Mitarbeiter

Dr. Jeong-Ryeol Kurz-Kim

• Deutsche Bundesbank
• Central Office, Research Centre
• Wilhelm Epstein Str. 14
• D-60431 Frankfurt am Main
•  
• +49 69 9566-4576
• Dr. Jeong-Ryeol Kurz-Kim

Research Interests

• Applied econometrics (Monetary economics), Financial market analysis
• Time series econometrics (Cointegration), Financial econometrics (CAPM, GARCH)
• Extreme value theory (Stable Paretian distribution)
• Early warning system

Theses

• Schätzung von Vektor-ARMA-Modellen, Diplomarbeit, Christian-Albrechts-Universität zu Kiel, 1990.
• Analyse kointegrierter Modelle, Dissertation, Christian-Albrechts-Universität zu Kiel, Haag+ Herchen: Frankfurt am Main, 1994.
• Eine verallgemeinerte Kapitalmarkttheorie: Modellieren, Schätzen und Testen empirisch orientierter Capital-Asset-Pricing-Modelle, Monograph, Technische Universität Dresden, 2000.

Articles in Refereed Journals

• J.-M. Dufour, J.-R. Kurz-Kim, F. C. Palm, Heavy tails and stable Paretian distributions in empirical finance, A volume honoring Benoît B. Mandelbrot, Journal of Empirical Finance, forthcoming.
• J.-M. Dufour, J.-R. Kurz-Kim, Exact inference and optimal invariant estimation for the stability parameter of symmetric α-stable distributions, Journal of Empirical Finance, forthcoming.
• J.-R. Kurz-Kim, M. Loretan, On the Properties of the Coefficient of Determination in Regression Models with Infinite-Variance Variables, Journal of Econometrics, forthcoming.
• J.-M. Dufour, J.-R. Kurz-Kim, Heavy tails and stable Paretian distributions in econometrics, Journal of Econometrics, forthcoming.
• J.-R. Kurz-Kim (2009), Further evidence for the negative relationship between stock returns and volatility, Applied Financial Economics Letters 16, 1295-1300.
• J.-R. Kurz-Kim (2009), A comparison of forecasting performance between ECM and the difference ARX model, Applied Economics Letters 16, 121-124.
• J.-R. Kurz-Kim (2008), Combining forecasts using optimal combination weight and generalized autoregression, Journal of Forecasting 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 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 80, 155-160.
• J.-R. Kurz-Kim (2003), Finite-sample distributions of self-normalized sums, Computational Statistics 18, 493-504.
• V. Clausen, J.-R. Kurz-Kim (2000), The long-run stability of European money demand function, Journal of Economic Integration 15, 486-505.
• J.-R. Kurz-Kim (1999), Testing for bivariate symmetry, Mathematical and Computer Modelling 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 219, 271-283.
• J.-R. Kurz-Kim, S. Mittnik, S. T. Rachev (1999), Stable Paretian econometrics part I, Mathematical Scientists 24, 24-55.
• J.-R. Kurz-Kim, S. Mittnik, S. T. Rachev (1999), Stable Paretian econometrics part II, Mathematical Scientists 24, 113-127.
• J.-R. Kurz-Kim, S. Mittnik, S. T. Rachev (1998), Chi-square-type distributions for heavy-tailed variates, Econometric Theory 14, 339-354.
• G. Hansen, J.-R. Kurz-Kim, S. Mittnik (1998), Testing cointegrating coefficients in vector autoregressive models, Economics Letters 58, 1-5.
• G. Hansen, J.-R. Kurz-Kim (1998), Dynamic simultaneous equations and Johansen's ML estimator, Allgemeines Statistisches Archiv 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 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) 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 1, 131-143.
• G. Hansen, J.-R. Kurz-Kim (1996), Money and inflation in Germany: A cointegration analysis, Empirical Economics 21, 601-616.
• G. Hansen, J.-R. Kurz-Kim (1995), Stability of German money demand, Weltwirtschaftliches Archiv 131, 286-301.

Articles in Books and Collections

• J. Hoffmann, J.-R. Kurz-Kim, Consumer price adjustment under the microscope: Germany in a period of low inflation, in: Managerial and Decision Economics, forthcoming.
• 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.
• 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.

Submitted Papers

• C. Kurz, J.-R. Kurz-Kim, Taylor rule revisited: from an econometric point of view.
• European money demand function and the liquidity trap.