-Sun Song).
  • “Business Cycle Stress Testing of Capital Adequacy of Banking Industry: Issues and Alternate Methodologies,” Hanyang Journal of Economic Studies, 26, 2005, 35-64.
  • “Credit Portfolio Optimization via Correlated Default Time (CDT) Simulation,” Journal of the Korean Econometric Society, 15, 2004, 35-58 (with Sung-Hwan Shin).
  • “Estimation and Simulation of Copula Function: An Application to Daily Korean Treasury and A-Rated Corporate Spot Rates,” Korean Journal of Futures and Options, 11, 103-131, 2003 (with Sung Hwan Shin).
  • “Enhancing Stock Watch System in Korea Stock Exchange,” Journal of Korean Securities Association, 28, 515-542, 2001 (with Kook-Hyun Chang).
  • “Korean Bond Market and Credit Risks,” Economic Analysis, 57-91, 2001 (with Gyu-Taek Oh).
  • “Identification and Forecasting of Foreign Exchange Crisis Based upon Probabilistic Model," Journal of Korean Securities Association, 27, 301-329, 2000.
  • “Estimating Term Structure of Interest Rates,” Journal of Korean Finance Association, 13, 79-102, 2000 (with Kook-Hyun Chang).
  • “Performance of Correlation Forecasts,” Journal of Korean Securities Association, 26, 1-26, 2000 (with Kook-Hyun Chang).
  • “Term Structure of Interest Rates of Korean Treasury Bond,” Analysis of Korean Economy, 6, 1-47, 2000 (with Gyu-Taek Oh and Kook-Hyun Chang).
  • “Dating Business Cycle Turning Points for Korea's Real GDP, Hanyang Review of Economic Studies, 21, 2000, 215-234.
  • “Econometric Method of Constructing Recession Indicator," Journal of Korean Econometric Society, 10, 71-92, 1999.
  • “Forecasting Stock Market Volatility: A Feasibility Study of Constructing KOSPI200 Volatility Index (KoViX),” Journal of Korean Securities Association, 1999.
  • “Econometric Assessment of '97 Korea Currency Crisis: Toward Crisis Warning System," Korean Journal of Finance, 203-235, 1998 (with Kook-Hyun Chang).
  • “Financial and Real Shocks and Macroeconomic Adjustment,” Journal of Financial Association, 2, 1-32, 1998 (with Sang-Bin Lee).
  • “Time-Varying Parameter Generalized Hamilton Model of Korean Real GDP,”Korean Economic Review, 46, 199-220, 1998.
  • “Regional Business Cycle,” Analysis of Korean Economy, 3, 79-136, 1997.
  • “Measuring Stochastic Volatility of the KOSPI200 Index," Korean Journal of Futures and Options, 4, 131-156, 1996 (with Kook-Hyun Chang).
  • “A Study on the Predictive Ability of the Korean Business Cycle Indicators: Toward New Composite Index of Coincident Indicator and Recession Indicator," Korean Economic Review, 43, 33-55, 1996 (with Chuk-Kyo Kim and Ji-Sung Yoo).
  • “Capital Liberalization and Mobility in Korea,” Analysis of Korean Economy, 2,86-114, 1996 (with Dae-Keun Park).
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