Yongcheol Shin

Independent

No Address Available

SCHOLARLY PAPERS

24

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7,235

CITATIONS
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Top 4,885

in Total Papers Citations

112

Scholarly Papers (24)

1.

Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework

Festschrift in Honor of Peter Schmidt, W.C. Horrace and R.C. Sickles, eds., Forthcoming
Number of pages: 44 Posted: 13 Apr 2011 Last Revised: 23 Oct 2013
Independent, Dept. of International Trade, Dong-A University and University of Melbourne
Downloads 3,444 (2,804)
Citation 36

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Asymmetric Cointegrating Relationships, Asymmetric Dynamic Multipliers, Nonlinear ARDL (NARDL) ECM-based Estimation and Tests, Nonlinear Unemployment-Output Relationship, Asymmetric Gasoline Price Adjustment

2.

Asymmetric Capital Structure Adjustments: New Evidence from Dynamic Panel Threshold Models

Journal of Empirical Finance, Forthcoming
Number of pages: 37 Posted: 05 Aug 2009 Last Revised: 17 Apr 2012
Viet Anh Dang, Minjoo Kim and Yongcheol Shin
Alliance Manchester Business School, University of Liverpool - Accounting and Finance Division and Independent
Downloads 1,168 (16,867)
Citation 19

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Capital Structure, Target Leverage, Dynamic Trade-off Theory, Dynamic Panel Threshold Model.

3.

Using Global VAR Models for Scenario-Based Forecasting and Policy Analysis

The GVAR Handbook: Structure and Applications of a Macro Model of the Global Economy for Policy Analysis (F. di Mauro and M.H. Pesaran eds.), Forthcoming.
Number of pages: 14 Posted: 23 Mar 2012 Last Revised: 14 Jul 2012
University of Melbourne, Melbourne Institute of Applied Economic and Social Research and Independent
Downloads 495 (55,310)
Citation 6

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Global VAR, Scenario-Based Forecasting and Analysis, Global Imbalances

4.

Limited Arbitrage and Noise Momentum

Number of pages: 69 Posted: 11 May 2011 Last Revised: 21 Jul 2012
Charlie X. Cai, Robert W. Faff and Yongcheol Shin
University of Liverpool Management School, University of Queensland and Independent
Downloads 320 (92,718)
Citation 1

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Limited Arbitrage, Noise Momentum, Futures and Spot Prices, Markov Switching Model

5.

Testing for Cointegration in Nonlinear Star Error Correction Models

U of London Queen Mary Economics Working Paper No. 497
Number of pages: 27 Posted: 31 Aug 2003
George Kapetanios, Yongcheol Shin and Andy Snell
King's College, London, Independent and University of Edinburgh - Economics
Downloads 312 (95,343)
Citation 19

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Unit roots, globally stationary cointegrating processes, nonlinear exponential smooth transition autoregressive error correction models, Monte Carlo simulations, prices and dividends

International Linkages of the Korean Economy: The Global Vector Error-Correcting Macroeconometric Modelling Approach

Journal of Market Economy 41(3), pp. 15-64.
Number of pages: 40 Posted: 28 Aug 2012 Last Revised: 17 Dec 2012
University of Melbourne, Melbourne Institute of Applied Economic and Social Research and Independent
Downloads 154 (189,095)
Citation 4

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Global VAR, impulse response analysis, forecast error variance decomposition, Korean macroeconomic international linkages

7.

Forecasting Distribution of Inflation Rates: Functional Autoregressive Approach

Forthcoming in Journal of the Royal Statistical Society: Series A.
Number of pages: 45 Posted: 20 Feb 2010 Last Revised: 26 Feb 2015
Kausik Chaudhuri, Minjoo Kim and Yongcheol Shin
Indira Gandhi Institute of Development Research (IGIDR), University of Liverpool - Accounting and Finance Division and Independent
Downloads 193 (154,958)
Citation 3

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Time-varying Cross-sectional Distribution, Functional Autoregression, Nonparametric Bootstrap, Density and Probability Forecasting of the UK Inflation

8.

On the Asymmetric U-Shaped Relationship between Inflation, Inflation Uncertainty and Relative Price Skewness in the UK

Journal of Money, Credit, and Banking, Forthcoming
Number of pages: 16 Posted: 08 Jul 2011 Last Revised: 14 Jul 2012
University of Leeds - Leeds University Business School (LUBS), University of Melbourne, University of Glasgow and Independent
Downloads 176 (168,309)
Citation 3

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Inflation, Regime-Dependent Price Rigidity, Sectoral Heterogeneity, UK

9.

Forecast Uncertainties in Macroeconometric Modelling: An Application to the UK Economy

CESifo Working Paper Series No. 345
Number of pages: 53 Posted: 28 Mar 2001
University of Warwick, University of Leicester - Department of Economics, University of Southern California - Department of Economics and Independent
Downloads 140 (204,085)
Citation 24

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Probability forecasting, long run structural VARs, macroeconome-tric modelling, probability forecasts of inflation, interest rates, output growth

10.

Shifting Preferences at the Fed: Evidence from Rolling Dynamic Multipliers and Impulse Response Analysis

Number of pages: 49 Posted: 17 Apr 2011 Last Revised: 07 Feb 2012
Matthew Greenwood-Nimmo and Yongcheol Shin
University of Melbourne and Independent
Downloads 138 (206,439)
Citation 3

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System Estimation with Mixed I(0) and I(1) Variables, Long-Run Structural Modelling, Rolling Estimation, Taylor Rule

11.

Testing for Nonstationary Long Memory Against Nonlinear Ergodic Models

U of London Queen Mary Economics Working Paper No. 500
Number of pages: 39 Posted: 21 Aug 2003
George Kapetanios and Yongcheol Shin
King's College, London and Independent
Downloads 128 (219,142)
Citation 4

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Nonlinearity, Long Memory, ESTAR Models, SETAR Models

12.
Downloads 122 (227,223)
Citation 21

Unit Root Tests in Three-Regime Setar Models

U of London Queen Mary Economics Working Paper No. 465
Number of pages: 37 Posted: 30 Jan 2003
George Kapetanios and Yongcheol Shin
King's College, London and Independent
Downloads 99 (265,232)
Citation 9

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Self-exciting Threshold Autoregressive Models, Unit Roots, Globally Stationary Processes, Threshold Cointegration, Wald Tests, Monte Carlo Simulations, Real Exchange Rates

Unit Root Tests in Three-Regime Setar Models

Econometrics Journal, Vol. 9, No. 2, pp. 252-278, July 2006
Number of pages: 27 Posted: 03 Jul 2006
George Kapetanios and Yongcheol Shin
King's College, London and Independent
Downloads 23 (513,352)
Citation 13
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13.

Asymmetric Price Impacts of Order Flow on Exchange Rate Dynamics

Melbourne Institute Working Paper No. 14/11
Number of pages: 40 Posted: 22 Jun 2011
Viet Hoang Nguyen and Yongcheol Shin
Melbourne Institute of Applied Economic and Social Research and Independent
Downloads 112 (241,887)
Citation 2

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Exchange rate, order flow, under- and overreaction, asymmetric pricing impacts, asymmetric cointegrating relationship and dynamic multipliers

14.

GLS Detrending for Nonlinear Unit Root Tests

U of London Queen Mary Economics Working Paper No. 472
Number of pages: 28 Posted: 15 Jan 2003
George Kapetanios and Yongcheol Shin
King's College, London and Independent
Downloads 110 (244,999)
Citation 1

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15.

Interim Evaluation of Emerging Market Investments: Time Aggregation of Utilities

Number of pages: 56 Posted: 05 Dec 2009 Last Revised: 16 Dec 2010
Charlie X. Cai, Minjoo Kim and Yongcheol Shin
University of Liverpool Management School, University of Liverpool - Accounting and Finance Division and Independent
Downloads 55 (367,171)

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Stochastic and Spatial Dominance, Subsampling, Emerging and Developed Stock Markets Performance, Currency Risk

16.

What's Mine Is Yours: Sovereign Risk Transmission during the European Debt Crisis

Melbourne Institute Working Paper No. 17/17
Number of pages: 45 Posted: 14 Jul 2017
University of Melbourne, Melbourne Institute of Applied Economic and Social Research and Independent
Downloads 52 (376,614)
Citation 3

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Sovereign Credit Risk, Credit Default Swaps (CDS), Network Models and Connectedness, Spillover Density, Divergence Criteria

17.

Globalisation and Technological Convergence in the EU

SERIES Working Paper No. 41
Number of pages: 29 Posted: 28 Jul 2012
Camilla Mastromarco, Laura Serlenga and Yongcheol Shin
Dipartimento di Scienze dell'Economia - University of Salento (Lecce), Università degli Studi di Bari and Independent
Downloads 45 (400,381)
Citation 2

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Stochastic Frontier in Heterogeneous Panels, Time-Varying Efficiency, Globalisation Factors, Unobserved Factors, Spectral and Impulse Response Analyses

18.

Is Globalization Driving Efficiency? A Threshold Stochastic Frontier Panel Data Modelling Approach

SERIES Working Paper No. 40
Number of pages: 27 Posted: 28 Jul 2012
Camilla Mastromarco, Laura Serlenga and Yongcheol Shin
Dipartimento di Scienze dell'Economia - University of Salento (Lecce), Università degli Studi di Bari and Independent
Downloads 34 (443,141)

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Threshold Stochastic Frontier Models in Heterogeneous Panels, Globalization Factors and Unobserved Factors, Time-Varying Efficiencies, Impulse Response Analyses

19.

Mean Group Tests for Stationarity in Heterogeneous Panels

Econometrics Journal, Vol. 9, No. 1, pp. 123-158, March 2006
Number of pages: 36 Posted: 08 May 2006
Yongcheol Shin and Andy Snell
Independent and University of Edinburgh - Economics
Downloads 31 (456,447)
Citation 2
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20.

Testing for Correlated Factor Loadings in Cross Sectionally Dependent Panels

SERIES Working papers N. 02/2019
Number of pages: 44 Posted: 18 Jun 2019
George Kapetanios, Laura Serlenga and Yongcheol Shin
King's College, London, University of Bari - Dipartimento di Economia e Finanza and Independent
Downloads 3 (620,272)

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Panel Data Models, Cross-sectional Error Dependence, Unobserved Heterogeneous Factors, Factor Correlated Loadings

21.

Estimation and Inference for Multi-dimensional Heterogeneous Panel Datasets with Hierarchical Multi-factor Error Structure

SERIES Working papers N. 03/2019
Number of pages: 56 Posted: 18 Jun 2019
George Kapetanios, Laura Serlenga and Yongcheol Shin
King's College, London, University of Bari - Dipartimento di Economia e Finanza and Independent
Downloads 1 (642,869)

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Multi-dimensional Panel Data Models, Cross-sectional Error Dependence, Unobserved Heterogeneous Global and Local Factors, Multilateral Resistance, The Gravity Model of Bilateral Export Flows

22.

Trade, Technology and the Labour Market: The Case of South Africa

Oxford Bulletin of Economics and Statistics, Vol. 74, Issue 6, pp. 808-830, 2012
Number of pages: 23 Posted: 27 Oct 2012
Johannes W. Fedderke, Yongcheol Shin and Prabhat Vaze
Pennsylvania State University - School of International Affairs, Independent and affiliation not provided to SSRN
Downloads 1 (642,869)
Citation 1
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23.

Is Globalization Driving Efficiency? A Threshold Stochastic Frontier Panel Data Modeling Approach

Review of International Economics, Vol. 20, Issue 3, pp. 563-579, 2012
Number of pages: 17 Posted: 18 Jul 2012
Camilla Mastromarco, Laura Serlenga and Yongcheol Shin
Dipartimento di Scienze dell'Economia - University of Salento (Lecce), Università degli Studi di Bari and Independent
Downloads 1 (642,869)
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24.

Probabilistic Forecasting of Output Growth, Inflation and the Balance of Trade in a GVAR Framework

Journal of Applied Econometrics, Forthcoming
Posted: 21 Mar 2012
University of Melbourne, Melbourne Institute of Applied Economic and Social Research and Independent

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GVAR modelling, structural breaks, probability event forecasting and evaluation, global imbalances