Meet the Researchers
Dong Hwan Oh
[email protected]
Education
- Ph.D., Economics, Duke University, 2014
- M.A., Economics, Duke University, 2009
- M.A., Economics, Seoul National University, 2008
- B.A., Economics, Seoul National University, 2003
- Improving forecasts of a misspecified model
- GARCH option pricing
Senior Economist
Board of Governors of the Federal Reserve System
2018 - presentEconomist
Board of Governors of the Federal Reserve System
2014 - 2018
- Better the devil you know: Improved forecasts from imperfect models
Dong Hwan Oh and Andrew J. Patton
Journal of Econometrics (2024)
https://doi.org/10.1016/j.jeconom.2024.105767
See also » FRB Working Paper (2021) - Dynamic factor copula models with estimated cluster assignments
Dong Hwan Oh and Andrew J. Patton
Journal of Econometrics (2023)
https://doi.org/10.1016/j.jeconom.2022.07.012
See also » FRB Working Paper (2022) - Default Clustering Risk Premium and its Cross-Market Asset Pricing Implications
Kiwoong Byun, Baeho Kim, and Dong Hwan Oh
Finance and Economics Discussion Series (2023)
https://doi.org/10.17016/FEDS.2023.055 - GARCH option pricing with volatility derivatives
Dong Hwan Oh and Yang-Ho Park
Journal of Banking & Finance (2023)
https://doi.org/10.1016/j.jbankfin.2022.106718 - Dynamic Factor Copula Models with Estimated Cluster Assignments
Dong Hwan Oh and Andrew J. Patton
Finance and Economics Discussion Series (2022)
https://doi.org/10.17016/FEDS.2021.029r1 - Better the Devil You Know: Improved Forecasts from Imperfect Models
Dong Hwan Oh and Andrew J. Patton
Finance and Economics Discussion Series (2021)
https://doi.org/10.17016/FEDS.2021.071 - Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads
Dong Hwan Oh and Andrew J. Patton
Journal of Business & Economic Statistics (2018)
https://doi.org/10.1080/07350015.2016.1177535 - Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors
Dobrislav Dobrev, Travis D. Nesmith, and Dong Hwan Oh
Journal of Risk and Financial Management (2017)
https://doi.org/10.3390/jrfm10010005
See also » FRB Working Paper (2017) - Modeling Dependence in High Dimensions With Factor Copulas
Dong Hwan Oh and Andrew J. Patton
Journal of Business & Economic Statistics (2017)
https://doi.org/10.1080/07350015.2015.1062384
See also » FRB Working Paper (2015) - High-Dimensional Copula-Based Distributions with Mixed Frequency Data
Dong Hwan Oh and Andrew J. Patton
Journal of Econometrics (2016)
https://doi.org/10.1016/j.jeconom.2016.04.011
See also » FRB Working Paper (2015) - Simulated Method of Moments Estimation for Copula-Based Multivariate Models
Dong Hwan Oh and Andrew J. Patton
Journal of the American Statistical Association (2013)
https://doi.org/10.1080/01621459.2013.785952
conference
June 20232023 North American Summer Meeting
Better the devil you know: Improved forecasts from imperfect models
conference
June 202315th Annual SoFiE Conference
Better the devil you know: Improved forecasts from imperfect models
seminar
October 2022University of Connecticut
Better the devil you know: Improved forecasts from imperfect models
conference
March 201826th Symposium of the Society of Nonlinear Dynamics and Econometrics, Tokyo
Estimation and Inference for Large Panel Copula Models
conference
June 2016North American Econometric Society Summer Meeting, University of Pennsylvania
Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads
conference
January 20162016 ASSA Annual Meeting, San Francisco, CA
Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads
conference
November 20152015 INFORMS, Philadelphia, PA
Stochastic Intensity Margin Modeling of Credit Default Swap Portfolios
conference
August 201511th World Congress of the Econometric Society
High-Dimensional Copula-Based Distributions with Mixed Frequency Data
conference
August 2014Joint Statistical Meetings, Boston, MA
Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads
conference
December 2013Triangle Econometrics Conference, Durham, NC
Modelling High Dimension Distributions with High Frequency Data and Copulas
conference
June 2012North American Econometric Society Summer Meeting, Northwestern University
Simulated Method of Moments Estimation for Copula-Based Multivariate Models
conference
July 2011Asian Econometric Society Summer Meeting, Seoul, Korea
Modelling Dependence in High Dimensions with Factor Copulas
Awards
- 2015
American Statistical Association
Zellner Thesis Award in Business and Economic Statistics, Honorable Mention
Conference Organization
June 24-26, 2022 | University of Cambridge, UK
SoFiE 2022 (14th Annual Society for Financial Econometrics Conference)
Program committee
Referee
- Econometric Theory
- Econometrics Journal
- Economic System
- European Central Bank Working Papers
- International Journal of Central Banking
- Journal of Applied Econometrics
- Journal of Banking and Finance
- Journal of Business and Economic Statistics
- Journal of Credit Risk
- Journal of Econometrics
- Journal of Empirical Finance
- Journal of Financial Econometrics
- Journal of the American Statistical Association
- Management Science
- Quantitative Finance
- Studies in Nonlinear Dynamics & Econometrics
Professional Affiliation
- American Economic Association
- American Statistical Association
- Econometric Society