Biography/ Background
Teaching Interests
Research Interests
Publications

Dr Seungmoon Choi

Telephone	+61 8 8313 3346
Position	Lecturer
Email	seungmoon.choi@adelaide.edu.au
Fax	+61 8 8223 1460
Building	10 Pulteney Street
Floor/Room	4 34
Campus	North Terrace
Org Unit	Economics, School of

To link to this page, please use the following URL:
http://www.adelaide.edu.au/directory/seungmoon.choi

Biography/ Background

I 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 Interests

Econometrics, Financial Economics

Research Interests

Econometrics, Financial Economics

Working Papers and Work in Progress

“Regime-Switching Heston’s Stochastic Volatility Model and Option Price” in progress
“Investigating Nonlinear Granger Causality by Semi-parametric Regression Models” with Sooyoung Lee and Zudi Lu, Working Paper
“Favor Exchange with Stochastic Costs” with Virginie Masson, Angus Moore, and Mandar Oak Working Paper
“Maximum Likelihood Estimation of Regime-Switching Stochastic Volatility Models” with Di Yuan in progress
“Closed-Form Likelihood Expansions for Time-Inhomogeneous Multivariate Jump Diffusions” in progress
“Closed-Form Approximate Transition Density Function of Univariate Time-inhomogeneous Diffusions” in progress
“MLE of Diffusion Model with Nonlinear Drift and CEV Volatility Functions for Short-Term Interest Rates,” Working Paper.
“Box-Cox Transformation with Integrated Time Series," Working Paper
“Forecasting Electricity Spot Prices,” with Ming Feng Goh, Working Paper

Publications

"Closed-Form Likelihood Expansions for Time-Inhomogeneous Multivariate Diffusions," Journal of Econometrics, forthcoming

"Regime-Switching Univariate Diffusion Models of the Short-Term Interest Rate," (2009) Studies in Nonlinear Dynamics & Econometrics: Vol. 13 : Iss. 1, Article 4.

Entry last updated: Tuesday, 17 Apr 2012

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