Publications
Baillie, R.T., Diebold, F.X., Kapetanios, G., Kim, K.H. and Mora, A. (2025) On Robust Inference in Time Series Regression. The Econometrics Journal 28, 131--173.
Li, J., Chen, L., Kim, K.H. and Zhou, T. (2025) Simultaneous Inference of a Partially Linear Model in Time Series. Journal of Time Series Analysis 46, 623--646.
Kim, K.H., Koul, H.L. and Kim, J. (2023) A Specification Test based on Convolution-type Distribution Function Estimates for Non-linear Autoregressive Processes. Advances in Econometrics 45A, 187-206.
Baillie, R.T., Diebold, F.X., Kapetanios, G. and Kim, K.H. (2023) A New Test for Market Efficiency and Uncovered Interest Parity. Journal of International Money and Finance 130, 102765.
Kim, K.H., Chao, S.K. and Härdle, W.K. (2021) Simultaneous Inference of the Partially Linear Model with a Multivariate Unknown Function. Journal of Statistical Planning and Inference 213, 93-105.
Dey, T., Kim, K.H. and Lim, C. (2018) Bayesian Time Series Regression with Nonparametric Modeling of Autocorrelation. Computational Statistics 33, 1715-1731.
Baillie, R.T. and Kim, K.H. (2018) Choices between OLS with Robust Inference and Feasible GLS in Time Series Regressions. Economics Letters 171, 218-221.
Kim, K.H. and Kim, T. (2016) Capital Asset Pricing Model: a Time-varying Volatility Approach. Journal of Empirical Finance 37, 268-281.
Kim, K.H. (2016) Inference of the Trend in a Partially Linear Model with Locally Stationary Regressors. Econometric Reviews 35(7), 1194-1220.
Kim, K.H., Zhang, T. and Wu, W.B. (2015) Parametric Specification Test for Nonlinear Autoregressive Models. Econometric Theory 31, 1078-1101.
Baillie, R.T. and Kim, K.H. (2015) Was it Risk? Or was it Fundamentals? Explaining Excess Currency Returns with Kernel Smoothed Regressions. Journal of Empirical Finance 34, 99-111.
Kim, K.H. (2014) Counter-cyclical Risk Aversion. Journal of Empirical Finance 29, 384-401.
Kim, K.H. (2013) Inference of the Environmental Kuznets Curve. Applied Economics Letters 20, 119-122. (This article is also included by The Economics of Environment, published in Sept. 2014 by Routledge, Taylor and Francis Group, highlighting the relationship between Economics and Environment.)
Kim, K.H. (2011) Density Forecasting through Disaggregation. International Journal of Forecasting 27, 394-412.
Kim, K.H., Zhou, Z. and Wu, W.B. (2010) Non-stationary Structural Model with Time-varying Demand Elasticities. Journal of Statistical Planning and Inference 140, 3809-3819.
Working Papers
- Yes! Uncovered Interest Parity Does Hold in the Long Run (with R.T. Baillie, G. Kapetanios).
- HAC for Time Series Regression with Highly Persistent Errors (with R.T. Baillie, G. Kapetanios).
- Dynamics of U.S. Tax Progressivity across the Income Distribution (with W. Hu, W.B., Wu and J. Yeon).
- Bayesian Estimation of the Autocovariance of a Model Error in Time Series (with Y. Jun, C. Lim and J. Kim)