Kyu H. Kang

Korea University

1 Anam-dong 5 ka

Seoul, 136-701

SCHOLARLY PAPERS

7

DOWNLOADS

383

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (7)

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 88 (291,978)

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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 87 (291,978)
Citation 1

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

3.

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 83 (300,571)
Citation 1

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

4.

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
The University of Sydney - School of Economics and Korea University
Downloads 71 (329,024)

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

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 39 (431,427)

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

6.

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

Number of pages: 55 Posted: 08 May 2019
Yunjong Eo and Kyu H. Kang
The University of Sydney - School of Economics and Korea University
Downloads 14 (561,417)

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Quantitative Easing; Operation Twist; Dynamic Nelson-Siegel Model; Arbitrage-Free Term Structure Model; Random-Walk Model; Markov-Switching Mixture

7.

Estimation of State‐Space Models with Endogenous Markov Regime‐Switching Parameters

The Econometrics Journal, Vol. 17, Issue 1, pp. 56-82, 2014
Number of pages: 27 Posted: 19 Feb 2014
Kyu H. Kang
Korea University
Downloads 1 (656,420)
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Bayesian Markov chain Monte Carlo estimation, Dynamic Nelson–Siegel model, Marginal likelihood, Particle filter, Predictive accuracy