← All authors Kyu Ho Kang Korea University (from arXiv:2101.09394, 2021) · OpenAlex
21 papers in scope · 21 published · 1 on the econ.EM arXiv · 176 citations · h-index 6 (over the papers listed here)
Papers (1 of 21)
Modeling the time-varying dynamic term structure of interest rates
published 2023 · Journal of Banking & Finance · 4 citations · first circulated 2020
with Ahjin Choi
Estimating and testing skewness in a stochastic volatility model
published 2023 · Journal of Empirical Finance · 3 citations · first circulated 2021
with Cheol Woo Lee, Cheolwoo Lee
published 2023 · Journal of Forecasting · 5 citations · first circulated 2021
The Bank of Korea watch
published 2022 · Journal of International Money and Finance · 1 citations · first circulated 2021
with Hyerim Kim
Skewness Estimation in Korean Stock Returns using an Asymmetric Stochastic Volatility Model
published 2021 · Institute for Future Growth
with Hayeon Park
Has international CPI inflation comovement strengthened since the global financial crisis?
published 2021 · Macroeconomic Dynamics · 17 citations
with Inseok Shin
Synchronicity in Dry Bulk Shipping Markets: A State-Space Model Approach
published 2021 · KMI International Journal of Maritime Affairs and Fisheries
with Byoung-Wook Ko
Conditional value-at-risk forecasts of an optimal foreign currency portfolio
published 2020 · International Journal of Forecasting · 5 citations
with Dongwhan Kim
Bayesian Inference of Multivariate Regression Models with Endogenous Markov Regime-Switching Parameters
published 2020 · Journal of Financial Econometrics · 6 citations
with Young Min Kim
Do bond markets find inflation targets credible? Evidence from five inflation-targeting countries
published 2020 · International Review of Economics & Finance · 6 citations
with Young Min Kim, Kook Ka
The effects of conventional and unconventional monetary policy on forecasting the yield curve
published 2019 · Journal of Economic Dynamics and Control · 10 citations
with Yunjong Eo
Likelihood inference for dynamic linear models with Markov switching parameters: on the efficiency of the Kim filter
published 2018 · Econometric Reviews · 12 citations
with Young Min Kim
An Empirical Investigation on Funding Liquidity and Market Liquidity
published 2017 · European Finance Review · 12 citations
with Ji-Yeong Chung, Dong-Hyun Ahn, In-Seok Baek
Can credit spreads help predict a yield curve?
published 2016 · Journal of International Money and Finance · 3 citations
with Azamat Abdymomunov, Ki Jeong Kim
The predictive density simulation of the yield curve with a zero lower bound
published 2015 · Journal of Empirical Finance · 5 citations
The Role of Credit Spreads and Structural Breaks in Forecasting the Term Structure of Korean Government Bond Yields
published 2015 · Asia-Pacific Journal of Financial Studies · 1 citations · first circulated 2014
with Chang Hoon Lee, Azamat Abdymomunov, Ki Jeong Kim
The effects of monetary policy regime shifts on the term structure of interest rates
published 2014 · Studies in Nonlinear Dynamics and Econometrics · 4 citations · first circulated 2011
with Azamat Abdymomunov
Estimation of state-space models with endogenous Markov regime-switching parameters
published 2013 · Econometrics Journal · 20 citations
Forecasting the Term Structure of Korean Government Bond Yields Using the Dynamic Nelson‐Siegel Class Models
published 2012 · Asia-Pacific Journal of Financial Studies · 2 citations
Structural Break in the Term Structure of the Korean Government Bond Yields (in Korean)
published 2012 · Economic Analysis (Quarterly)
no link
Changes in U.S. Inflation Persistence
published 2009 · Studies in Nonlinear Dynamics and Econometrics · 60 citations
with Chang-Jin Kim, James Morley
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