Kyu H. Kang

Korea University

1 Anam-dong 5 ka

Seoul, 136-701

SCHOLARLY PAPERS

11

DOWNLOADS

734

SSRN CITATIONS

3

CROSSREF CITATIONS

0

Scholarly Papers (11)

1.

베이지안 머신 러닝을 이용한 은행권 주택담보대출 예측 (Mortgage Loan Prediction: Bayesian Machine Learning Approach)

Financial Stability Studies, Vol. 19, No. 1, Korea Deposit Insurance Corporation(KDIC), 2018, pp. 99-129.
Number of pages: 31 Posted: 15 Jul 2018 Last Revised: 09 Jan 2019
Kyu H. Kang
Korea University
Downloads 161 (238,147)

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모형선택, 변수선택, 사후예측우도, 조건부 베이지안 모형평균, model choice, variable selection, posterior predictive likelihood, conditional Bayesian model averaging

2.

미국 장기시장금리 변동이 우리나라 금리기간구조에 미치는 영향 분석 및 정책적 시사점 (The Effect of U.S. Long-Term Interest Rates on the Term Structure of Korean Interest Rates)

Bank of Korea Working Paper No. 2015-2
Number of pages: 35 Posted: 31 Mar 2015 Last Revised: 30 Apr 2015
Kyu H. Kang and Hyung Suk Oh
Korea University and The Bank of Korea
Downloads 99 (341,896)
Citation 2

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Term Premium, Bayesian MCMC algorism, Regime Change, Structural VAR

3.

Forecasting the Term Structure of Interest Rates with Potentially Misspecified Models

Number of pages: 44 Posted: 05 Apr 2016 Last Revised: 30 Nov 2018
Yunjong Eo and Kyu H. Kang
Department of Economics, Korea University and Korea University
Downloads 93 (355,793)

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Markov-switching mixture; Dynamic Nelson—Siegel model; Affine term structure model; Random-walk model; Zero interest-rate policy

4.

Forecasting the Term Structure of Government Bond Yields Using Credit Spreads and Structural Breaks

Bank of Korea WP 2014-19
Number of pages: 34 Posted: 28 Mar 2015
Azamat Abdymomunov, Kyu H. Kang and Ki Jeong Kim
Federal Reserve Banks - Federal Reserve Bank of Richmond, Korea University and The Bank of Korea
Downloads 89 (365,742)
Citation 1

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Out-of-sample forecasting, term structure, credit spread, Nelson-Siegel model, Bayesian MCMC estimation

5.

베이지안 기법을 활용한 최적 외환포트폴리오 연구(Bayesian Analysis of Optimal Foreign Currency Portfolio Selection)

Financial Stability Studies, Vol. 17, No. 1, Korea Deposit Insurance Corporation(KDIC), 2016, pp. 121-162.
Number of pages: 42 Posted: 10 Aug 2017 Last Revised: 10 Jan 2019
Yunjung Kim, Dongwan Kim and Kyu H. Kang
Korea University, Korea University and Korea University
Downloads 65 (436,755)

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외환투자, 포트폴리오 최적화, 다변수 확률적 변동성, 베이지안 알고리즘, Bayesian MCMC Method, Multivariate Stochastic Volatility, Time-Varying Correlation

6.

Yield Spread Selection in Predicting Recession Probabilities: A Machine Learning Approach

Number of pages: 20 Posted: 27 Jan 2021 Last Revised: 07 Jan 2022
Peking University - HSBC School of Business, Peking University - HSBC School of Business, Korea University and Peking University - HSBC Business School
Downloads 62 (447,188)

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Yield curve, estimation risk, density forecasting, machine learning

7.

Estimating and Testing Skewness in a Stochastic Volatility Model

Number of pages: 38 Posted: 16 Jun 2021
Cheolwoo Lee and Kyu H. Kang
Ohio State University and Korea University
Downloads 39 (544,039)

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8.

Modeling the Time-Varying Dynamic Term Structure of Interest Rates

Number of pages: 39 Posted: 09 Jan 2021
Ahjin Choi and Kyu H. Kang
National Pension Research Institute and Korea University
Downloads 36 (559,487)

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Out-of-sample density forecasting, Bond portfolio choice, Posterior predictive likelihood, Certainty equivalent return

9.

The Effects of Conventional and Unconventional Monetary Policy on Forecasting the Yield Curve

Number of pages: 46 Posted: 08 May 2019 Last Revised: 13 Jan 2020
Yunjong Eo and Kyu H. Kang
Department of Economics, Korea University and Korea University
Downloads 35 (564,825)
Citation 2

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Quantitative Easing; Operation Twist; Dynamic Nelson-Siegel Model; Arbitrage-free Ferm Structure Model; Random Walk Model; Markov-switching Mixture

10.

Global Factors in Inflation and Interest Rates

Number of pages: 42 Posted: 08 Jul 2021
Sun Ho Lee and Kyu H. Kang
Korea University and Korea University
Downloads 32 (581,040)

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Monetary policy, variance decomposition, global business cycles, commodity prices

11.

The Bank of Korea Watch

Number of pages: 37 Posted: 22 Jul 2021
Hyerim Kim and Kyu H. Kang
affiliation not provided to SSRN and Korea University
Downloads 23 (638,332)

Abstract:

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policy rate, variable selection, Bayesian machine learning, out-of-sample prediction