[4] "A Time-varying Bayesian Variable Selection for Macroeconomic Forecasting" with Hyun Jae Stephen Chu (graduate student), Kyu Ho Kang (Korea U) [wp version]
[3] "Multifaceted Uncertainty in Investment Strategies Based on Large Language Models" with Jaehoon Kim (graduate student) Sora Chon (Inha U) [wp version] R&R
[2] "Robust Price Discovery to Heavy-Tailed Market Shocks" with Scott Linn (OU), Sora Chon (Inha U) [wp version] Under Review
[1] "Empirical Asset Pricing with Bayesian Regression Trees" with Drew Creal (U of Illinois), [wp version] R&R
[15] "Stock Return Prediction Using Macroeconomic Drivers: The Case of the KOSPI Index" with Kiwoong Yoon(graduate student) [wp version] Accepted [published version]
[14] "Global CIP Deviation Factor" with Chul Won Park (graduate student), Journal of APEC Studies (2024) [published version]
[13] "Bayesian estimation of cluster covariance matrices of unknown form" with Drew Creal (U of Notre Dame), Journal of Econometrics (2024)[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]
[2] "Nowcasting for the Korean economy"
[1] "Variable selection in regime switching models" with Salimeh Abedini Birang (U of Oklahoma)