Teaching Experience

•  (Undergraduate) International Finance, Econometrics

• ​(Graduate) International Finance, Econometrics, Time Series Analysis, Bayesian Econometrics 

Course Materials

• Econometrics (Undergraduate)

• International Finance (Undergraduate)

• International Finance (Graduate)

• Econometrics (Graduate)

• Time Series Analysis (Graduate)

• Bayesian Econometrics (Graduate)

R Codes and Videos 

​1. Basic

• Install R and R studio: Video​​​​​

2. Econometrics (Undergraduate)

• Prepare: Data

• Basic: Code, Video

• Data and Basic Statistics: Code, Video

• Central Limit Theorem: Code, Video

• Simple OLS: Code, Video

• Simple Linear Regression: Code, Video 1, Video 2, Video 3

• Multiple Linear Regression: Code, Video

• Simple Hypothesis Test: Code, Video​

• Joint Hypothesis Test: Code, Video

• OLS Function: Code, Video​

• Chow Test for Coefficient: Code, Video​

• Chow Test for Variance: Code, Video

• Rolling and Recursive Regression: Code, Video​

• GLS - Autocorrelation  with LBQ test: Code, Video

• GLS - Heteroscedasticity with LBQ test: Code, Video

• Forecasting: Code, Video

• Example Code (Econometrics by Chirok Han): Code, Video

​ 3. International Finance (Undergraduate)

• Basic: Code

• Summary Statistics: Code, Video, Data

• Time Series Data and 1st Difference: Code, Video , Data

• Correlations: Code, Video, Data

• Empirical PPP Test: Code, Video, Data

• Empirical UIRP Test: Code, Video, Data

• Forecasting Exhcnage Rates - RW: Code, Function, Video, Data

• Forecasting Exhcnage Rates - PPP: Code, Function1, Function2, Data

• Forecasting Exhcnage Rates - UIRP: Code, Function1, Function2, Data

• Forecasting Exhcnage Rates - Talor Rule: Code, Function1, Function2, Data

• Forecasting Exhcnage Rates - Monetary (Flexible): Code, Function1, Function2, Data

• Forecasting Exhcnage Rates - Monetary (Sticky): Code, Function1, Function2, Data​​

MATLAB Codes and Videos 

* ​​Please download the library of Kyu Ho Kang's text book (Bayesian Econometrics, 2016 in Korean) before using my MATLAB code 

​1. Basic

• ​Install MATLAB: Video

• MATLAB Library: Code 

• Basic: Video 1, Video 2, Video 3

​​2. Econometrics (Graduate)

• Central Limit Theorem: ​Code, Video

• OLS, Simple Hypothesis Test: Code, Video1, Video 2, Video 3

• Distributions: Code, Video

• OLS Subsut Regression (FWL Theorem): Code, Video

• OLS Function: Code, Video

• Joint Hypothesis Test: Code, Video

• ​​MLE: Code, Video​

• GLS with LBQ test - Heteroscedasticity: Code, Video

• IV with Hausman-Wu test: Code, Video​

• SURE: Code, Video

• Simultaneous Equation: Code. Video

• Probit: Code, Video

• Tobit: Code, Video​

3​. Time Series Analysis (Graduate)

• Heteroscedasticity: Code, Video

  • ​​ARCH, GARCH, EGARCH, IGARCH, GARCHM, Linear Regression with GARCH, Linear Regression with ARCH, AR with GARCH

• Principal Component Analysis (PCA): Code. Video

• Maximum Likelihood Estimation (MLE): Code, Video

• State-space (SS) Model: Code, Video​​

  • Autoregressive Moving Average, Unobserved Component, Time Varying Parameter, Dynamic Common Factor, Common Stochastic Trend

• Markov-switching (MS) Model: Code, Video​

  • Independent switching, Markov switching with various specifications

• State-space Model with Markov-switching (SSMwMS): Code, Video​

  • Unobserved Component, Time Varying Parameter, Dynamic Common Factor

• State-space Model with Heteroskedastic Disturbance (SSMwHD): Code, Video​

  • Time Varying Parameter

​​4. Bayesian Econometrics (Graduate)

• Tossing Coin: Code, Video​

• Linear Regression: Code, Video

• Autoregressive: Code, Video

• Autoregressive Moving Average: Code, Video

• Linear Regression with autoregressive errors: Code, Video

• Multivariate Regression: Code, Video

  • ​SURE, Recursive VAR

  • State-space (SS) Model: Code, Video

  • Unobserved Component, Time Varying Parameter, Dynamic Common Factor​​

• Stochastic Volatility (SV) Model: Code, Video

  • 7 mix, 10 mix​

• Markov-switching (MS) Model: Code, Video

  • ​2 State MS, Structural Breaks (One and Two)

• Multivariate Regression with MS Model: Code, Video

  • ​​​​SURE, Recursive VAR

• State-space Model with Markov-switching (SSMwMS): Code, Video​

  • Unobserved Component, Time Varying Parameter, Dynamic Common Factor​​

• Heteroscedasticity: Code, Video

  • ​​ARCH, GARCH

• Bayesian Variable Selection: Code, Video

• Probit: Code, Video

• Tobit: Code, Video

​​5. International Finance (Graduate)

• Yield Curve Data: (KR) Korea Asset Pricing,  (US) GSW, H15, Liu-Wu Yield Curve, Discount Bond Database, (CA) Bank of Canada, (UK) Bank of England, (FR) Grishchenko, Moraux and Pakulyak,  (JP) Ministry of Finance, (DE) Bundesbank, (IT) Bank of Italy 

• Dynamic Common Factor Model: Code, Video

• PCA for Level, Slope, Curvature: Code. Video

• OLS for Nelson-Siegel Model: Code, Video

• 2-Factor Dynamic Nelson-Siegel Model: Code, Video

• 3-Factor Dynamic Nelson-Siegel Model: Code, Code-Gamma, Video

• 3-Factor Dynamic Nelson-Siegel Model with Macro Factors: Code, Video

• 4-Factor(2nd Slope) Dynamic Nelson-Siegel Model: Code, Video

• 4-Factor(2nd Curvature) Dynamic Nelson-Siegel Model: Code, Video

• 5-Factor(2nd Slope and Curvature) Dynamic Nelson-Siegel Model: Code, Video