In this paper we study systemic risks in the Korean banking sector by using two famous systemic risk measures – the MES (marginal expected shortfall) and CoVaR. To compute both measures we employ Engle's dynamic conditional correlation model. Our empirical analysis shows, first, that although...

This dissertation consists of three essays on the subjects of specification testing on dynamic asset pricing models. In the first essay (with Yongmiao Hong), "A Simulation Test for ContinuousTime Models", we propose a simulation method to implement Hong and Li's (2005) s transition density-based...

In this article, we propose a simulation method to implement Hong and Li’s (2005) transition density based test for continuous-time models. The idea is to simulate a sequence of dynamic probability integral transforms, which is the key ingredient of Hong and Li’s (2005) test. The...