Yookyung Julia Koh
Welcome to my website! I am an assistant professor in the Department of Econometrics and Operations Research at Tilburg University.
My research focuses on Econometrics, with a particular interest in time-series analysis.
Check my CV.
Research
Publications
Bootstrap Inference for Group Factor Models, with S. Gonçalves and B. Perron,
2024, Halbert White Memorial Lecture, Journal of Financial Econometrics, forthcoming.
Working Papers
Inference for Factor-MIDAS regression models
Abstract: Factor-MIDAS regression models are often used to forecast a target variable using common factors extracted from a large panel of
predictors observed at higher frequencies. In the paper, we derive the asymptotic distribution of the factor-MIDAS regression estimator coefficients.
We show that there exists an asymptotic bias because the factors are estimated. However, the fact that factors and their lags are aggregated in a MIDAS
regression model implies that the asymptotic bias depends on both serial and cross-sectional dependence in the idiosyncratic errors of the factor model.
Thus, bias correction is more complicated in this setting. Our second contribution is to propose a bias correction method based on a plug-in version of
the analytical formula we derive. This bias correction can be used in conjunction with asymptotic normal critical values to produce asymptotically valid
inference. Alternatively, we can use a bootstrap method, which is our third contribution.
We show that correcting for bias is important in simulations and in an empirical application to forecasting quarterly U.S. real GDP growth rates using monthly factors.
Poster
Teaching
Tilburg University
Data Analytics for Non-Life Insurance: Fall 2024
Introduction Asset Pricing: Winter 2025
McGill University
Economic Statistics (Econ 227 - D2): Winter 2023
Mathematics for Economists (Econ 633): Summer 2023, Summer 2022
syllabus
Econometrics 2 - Honours (Econ 469): Winter 2022