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