Working Papers

[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

Publications in Refereed Journal

[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]

Working in Progress

[2]  "Nowcasting for the Korean economy" 

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