Taesuk Lee
Ph.D. candidate, Department of Economics, University of Rochester.
I am a Ph.D. student in economics at the University of Rochester.
My research interests are econometrics, time-series, applied econometrics.
My current research is on realized variance estimation, jump test, and bootstrap inference.
I am on the job market this year and will be attending the AEA/ASSA meetings in Atlanta, January 2010.
CV(PDF)
Working papers: (Revised on December)
- An Improved Pre-averaging Estimator of Integrated Volatility (with Werner Ploberger)
(Previous version : Pre-averaging Estimator of Realized Variance)
- Rate-optimal Tests for Jumps in Diffusion Processes (with Werner Ploberger)
- Bootstrap Tests in Error Correction Models (work in progress)
- Noise-Robust Tests for Jumps (work in progress)
- Optimal Tests for Levy-type Jumps in Diffusion Processes (work in progress)
Mobi Site