RESEARCH
Hyun Hak Kim
 
 

C.V.


RESEARCH INTEREST

 - Primary:  Econometrics, Forecasting, Time-series

 - Secondary: Macroeconomics, Macroeconometrics, Data Mining


PUBLICATIONS
- Forecasting Financial and Macroeconomics Variables Using Data Reduction Methods: New Empirical Evidence (with Norman R. Swanson), Journal of Econometrics, 178(2):352-367.


Mining Big Data Using Parsimonious Factor Machine Learning, Variable Selection, and Shrinkage Methods(with Norman R. Swanson), 2016, forthcoming, International Journal of Forecasting.

WORKING PAPER

- Mining Big Data Using Parsimonious Factor and Shrinkage Methods (with Norman R. Swanson) (working paper version of Mining Big Data Using Parsimonious Factor Machine Learning, Variable Selection, and Shrinkage Methods)

- Forecasting Macroeconomic Variables Using Data Dimension Reduction Methods: Case of Korea, BOK Working Paper 2013-26, 

   (submitted as) Looking into the Black Box of the Korean Economy: The Sparse Factor Model Forecasting Approach

- Hysteresis in Korean Labor Market with Alternative Measure of Labor Utilization (with K.M. Hwang), BOK Working Paper 2014-29,  in Korean

- Forecasting Financial Stress Indices in Korea: A Factor Model Approach (with Hyeongwoo Kim. and Wen Shi), BOK Working Paper 2015-30.

Methods for Pastcasting, Nowcasting and Forecasting Using Factor-MIDAS with an Application to Real-Time Korean GDP (with N. Swanson), working paper.

- Looking into Black Box Using Sparse Factor Proxies , working paper.

- Price Diffusion in Korean Housing Market Using Real-time Data (with H. Jung and H. Lim, in Korean)

WORK IN PROGRESS

- Forecasting Macroeconomic Variables Using Naver Probabilities (in progress, with Gary Koop)