1 Anam-dong 5 ka
Seoul, 136-701
Korea University
모형선택, 변수선택, 사후예측우도, 조건부 베이지안 모형평균, model choice, variable selection, posterior predictive likelihood, conditional Bayesian model averaging
Monetary policy, variance decomposition, global business cycles, commodity prices
Markov-switching mixture; Dynamic Nelson—Siegel model; Affine term structure model; Random-walk model; Zero interest-rate policy
Term Premium, Bayesian MCMC algorism, Regime Change, Structural VAR
Yield curve, estimation risk, density forecasting, machine learning
Out-of-sample forecasting, term structure, credit spread, Nelson-Siegel model, Bayesian MCMC estimation
Out-of-sample density forecasting, Bond portfolio choice, Posterior predictive likelihood, Certainty equivalent return
외환투자, 포트폴리오 최적화, 다변수 확률적 변동성, 베이지안 알고리즘, Bayesian MCMC Method, Multivariate Stochastic Volatility, Time-Varying Correlation
Quantitative Easing; Operation Twist; Dynamic Nelson-Siegel Model; Arbitrage-free Ferm Structure Model; Random Walk Model; Markov-switching Mixture
yield curve, term premium, Bayesian estimation, monetary policy
policy rate, variable selection, Bayesian machine learning, out-of-sample prediction
Large VAR, Bayesian estimation, Structural Change, Scenario analysis
term structure, scenario analysis, monetary policy, Markov Chain Monte Carlo (MCMC) simulation
투자다변화, 대규모 VAR, 베이지안 포트폴리오 최적화, investment diversification, large-scale VAR, Bayesian portfolio optimization
G12, C11, E43