Navigation and service

Deutsche Bundesbank (Link to homepage)

Dr Jeong-Ryeol Kurz-Kim

Research Interests

  • Applied Econometrics
  • Financial market analysis
  • Extreme value theory
  • Early warning system

Refereed Publications

  • J.-M. Dufour, J.-R. Kurz-Kim (2014), Heavy tails and stable Paretian distributions in econo-metrics, Journal of Econometrics, Vol. 181(1), pp. 1-2.
  • J.-R. Kurz-Kim, M. Loretan (2014), On the Properties of the Coefficient of Determination in Regression Models with Infinite-Variance Variables, Journal of Econometrics, Vol. 181(1), pp. 15-24.
  • Kurz, C. and J.-R. Kurz-Kim (2013), What determines the dynamics of absolute excess returns on stock markets? Economics Letters, Vol. 118, 342-346.
  • Kurz-Kim, J.-R. (2012), Early warning financial crashes using the log periodic power law, Applied Economics Letters, Vol.19, 1465-1469.
  • C. Kurz, J.-R. Kurz-Kim (2011), Taylor Rule Revisited: from an Econometric Point of View, Review of Economics & Finance, Vol.3, 46-51.
  • J.-M. Dufour, J.-R. Kurz-Kim, F. C. Palm (2010), Heavy tails and stable Paretian distributions in empirical finance, A volume honoring Benoît B. Mandelbrot, Journal of Empirical Finance, Vol.17(2), 177-179.
  • J.-M. Dufour, J.-R. Kurz-Kim (2010), Exact inference and optimal invariant estimation for the stability parameter of symmetric alpha-stable distributions, Journal of Empirical Finance, Vol.17(2), 180-194.
  • J.-R. Kurz-Kim (2009), Further evidence for the negative relationship between stock returns and volatility, Applied Financial Economics Letters, Vol.16, 1295-1300.
  • J.-R. Kurz-Kim (2009), A comparison of forecasting performance between ECM and the difference ARX model, Applied Economics Letters, Vol.16, 121-124.
  • J.-R. Kurz-Kim (2008), Combining forecasts using optimal combination weight and generalized autoregression, Journal of Forecasting, Vol.27, 419-432.
  • J.-R. Kurz-Kim, S.T. Rachev, G. Samorodnisky, S. Stoyanov (2007), Asymptotic distribution of linear unbiased estimators in the presence of heavy-tailed stochastic regressors and residuals, Probability and Mathematical Statistics, Vol.27, 109-136.
  • J.-R. Kurz-Kim (2005), The common trend and the cross-section of expected returns, Applied Financial Economics Letters, 269-271.
  • J.-R. Kurz-Kim (2003), The stock return-inflation puzzle and the asymmetric causality in stock returns, inflation and real activity, Economics Letters, Vol.80, 155-160.
  • J.-R. Kurz-Kim (2003), Finite-sample distributions of self-normalized sums, Computational Statistics, Vol.18, 493-504.
  • V. Clausen, J.-R. Kurz-Kim (2000), The long-run stability of European money demand function, Journal of Economic Integration, Vol.15, 486-505.
  • J.-R. Kurz-Kim (1999), Testing for bivariate symmetry, Mathematical and Computer Modelling, Vol.29, 197-201.
  • C. Brannolte, G. Hansen, J.-R. Kurz-Kim (1999), Nonlinear error correction modeling in German interest rates, Jahrbücher für Nationalökonomie und Statistik, Vol.219, 271-283.
  • J.-R. Kurz-Kim, S. Mittnik, S.T. Rachev (1999), Stable Paretian econometrics part I, Mathematical Scientists, Vol.24, 24-55.
  • J.-R. Kurz-Kim, S. Mittnik, S.T. Rachev (1999), Stable Paretian econometrics part II, Mathematical Scientists, Vol.24, 113-127.
  • J.-R. Kurz-Kim, S. Mittnik, S.T. Rachev (1998), Chi-square-type distributions for heavy-tailed variates, Econometric Theory, Vol.14, 339-354.
  • G. Hansen, J.-R. Kurz-Kim, S. Mittnik (1998), Testing cointegrating coefficients in vector autoregressive models, Economics Letters, Vol.58, 1-5.
  • G. Hansen, J.-R. Kurz-Kim (1998), Dynamic simultaneous equations and Johansen's ML estimator, Allgemeines Statistisches Archiv, Vol.82, 133-148.
  • J.-R. Kurz-Kim, S. Mittnik, S.T. Rachev (1998), Time series with unit root and infinite-variance disturbances, Applied Mathematics Letters, Vol.11, 69-74.
  • J.-R. Kurz-Kim, S. Mittnik, S.T. Rachev (1997), Econometric modeling in the presence of heavy-tailed innovations: A survey of some recent advances, Communications in Statistics (Stochastic Models), Vol.13, 841-866.
  • J.-R. Kurz-Kim, S. Mittnik, S.T. Rachev (1997), Detecting asymmetries in observed time series and unobserved disturbances, Studies in Nonlinear Dynamics and Econometrics, Vol.1, 131-143.
  • G. Hansen, J.-R. Kurz-Kim (1996), Money and inflation in Germany: A cointegration analysis, Empirical Economics, Vol.21, 601-616.
  • G. Hansen, J.-R. Kurz-Kim (1995), Stability of German money demand, Weltwirtschaftliches Archiv, Vol.131, 286-301.

Other Working Papers and Publications

  • J.-R. Kurz-Kim, M. Loretan (2007), A Note on the Coefficient of Determination in Models with Infinite Variance Variables, Board of Governors of the Federal Reserve System, International Finance Discussion Papers, No. 895.
  • J. Hoffmann, J.-R. Kurz-Kim (2006), Consumer price adjustment under the microscope: Germany in a period of low inflation, ECB Working paper No. 652.
  • J.-R. Kurz-Kim, S.T. Rachev, G. Samorodnisky (2004), Asymptotic distribution of linear unbiased estimators in the presence of heavy-tailed stochastic regressors and residuals, University of California at Santa Barbara, Technical report No. 2.
  • S. Huschens, J.-R. Kurz-Kim (2000), A stable CAPM in the presence of heavy-tailed distributions, in: W. Härdle (Ed.), Measuring Risk in Complex Stochastic Systems, Lecture Notes on Statistics Vol.147, Springer, Berlin, 211-226.
  • Eine verallgemeinerte Kapitalmarkttheorie: Modellieren, Schätzen und Testen empirisch orientierter Capital-Asset-Pricing-Modelle, Monograph, Technische Universität Dresden, 2000.
  • S. Huschens, J.-R. Kurz-Kim (1999), Measuring risk in value-at-risk based on t-distribution, in: W. Gaul, H. Locarek-Junge (Eds.), Classification in the Information Age, 453-459.
  • J.-R. Kurz-Kim, S. Mittnik, S. T. Rachev (1997), Statistical Inference in Time Series with Unit Root in the Presence of Infinite-Variance Disturbances, Christian-Albrechts-Universität zu Kiel, Working paper No.105.
  • Analyse kointegrierter Modelle, Dissertation, Christian-Albrechts-Universität zu Kiel, Haag+ Herchen: Frankfurt am Main, 1994.

Additional information

Contact

Dr Jeong-Ryeol Kurz-Kim

+49 69 9566-4576

+49 69 9566-4026

E-Mail

Address

Deutsche Bundesbank

Central Office, Research Centre

Wilhelm-Epstein-Straße 14
60431 Frankfurt am Main
Germany