1.    Estimation, Inference, and Specification Testing for Possibly Misspecified Quantile Regression (with H. White) Advances in Econometrics, 17, 107-132, 2003. [MATLAB Programs & Data]

2.    On More Robust Estimation of Skewness and Kurtosis (with H. White) Finance Research Letters, 1, 56-73, 2004. [Tables] [Figures]

3.    The Effect of a Variance Shift on the Breusch-Godfrey's LM Test (with H.H. Moon, J.Y. Hyun and J. Jeong) [Paper] [Tables]

4.    Autocorrelation tests robust to a structural break in variance (with E.Y. Shim and H.H. Moon) [Paper]

5.    Robust Estimation of Covariance and Its Application to Portfolio Optimization (with L. Huo and Y. Kim) [The Full Set of All Figures]

6.    The Instability of the Pearson Correlation Coefficient in the Presence of Coincidental Outliers (with Y. Kim and T. Ergun) [The Complete Set of Tables and Figures]

7.    On Measuring the Nonlinear Effect of Interest Rates on Inflation and Output in Korea (with H. Moon and S. Hah) [The Complete Set of All Supplementary Results]

8.    VAR for VaR: Measuring Tail Dependence Using Multivariate Regression Quantiles (with H. White and S. Manganelli) [Proof of Theorems 3 & 4]