Hyeongwoo Kim |
Home
|
CV
|
Research
|
Teaching
|
Miscellaneous
Refereed Publication
s
Kim, Hyeongwoo (2009), "
On the Usefulness of the Contrarian Strategy Across National Stock Markets: A Grid Bootstrap Analysis
,"
Journal of Empirical Finance
16
-5, 734-744.
Kim, Hyeongwoo, Liliana Stern, and Michael Stern (2009),
"
Nonlinear Mean Reversion in the G7 Stock Markets
,"
Applied Financial Economics
19
-5, 347-355.
Kim, Hyeongwoo and Young-Kyu Moh (2009) ''
On the Importance of Span of the Data in Univariate Estimation of the Persistence in Real Exchange Rates
'',
Economics Bulletin
29
-1, 129-140.
Kim, Hyeongwoo, John Jackson, and Richard Saba (2009), "
Forecasting the FOMC's Interest Rate Setting Behavior: A Further Analysis
,"
Journal of Forecasting
28
-2, 145-165.
Kim, Hyeongwoo (2008), "
Country-Specific Shocks and Optimal Monetary Policy
,"
Economics Bulletin
5
-23, 1-9.
Book Chapters
Angkinand, Apanard, James Barth, and Hyeongwoo Kim (2009), "
Spillover Effects from the U.S. Financial Crisis: Some Time-Series Evidence from National Stock Returns
,"
The Financial and Economic Crises: An International Perspective
, edited by Benton Gup, Edward Elgar Publishing, forthcoming.
Working
Papers
Nonlinear Mean Reversion across National Stock Markets: Evidence from E
merging
Asia
n
Markets
, April 2008 (
with S
hu-Ling
Chen
;
Under Revision for Resubmission,
International Economic Journal
)
Bias Correction and Out-of-Sample Forecast Accuracy
, May 2009 (with Nazif Durmaz;
Under Revision for Resubmission,
Journal of Forecasting
),
MPRA Working Paper
No.16780
A Century of Purchasing Power Parity Confirmed: The Role of Nonlinearity
, January 2009 (with Young-Kyu Moh;
Under Revision for Resubmission,
Journal of International Money and Finance
;
Presented in the 83rd WEAI/KEA Annual Conference by coauthor, July 2008; Presented in the KEA/KAEA International Conference by coauthor, August 2008 ),
MPRA Working Paper
No.17488
VECM Estimations of the PPP Reversion Rate Revisited: The Conventional Role of Relative Price Adjustment Restored
, November 2007 (
Under Revision for Resubmission,
Review of International Economics
)
Factor Proportions Wages in a Structural Vector Autoregression
, October 2009 (with Henry Thompson),
MPRA Working Paper
No.17798
Time-Series Analysis of U.S. Kidney Transplantation and the Waiting List: Donor Substitution Effects and "Dirty Altruism"
, September 2009 (with T. Randolph Beard, John Jackson, and David Kaserman),
MPRA Working Paper
No.17620
Examining the Evidence for Purchasing Power Parity Under the Current Float by Recursive Mean Adjustment
, June 2009 (with Young-Kyu Moh)
Generalized Impulse Response Analysis: General or Extreme?
, April 2009,
MPRA Working Paper
No.17014
Purchasing Power Parity and the Taylor Rule
, March 2009 (with Masao Ogaki; Presented in 72nd
Midwest Economics Association
Annual Meeting, March 2008; Presented in
Midwest Macro Meeting
, May 2008; Presented in KEA/
KAEA
Annual Meeting, August 2008; Presented in
ASSA Annual Meeting
, January 2009; Presented in the
NBER
Summer Institute 2009, July 2009),
Ohio State University Department of Economics Working Paper
No.09-03
A Note on Real Exchange Rate Dynamics and the Taylor Rule
, February 2009
Half-Life Bias Correction and the G7 Stock Markets
, November 2008 (with Liliana Stern and Michael Stern)
The Asian Crisis in Thailand: Portfolio Investment and Central Bank Policy, April 2008 (with Noppadon Sathitsuksanoh and Henry Thompson)
Half-Life Estimation
under the
Taylor Rule
:
Two Goods Model
,
February 2007
(
Presented in
16
th
Midwest Econometrics Group
Annual
Meeting
, October 200
6
)
Local-Currency Pricing, Technology Diffusion, and the Optimal Interest Rate Rule, April 2006
Half-Life Estimation
under the
Taylor Rule
,
July
2005
Purchasing Power Parity under a Taylor Rule Type Monetary Policy, December 2004
(Presented in
14
th
Midwest Econometrics Group
Annual
Meeting
, October 2004)
Simple
but Useful
Gauss Procedures
HP Filter
:
Note
ADF Test by General-to-Specific Rule
ADF Test by the BIC Rule and the AIC Rule
Unit Root Test (ESTAR: Serially Uncorrelated)
:
Note
Unit Root Test (ESTAR: Serially Correlated)
:
Note
Generating a VAR System
Setup an ADF regression equation by the General-to-Specific Rule
Setup an ADF regression equation given number of lags
Lag Selection by Akaike Information Criteria and Bayesian Information Criteria:
Scalar
Lag Selection by Akaike Information Criteria and Bayesian Information Criteria:
VAR
OLS
Autocovariance and Autocorrelation
Cross-Correlation
Hyeongwoo Kim
|
Home