Jaeho Kim

Hanyang University - ERICA

Seoul

Korea, Republic of (South Korea)

SCHOLARLY PAPERS

10

DOWNLOADS

620

SSRN CITATIONS

7

CROSSREF CITATIONS

4

Scholarly Papers (10)

1.

Trend-Cycle Decompositions of Real GDP Revisited: Classical and Bayesian Perspectives on an Unsolved Puzzle

Number of pages: 31 Posted: 12 Dec 2016 Last Revised: 27 Apr 2018
Chang-Jin Kim and Jaeho Kim
Dept. of Economics, University of Washington and Hanyang University - ERICA
Downloads 120 (312,459)
Citation 7

Abstract:

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Pile-Up Problem, Profile Likelihood, Integrated Likelihood, Trend Stationary Process, Difference Stationary Process, Out-Of-Sample Prediction, Spurious Periodicity

2.

Efficient Bayesian Inference in Non-linear Switching State Space Models Using Particle Gibbs Sampling Approaches

Number of pages: 61 Posted: 03 Nov 2015 Last Revised: 24 Nov 2016
Jaeho Kim
Hanyang University - ERICA
Downloads 112 (328,010)
Citation 1

Abstract:

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Particle Markov Chain Monte Carlo, Regime switching, State space model, Leverage effect

3.

Permanent and Transitory Shocks to the U.S. Economy: Has Their Importance Been Constant over Time?

Number of pages: 38 Posted: 02 Nov 2016 Last Revised: 22 Apr 2017
Jaeho Kim and Sora Chon
Hanyang University - ERICA and Korea Development Institute (KDI)
Downloads 83 (397,017)

Abstract:

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Structural Break, Long-run Growth, Unobserved Component Model, Trend-cycle Decomposition, Particle Gibbs Sampling, Particle Rejuvenation

4.

Why Are Bayesian Trend-Cycle Decompositions of U.S. Real GDP So Different?

Number of pages: 19 Posted: 02 Feb 2017 Last Revised: 08 May 2018
Jaeho Kim and Sora Chon
Hanyang University - ERICA and Korea Development Institute (KDI)
Downloads 70 (436,770)
Citation 2

Abstract:

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Trend-Cycle Decomposition, Unobserved Components Model, Structural Break, Gibbs Sampling

5.

Heterogeneous Endogeneity

Number of pages: 30 Posted: 09 Mar 2016
Pallab Ghosh, Kevin B. Grier and Jaeho Kim
University of Oklahoma, Texas Tech University and Hanyang University - ERICA
Downloads 59 (476,024)

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6.

Non-Markovian Regime-Switching Models

Number of pages: 37 Posted: 27 Apr 2018
Chang-Jin Kim and Jaeho Kim
Dept. of Economics, University of Washington and Hanyang University - ERICA
Downloads 58 (479,908)
Citation 3

Abstract:

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Non-Markovian Regime Switching, Markovian Regime Switching, Exogenous Switching, Endogenous Switching

7.

An Efficient Sequential Learning Algorithm in Regime-Switching Environments

Number of pages: 23 Posted: 17 Feb 2018
Jaeho Kim and Sunhyung Lee
Hanyang University - ERICA and University of Oklahoma - Department of Economics
Downloads 57 (483,674)

Abstract:

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Regime Switching Models, Sequential Monte Carlo Estimation, Particle Filters, Parameter Learning, Stochastic Volatility Models

8.

Hidden Group Patterns in Democracy Developments: Bayesian Inference for Grouped Heterogeneity

Number of pages: 13 Posted: 30 May 2018
Jaeho Kim and Wang Le
Hanyang University - ERICA and University of Alabama
Downloads 34 (591,090)
Citation 1

Abstract:

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Bayesian Inference, Dirichlet Process Prior, Panel Data

9.

Price Discovery Under Model Uncertainty

Energy Economics, Forthcoming
Number of pages: 56 Posted: 02 Mar 2022 Last Revised: 17 Mar 2022
Jaeho Kim and Scott C. Linn
Hanyang University - ERICA and University of Oklahoma - Michael F. Price College of Business
Downloads 23 (661,422)

Abstract:

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Price Discovery, Energy Commodities, Regime Switching, Vector Error Correction, Bayesian Inference

10.

Bayesian Estimation of Block Covariance Matrices

Number of pages: 76 Posted: 05 May 2022
Drew Creal and Jaeho Kim
University of Notre Dame and Hanyang University - ERICA
Downloads 4 (820,770)

Abstract:

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covariance matrix, Bayes estimator, shrinkage, model choice