Jaeho Kim, PhD - 김재호

I am an associate professor at Sogang University. My primary fields of research are Bayesian econometrics, empirical macroeconomics, and empirical finance.  My recent research interests also include machine learning algorithms and big data analysis.

[CV]

Working Papers

[2]  "Price Discovery via long-run forecast" (Original Version 2021) with Scott Linn (OU)

[1]  "Empirical Asset Pricing with Bayesian Regression Trees" (Original Version 2021) with Drew Creal (U of Notre Dame), [wp version] [online appendix]

Publications in Refereed Journal

[13]  "Bayesian estimation of block covariance matrices" with Drew Creal (U of Notre Dame), Journal of Econometrics (forthcoming) [published version] [wp version with online appendix

[12]  "The Structural Shifts in Bitcoin’s Role as a Predictor of the KOSPI Index "with Sangmin Park (undergraduate student), Journal of APEC Studies (2023) [published version]

[11]  "Non-Markovian Regime-Switching Models "with CJ Kim (UW), Journal of Economic Theory and Econometrics (2023) [published version][replication files]

[10]  "Logistic regression model for a bivariate binomial distribution with applications in baseball data analysis "with Yewon Han (graduate student), Hon Keung Tony Ng (Bentley U), Seong W. Kim (Hanyang U-ERICA), Entropy (2022) [published version]

[9]  "Price Discovery under model uncertainty" with Scott Linn (OU), Energy Economics (2022) [wp version] [published version

[8] "Bayesian Estimation of the Long-run Trend of the U.S. Economy" with Sora Chon (KDI), Empirical Economics (2022)  [wp version] [published version]   

[7] “Trend-cycle Decompositions of Real GDP Revisited: Classical and Bayesian Perspectives on an Unsolved Puzzle,” with CJ Kim (UW), Macroeconomic Dynamics (2022) [wp version] [published version]

[6] “Does the Financial Leverage Effect Depend on Volatility Regimes?” with Sora Chon (KDI), Finance Research Letters (2021) [wp version] [published version

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

[4] “Heterogeneous Endogeneity” with Kevin Grier (OU) and Pallab Ghosh (OU), Statistical Papers (2021)  [wp version] [published version]

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

[2] "Why are Bayesian Trend-cycle Decompositions of U.S.Real GDP so Different?" with Sora Chon (KDI), Empirical Economics (2020)  [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" with C-J Kim (UW),  Journal of Business and Economic Statistics (2015) [published version] [replication files]

Working in Progress

[2]  "Nowcasting for the Korean economy" 

[1]  "Variable selection in regime switching models" with Salimeh Abedini Birang (U of Oklahoma)