Jaeho Kim, PhD - 김재호

I am an assistant professor of Economics at the University of Oklahoma, Norman. My primary fields of research are Bayesian econometrics, and time series econometrics. My recent research interests also include machine learning algorithms and big data analysis.

[CV]

Publications in Refereed Journal

[7] “Trend-cycle Decompositions of Real GDP Revisited: Classical and Bayesian Perspectives on an Unsolved Puzzle,” with CJ Kim, Forthcoming at Macroeconomic Dynamics [wp version] [published version]

[6] “Does the Financial Leverage Effect Depend on Volatility Regimes?”, with Sora Chon, Forthcoming at Finance Research Letters [wp version] [published version]

[5] "Hidden group patterns in democracy developments: Bayesian inference for grouped heterogeneity." Journal of Applied Econometrics 34.6 (2019): 1016-1028. with Le Wang [wp version] [published version] [online appendix] [replication files]

[4] “Heterogeneous Endogeneity” with Kevin Grier and Pallab Ghosh, Forthcoming at Statistical Papers [wp version] [published version]

[3] "An efficient sequential learning algorithm in regime-switching environments." Studies in Nonlinear Dynamics & Econometrics 23.3 (2019). with Sunhyung Lee [published version]

[2] "Why are Bayesian Trend-cycle Decompositions of U.S.Real GDP so Different?" Empirical Economics 58 (2020):1339–1354 with Sora Chon (KDI) [wp version] [published version]

[1] Bayesian Inference of Regime-Switching ARMA Models with Absorbing States: Dynamics of Ex-Ante Real Interest Rate under Structural Breaks, at Journal of Business and Economic Statistics, Volume 33, Issue 4, 2015 with C-J Kim [published version] [replication files]

Working Papers

[3] "Bayesian Estimation for Long-run Trend of the U.S. Economy" (Original Version 2016, Recent Version 2019) with Sora Chon, Resubmitted at Empirical Economics [wp version]

[2] "Price Discovery Uncertainty in Energy Markets" (Original Version 2019) with Scott Linn, Under Review [wp version]

[1] "Non-Markovian Regime Switching Models” (Original Version 2017, Recent Version 2018) with CJ Kim, Under Review [wp version]

Working in Progress

[1] "Portfolio Sorts" with Drew Creal (U of Notre Dame)

[2] "Bayesian Inference for CART Models" with Drew Creal (U of Notre Dame)

[3] "Regime Switching Model for High-dimensional Housing Prices" with C.Y. Choi (U of Texas, Arlington)

[4] "Time-varying Group Heterogeneity in Panel Data" with Le Wang (U of Oklahoma)

[5] "Regime Switching Models in a Data-rich Environment"