Minseog Oh

Hi! I am an Assistant Professor in the Department of Economics at Sogang University. My research interests are

• Financial econometrics
• Time series analysis
• Risk management
• High-dimensional analysis
• Machine learning and AI

Position

• Assistant Professor, Department of Economics, Sogang University, 2026–
• Postdoctoral Researcher, Institute of Artificial Intelligence, POSTECH, 2025–2026

Education

• Ph.D. in Management Engineering, KAIST, 2020–2025
  • Advisor: Professor Donggyu Kim, Department of Economics, UC, Riverside, USA
• B.S. in Mathematical Sciences, KAIST, 2016–2020
  • Double major in Computer Science
  • Minor in Economics
  • Summa Cum Laude

Published/Accepted Papers

• Kim, D., Oh, M., and Shin, M. (2026+) High-Dimensional Time-Varying Coefficient Estimation in Diffusion Models. To appear in Econometric Reviews.

• Oh, M., Kim, D., and Wang, Y. (2026) Robust Realized Integrated Beta Estimator with Application to Dynamic Analysis of Integrated Beta. Journal of Econometrics, 254, Part A, 105810.

• Kim, D. and Oh, M. (2024) Dynamic Realized Minimum Variance Portfolio Models. Journal of Business & Economic Statistics, 42, 1238-1249.

• Kim, D., Oh, M., Song, X., and Wang, Y. (2024) Factor Overnight GARCH-Ito Models. Journal of Financial Econometrics, 22, 1209-1235.

• Oh, M. and Kim, D. (2024). Effect of the U.S.–China Trade War on Stock Markets: A Financial Contagion Perspective. Journal of Financial Econometrics, 22, 954-1005.

• Kim, D., Oh, M., and Wang, Y. (2022). Conditional Quantile Analysis for Realized GARCH Models. Journal of Time Series Analysis, 43, 640-665.

Working Papers

• Oh, M. and Kim, D. Property of Inverse Covariance Matrix-based Financial Adjacency Matrix for Detecting Local Groups. Submitted.

• Oh, M., Jeong, H., Kim, D., and Jung, K. Matrix-based Factor Analysis on the Prediction of Claims Probability. Submitted. Presentation at the American Risk and Insurance Association (ARIA) Annual Meeting, 2025.

Honors/Awards

• 2024 KAIST Graduate Student Outstanding Paper Award, 10/2024
• Travel Grant, SoFiE conference, 06/2023
• Korea Presidential Science Scholarship, Korea Student Aid Foundation, 03/2016–02/2020

Conference Presentations

• The World Risk and Insurance Economics Congress (WRIEC), Calgary, Canada, August 2025
• The 7th International Conference on Econometrics and Statistics (EcoSta), Beijing, China, July 2024 [presented virtually]
• The 6th International Conference on Econometrics and Statistics (EcoSta), Tokyo, Japan, August 2023
• The Society for Financial Econometrics (SoFiE) Conference, Seoul, June 2023
• The 5th International Conference on Econometrics and Statistics (EcoSta), Virtual, June 2022