Details about Dooyeon Cho

Access statistics for papers by Dooyeon Cho.

Last updated 2025-01-07. Update your information in the RePEc Author Service.

Short-id: pch1136

Working Papers

2019

1. Long Memory, Realized Volatility and HAR Models
   Working Papers, Queen Mary University of London, School of Economics and Finance View citations (7)

2016

2. Assessing Euro Crises from a Time Varying International CAPM Approach
   Working Paper series, Rimini Centre for Economic Analysis View citations (3)
   See also Journal Article Assessing Euro crises from a time varying international CAPM approach, Journal of Empirical Finance, Elsevier (2016) View citations (3) (2016)

2014

3. Inequality and Growth: Nonlinear Evidence from Heterogeneous Panel Data
   Working Papers, Korea Institute for International Economic Policy View citations (4)

2013

4. Nonlinear Effects of Government Debt on Private Consumption in OECD Countries
   Working Papers, Korea Institute for International Economic Policy View citations (5)

2012

5. An Assessment of Inflation Targeting in a Quantitative Monetary Business Cycle Framework
   Working Papers, Korea Institute for International Economic Policy
6. Online Appendix to "Business Cycle Accounting East and West: Asian Finance and the Investment Wedge
   Online Appendices, Review of Economic Dynamics View citations (2)
   See also Journal Article Business Cycle Accounting East and West: Asian Finance and the Investment Wedge, Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics (2013) View citations (40) (2013)

Journal Articles

2025

1. Government size and the effectiveness of fiscal policy: the bigger the better?
   Macroeconomic Dynamics, 2025, 29, -

2024

2. Combining Long and Short Memory in Time Series Models: the Role of Asymptotic Correlations of the MLEs
   Econometrics and Statistics, 2024, 29, (C), 88-112
3. Determinants of market‐assessed sovereign default risk: Macroeconomic fundamentals or global shocks?
   International Finance, 2024, 27, (1), 35-60 View citations (1)
4. Government debt and fiscal multipliers in the era of population aging
   Macroeconomic Dynamics, 2024, 28, (5), 1161-1181
5. Inflation target adjustments: Does an improvement in institutional or economic preconditions matter?
   International Finance, 2024, 27, (2), 129-179
6. Reassessing growth vulnerability
   Journal of Applied Econometrics, 2024, 39, (1), 225-234 View citations (1)

2023

7. Approximating long-memory processes with low-order autoregressions: Implications for modeling realized volatility
   Empirical Economics, 2023, 64, (6), 2911-2937
   See also Chapter Approximating long-memory processes with low-order autoregressions: Implications for modeling realized volatility, Advanced Studies in Theoretical and Applied Econometrics, 2024, 455-481 (2024) (2024)
8. Dynamic Spillovers of Economic Policy Uncertainty Across the US, Europe, and East Asia
   Global Economic Review, 2023, 52, (3), 187-201
9. Effects of monetary policy uncertainty on debt financing: Evidence from Korean heterogeneous firms
   Journal of International Money and Finance, 2023, 139, (C) View citations (3)
10. Macroeconomic effects of uncertainty shocks: Evidence from Korea
    Journal of Asian Economics, 2023, 84, (C) View citations (4)

2022

11. On asymmetric volatility effects in currency markets
    Empirical Economics, 2022, 62, (5), 2149-2177 View citations (1)
12. Population aging and fiscal sustainability: Nonlinear evidence from Europe
    Journal of International Money and Finance, 2022, 126, (C) View citations (5)

2021

13. On the predictability of the distribution of excess returns in currency markets
    International Journal of Forecasting, 2021, 37, (2), 511-530 View citations (1)
14. The tail behavior of safe haven currencies: A cross-quantilogram analysis
    Journal of International Financial Markets, Institutions and Money, 2021, 70, (C) View citations (26)

2020

15. Measuring the time‐varying effects of fiscal policy on private saving in the process of financial integration
    Review of International Economics, 2020, 28, (1), 82-104 View citations (3)

2019

16. Can structural changes in the persistence of the forward premium explain the forward premium anomaly?
    Journal of International Financial Markets, Institutions and Money, 2019, 58, (C), 225-235 View citations (7)
17. Carry trades and endogenous regime switches in exchange rate volatility
    Journal of International Financial Markets, Institutions and Money, 2019, 58, (C), 255-268 View citations (15)
18. Long Memory, Realized Volatility and Heterogeneous Autoregressive Models
    Journal of Time Series Analysis, 2019, 40, (4), 609-628 View citations (18)
19. Time variation in the persistence of unemployment over the past century
    Economics Letters, 2019, 182, (C), 19-22 View citations (2)

2018

20. On the persistence of the forward premium in the joint presence of nonlinearity, asymmetry, and structural changes
    Economic Modelling, 2018, 70, (C), 310-319 View citations (4)

2017

21. Non-linear adjustments on the excess sensitivity of consumption with liquidity constraints
    Applied Economics, 2017, 49, (41), 4180-4187 View citations (1)
22. Trend shifts in the forward premium and the predictability of excess returns in currency markets
    Applied Economics, 2017, 49, (18), 1821-1832 View citations (2)

2016

23. Assessing Euro crises from a time varying international CAPM approach
    Journal of Empirical Finance, 2016, 39, (PB), 197-208 View citations (3)
    See also Working Paper Assessing Euro Crises from a Time Varying International CAPM Approach, Working Paper series (2016) View citations (3) (2016)

2015

24. An assessment of inflation targeting in a quantitative monetary business cycle framework: evidence from four early adopters
    Applied Economics, 2015, 47, (32), 3395-3413 View citations (2)
25. The role of covered interest parity in explaining the forward premium anomaly within a nonlinear panel framework
    Journal of Empirical Finance, 2015, 34, (C), 229-238 View citations (10)

2014

26. Time variation in the standard forward premium regression: Some new models and tests
    Journal of Empirical Finance, 2014, 29, (C), 52-63 View citations (23)
27. Trade intensity and purchasing power parity
    Journal of International Economics, 2014, 93, (1), 194-209 View citations (4)
28. When Carry Trades in Currency Markets are not Profitable
    Review of Development Economics, 2014, 18, (4), 794-803 View citations (8)

2013

29. Business Cycle Accounting East and West: Asian Finance and the Investment Wedge
    Review of Economic Dynamics, 2013, 16, (4), 724-744 View citations (40)
    See also Working Paper Online Appendix to "Business Cycle Accounting East and West: Asian Finance and the Investment Wedge, Online Appendices (2012) View citations (2) (2012)
    Software Item Code and data files for "Business Cycle Accounting East and West: Asian Finance and the Investment Wedge", Computer Codes (2012) (2012)
30. Nonlinear effects of government debt on private consumption: Evidence from OECD countries
    Economics Letters, 2013, 121, (3), 504-507 View citations (5)

Chapters

2024

1. Approximating long-memory processes with low-order autoregressions: Implications for modeling realized volatility
   Springer
   See also Journal Article Approximating long-memory processes with low-order autoregressions: Implications for modeling realized volatility, Springer (2023) (2023)

Software Items

2012

1. Code and data files for "Business Cycle Accounting East and West: Asian Finance and the Investment Wedge"
   Computer Codes, Review of Economic Dynamics
   See also Journal Article Business Cycle Accounting East and West: Asian Finance and the Investment Wedge, Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics (2013) View citations (40) (2013)