Photo of Dr Minjoo Kim

Dr Minjoo Kim

Senior Lecturer Finance and Accounting

    Publications

    2020

    The dependence structure between equity and foreign exchange markets and tail risk forecasts of foreign investments (Journal article)

    Kim, M., Yang, J., Song, P., & Zhao, Y. (2020). The dependence structure between equity and foreign exchange markets and tail risk forecasts of foreign investments. QUANTITATIVE FINANCE. doi:10.1080/14697688.2020.1812701

    DOI: 10.1080/14697688.2020.1812701

    2019

    FARVaR: Functional Autoregressive Value-at-Risk (Journal article)

    Cai, X., Kim, M., Shin, Y., & Zhang, Q. (2019). FARVaR: Functional Autoregressive Value-at-Risk. Journal of Financial Econometrics, 17(2), 284-337. doi:10.1093/jjfinec/nby031

    DOI: 10.1093/jjfinec/nby031

    2018

    Do firms care about investment opportunities? Evidence from China (Journal article)

    Ding, S., Kim, M., & Zhang, X. (2018). Do firms care about investment opportunities? Evidence from China. Journal of Corporate Finance, 52, 214-237. doi:10.1016/j.jcorpfin.2018.07.003

    DOI: 10.1016/j.jcorpfin.2018.07.003

    2017

    The joint credit risk of UK global-systemically important banks (Journal article)

    Cerrato, M., Crosby, J., Kim, M., & Zhao, Y. (2017). The joint credit risk of UK global-systemically important banks. JOURNAL OF FUTURES MARKETS, 37(10), 964-988. doi:10.1002/fut.21855

    DOI: 10.1002/fut.21855

    Relation between higher order comoments and dependence structure of equity portfolio (Journal article)

    Cerrato, M., Crosby, J., Kim, M., & Zhao, Y. (2017). Relation between higher order comoments and dependence structure of equity portfolio. JOURNAL OF EMPIRICAL FINANCE, 40, 101-120. doi:10.1016/j.jempfin.2016.11.007

    DOI: 10.1016/j.jempfin.2016.11.007

    2016

    Forecasting distributions of inflation rates: the functional auto-regressive approach (Journal article)

    Chaudhuri, K., Kim, M., & Shin, Y. (2016). Forecasting distributions of inflation rates: the functional auto-regressive approach. JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES A-STATISTICS IN SOCIETY, 179(1), 65-102. doi:10.1111/rssa.12109

    DOI: 10.1111/rssa.12109

    2015

    In search of robust methods for dynamic panel data models in empirical corporate finance (Journal article)

    Dang, V. A., Kim, M., & Shin, Y. (2015). In search of robust methods for dynamic panel data models in empirical corporate finance. JOURNAL OF BANKING & FINANCE, 53, 84-98. doi:10.1016/j.jbankfin.2014.12.009

    DOI: 10.1016/j.jbankfin.2014.12.009

    2014

    Asymmetric adjustment toward optimal capital structure: Evidence from a crisis (Journal article)

    Dang, V. A., Kim, M., & Shin, Y. (2014). Asymmetric adjustment toward optimal capital structure: Evidence from a crisis. INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 33, 226-242. doi:10.1016/j.irfa.2014.02.013

    DOI: 10.1016/j.irfa.2014.02.013

    2013

    On the Asymmetric U-Shaped Relationship between Inflation, Inflation Uncertainty, and Relative Price Skewness in the UK (Journal article)

    Chaudhuri, K., Greenwood-Nimmo, M., Kim, M., & Shin, Y. (2013). On the Asymmetric U-Shaped Relationship between Inflation, Inflation Uncertainty, and Relative Price Skewness in the UK. JOURNAL OF MONEY CREDIT AND BANKING, 45(7), 1431-1449. doi:10.1111/jmcb.12058

    DOI: 10.1111/jmcb.12058

    2012

    Asymmetric capital structure adjustments: New evidence from dynamic panel threshold models (Journal article)

    Dang, V. A., Kim, M., & Shin, Y. (2012). Asymmetric capital structure adjustments: New evidence from dynamic panel threshold models. JOURNAL OF EMPIRICAL FINANCE, 19(4), 465-482. doi:10.1016/j.jempfin.2012.04.004

    DOI: 10.1016/j.jempfin.2012.04.004