Overview
Suduk Kim is an economist affiliated with Hoseo University, South Korea. His work applies Bayesian methods and multivariate GARCH models to Korean financial markets, with particular attention to structural change around the 1997 currency crisis.
Key Contributions / Features
- Korean Currency Crisis (Kim-Tsurumi 2000) — With Hiroki Tsurumi, applied Bollerslev's (1990) CCC-MGARCH model to four daily Korean financial series (KOSPI spot and futures, Won/Dollar spot and NDF) and detected a structural break at 20 October 1997 using a Laplace-approximation Bayesian posterior for the unknown break date; the futures and NDF markets showed the break as early as August 1997, preceding the official devaluation by months. See Kim-Tsurumi (2000).
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