CHICAGO - University of Chicago Department of Economics

Kun-Ho Kim
1401 E. Hyde Park Blvd. Tel:773-493-2501
Apt 202
kunhokim@uchicago.edu
Chicago, IL 60615
http://home.uchicago.edu/˜ kunhokim
Education
The University of Chicago: PhD in Economics June 2009
The University of Chicago: MS in Statistics June 2008
The University of Wisconsin-Madison: May 2002
BA in Economics and Mathematics (Graduation with Distinction)
Sung Kyun Kwan University: BS in Electronic Engineering August 1995
Fields of Interest
Primary: Time Series Econometrics
Secondary: Empirical Asset Pricing, Applied Macroeconomics
Job Market Paper: Time-varying Risk Aversion
We test the constancy of risk aversion. Based on the Epstein-Zin-Weil (Epstein & Zin, 1989, 1991;
Weil, 1990) recursive utility, we derive the Euler equation with time-varying risk aversion (TV-RA)
parameter. We utilize the proxy variable method to replace the unobserved return to aggregate wealth
in the Euler equation. The estimation of the preference parameter is carried out based on the two-stage
local linear regression method. Given the estimates, we employ the wild bootstrap procedures to test
the constancy of the risk aversion parameter. The empirical findings strongly support the time variation
in the parameter under the proxy variable approach.
Working Papers
Density Estimation for Nonlinear Time Series (with W.B. Wu)
Improvement in Prediction through Disaggregation
Non-stationary Structural Model with Time-varying Elasticities (with W.B. Wu and Z. Zhou)
Semiparametric Estimation of the Marginal Density for the ARCH Process
Another Look at Macroeconomic Forecasting
Wavelet Analysis of the Dynamic Phillips Curve
Deconvolution-type Estimation of Regression Function under Measurement Error
Teaching Experience (TA)
The University of Chicago:
Statistical Theory/Method-2: Winter 2006, A Course for MS students in Statistics
Statistical Methods and Applications: Spring 2006/Spring 2007, A Course for Undergraduate students
Statistical Theory/Method-1: Autumn 2006/Winter 2007, A Course for MS students in Statistics
Honors and Awards
The University of Chicago:
The University Fellowship, 2002-2006: (Tuition waivers and Stipends)
The University of Wisconsin-Madison:
Phi Beta Kappa, 2001
Anna M. Ely Undergraduate Awards, 2001: Best Undergraduate Research paper in International Trade&Finance
Listed on Dean’s List 7 times, 1997-2001
Computer Skills and Languages
R, Stata, Matlab, Minitab, and Fortran
Korean(native), English(fluent), German(basic)
References
Professor Robert McCulloch: Graduate School of Business, (708)707-7174, robert.mcculloch1@gmail.com
Professor Susanne Schennach: Department of Economics, (773)702-6576, smschenn@uchicago.edu
Professor Harald Uhlig: Department of Economics, (773)702-3702, huhlig@uchicago.edu
Professor Arnold Zellner: Graduate School of Business, (773)702-7145, arnold.zellner@chicagogsb.edu