Jeong-Ryeol Kurz-Kim
Research Interests
- Applied Econometrics
- Financial market analysis
- Extreme value theory
- Early warning system
-
Refereed Publications
-
On the properties of the coefficient of determination in regression models with infinite-variance variables Kurz-Kim J.-R., Loretan M.
2014 | Journal of Econometrics, Vol. 181, pp. 15-24.
-
Heavy tails and stable Paretian distributions in econo-metrics Dufour J.-M., Kurz-Kim J.-R.
2014 | Journal of Econometrics, Vol. 181(1), pp. 1-2.
-
What determines the dynamics of absolute excess returns on stock markets? Kurz C., Kurz-Kim J.-R.
2013 | Economics Letters, Vol. 118(2), pp. 342-346.
-
Early warning financial crashes using the log periodic power law Kurz-Kim J.-R.
2012 | Applied Economics Letters, Vol.19, 1465-1469.
-
Taylor Rule Revisited: from an Econometric Point of View Kurz C., Kurz-Kim J.-R.
2011 | Review of Economics & Finance, Vol.3, 46-51.
-
Exact inference and optimal invariant estimation for the stability parameter of symmetric alpha-stable distributions Dufour J.-M., Kurz-Kim J.-R.
2010 | Journal of Empirical Finance, Vol. 17(2), 180-194.
-
Heavy tails and stable Paretian distributions in empirical finance Dufour J.-M., Kurz-Kim J.-R., Palm F. C.
2010 | A volume honoring Benoît B. Mandelbrot, Journal of Empirical Finance, Vol. 17(2), 177-179.
-
A comparison of forecasting performance between ECM and the difference ARX model Kurz-Kim J.-R.
2009 | Applied Economics Letters, Vol.16, 121-124.
-
Further evidence for the negative relationship between stock returns and volatility Kurz-Kim J.-R.
2009 | Applied Financial Economics Letters, Vol.16, 1295-1300.
-
Combining forecasts using optimal combination weight and generalized autoregression Kurz-Kim J.-R.
2008 | Journal of Forecasting, Vol. 27, 419-432.
-
Asymptotic distribution of linear unbiased estimators in the presence of heavy-tailed stochastic regressors and residuals Kurz-Kim J.-R., Rachev S.T., Samorodnisky G., Stoyanov S.
2007 | Probability and Mathematical Statistics, Vol. 27, 109-136.
-
The common trend and the cross-section of expected returns Kurz-Kim J.-R.
2005 | Applied Financial Economics Letters, 269-271.
-
The stock return-inflation puzzle and the asymmetric causality in stock returns, inflation and real activity Kurz-Kim J.-R., Hansen G., Dritter A.
2003 | Economics Letters, Vol. 80, 155-160.
-
Finite-sample distributions of self-normalized sums Kurz-Kim J.-R.
2003 | Computational Statistics, Vol. 18, 493-504.
-
The long-run stability of European money demand function Clausen V., Kurz-Kim J.-R.
2000 | Journal of Economic Integration, Vol. 15, 486-505.
-
Testing for bivariate symmetry Kurz-Kim J.-R.
1999 | Mathematical and Computer Modelling, Vol. 29, 197-201.
-
Stable Paretian econometrics part II Kurz-Kim J.-R., Mittnik S., Rachev S.T.
1999 | Mathematical Scientists, Vol. 24, 113-127.
-
Stable Paretian econometrics part I Kurz-Kim J.-R., Mittnik S., Rachev S.T.
1999 | Mathematical Scientists, Vol. 24, 24-55.
-
Nonlinear error correction modeling in German interest rates Brannolte C., Hansen G., Kurz-Kim J.-R.
1999 | Jahrbücher für Nationalökonomie und Statistik, Vol. 219, 271-283.
-
Time series with unit root and infinite-variance disturbances Kurz-Kim J.-R., Mittnik S., Rachev S.T.
1998 | Applied Mathematics Letters, Vol. 11, 69-74.
-
Chi-square-type distributions for heavy-tailed variates Kurz-Kim J.-R., Mittnik S., Rachev S.T.
1998 | Econometric Theory, Vol. 14, 339-354.
-
Testing cointegrating coefficients in vector autoregressive models Hansen G., Kurz-Kim J.-R., Mittnik S.
1998 | Economics Letters, Vol. 58, 1-5.
-
Dynamic simultaneous equations and Johansen's ML estimator Hansen G., Kurz-Kim J.-R.
1998 | Allgemeines Statistisches Archiv, Vol. 82, 133-148.
-
Econometric modeling in the presence of heavy-tailed innovations: A survey of some recent advances Kurz-Kim J.-R., Mittnik S., Rachev S.T.
1997 | Communications in Statistics (Stochastic Models), Vol. 13, 841-866.
-
Detecting asymmetries in observed time series and unobserved disturbances Kurz-Kim J.-R., Mittnik S., Rachev S.T.
1997 | Studies in Nonlinear Dynamics and Econometrics, Vol. 1, 131-143.
-
Money and inflation in Germany: A cointegration analysis Hansen G., Kurz-Kim J.-R.
1996 | Empirical Economics, Vol. 21, 601-616.
-
Stability of German money demand Hansen G., Kurz-Kim J.-R.
1995 | Weltwirtschaftliches Archiv, Vol. 131, 286-301.
-
Other Working Papers and Publications
-
A Note on the Coefficient of Determination in Models with Infinite Variance Variables Kurz-Kim J.-R., Loretan M.
2007 | Board of Governors of the Federal Reserve System, International Finance Discussion Papers, No. 895.
-
Consumer price adjustment under the microscope: Germany in a period of low inflation Hoffmann J., Kurz-Kim J.-R.
2006 | ECB Working paper No. 652.
-
Asymptotic distribution of linear unbiased estimators in the presence of heavy-tailed stochastic regressors and residuals Kurz-Kim J.-R., Rachev S.T., Samorodnisky G.
2004 | University of California at Santa Barbara, Technical report No. 2.
-
Eine verallgemeinerte Kapitalmarkttheorie: Modellieren, Schätzen und Testen empirisch orientierter Capital-Asset-Pricing-Modelle, Monograph Kurz-Kim J.-R.
2000 | Technische Universität Dresden, 2000.
-
A stable CAPM in the presence of heavy-tailed distributions Huschens S., Kurz-Kim J.-R.
2000 | in: W. Härdle (Ed.), Measuring Risk in Complex Stochastic Systems, Lecture Notes on Statistics Vol. 147, Springer, Berlin, 211-226.
-
Measuring risk in value-at-risk based on t-distribution Huschens S., Kurz-Kim J.-R.
1999 | in: W. Gaul, H. Locarek-Junge (Eds.), Classification in the Information Age, 453-459.
-
Statistical Inference in Time Series with Unit Root in the Presence of Infinite-Variance Disturbances Kurz-Kim J.-R., Mittnik S., Rachev S.T.
1997 | Christian-Albrechts-Universität zu Kiel, Working paper No.105.
-
Analyse kointegrierter Modelle, Dissertation Kurz-Kim J.-R.
1994 | Christian-Albrechts-Universität zu Kiel, Haag + Herchen Verlag: Frankfurt am Main
-
-
Discussion Papers