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Dr Seungmoon Choi
To link to this page, please use the following URL: Biography/ BackgroundI joined the School of Economics after completing my Ph.D. in Economics at the University of Wisconsin-Madison in US in July 2005. Before moving to US, I did my B.S. in Mathematics at Yonsei University and M.A. in Economics at Seoul National University in Korea.Teaching InterestsEconometrics, Financial Economics Research InterestsEconometrics, Financial Econometrics, Financial Economics Working Papers "Closed-Form Likelihood Expansions for Time-Inhomogeneous Multivariate Diffusions" "MLE of Diffusion Model with Nonlinear Drift and CEV Volatility Functions for Short-Term Interest Rates" "Box-Cox Transformation with Integrated Time Series" "Forcasting Electricity Spot Prices" Work in Progress "Closed-Form Likelihood Expansions for Time-Inhomogeneous Multivariate Jump Diffusions" "MLE of Time-Inhomogeneous Diffusions Models" "MLE of Time-Inhomogeneous Jump Diffusions Models" Publications
"Regime-Switching Univariate Diffusion Models of the Short-Term Interest Rate," (2009) Studies in Nonlinear Dynamics & Econometrics: Vol. 13 : Iss. 1, Article 4.
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