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Dealing with endogeneity in a time-varying parameter model : joint estimation and two-step estimation procedures
Kim, Yunmi; Kim, Chang-jin - In: The econometrics journal 14 (2011) 3, pp. 487-497
Persistent link: https://www.econbiz.de/10009383081
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A unified framework jointly explaining business conditions, stock returns, volatility and "volatility feedback news" effects
Kim, Chang-jin; Kim, Yunmi - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 23 (2019) 2, pp. 1-14
Persistent link: https://www.econbiz.de/10012054880
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Pricing stock market volatility : does it matter whether the volatility is related to the business cycle?
Kim, Yunmi; Nelson, Charles R. - In: Journal of financial econometrics : official journal of … 12 (2014) 2, pp. 307-328
Persistent link: https://www.econbiz.de/10010351545
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Revisiting growth empirics based on IV panel quantile regression
Huo, Lijuan; Kim, Tae-hwan; Kim, Yunmi - In: Applied economics 47 (2015) 34/36, pp. 3859-3873
Persistent link: https://www.econbiz.de/10011294309
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Estimation of a forward-looking monetary policy rule : a time-varying parameter model using ex post data
Kim, Chang-jin; Nelson, Charles R. - In: Journal of monetary economics 53 (2006) 8, pp. 1949-1966
Persistent link: https://www.econbiz.de/10003394388
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Disappearing dividends : implications for the dividend-price ratio and return predictability
Kim, Chang-jin; Park, Cheolbeom - In: Journal of money, credit and banking : JMCB 45 (2013) 5, pp. 933-952
Persistent link: https://www.econbiz.de/10010197598
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Trend inflation and the nature of structural breaks in the New Keynesian Phillips curve
Kim, Chang-jin; Pym Manopimoke; Nelson, Charles R. - In: Journal of money, credit and banking : JMCB 46 (2014) 2/3, pp. 253-266
Persistent link: https://www.econbiz.de/10010464124
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The structural break in the equity premium
Kim, Chang-jin; Morley, James C.; Nelson, Charles R. - In: Journal of business & economic statistics : JBES ; a … 23 (2005) 2, pp. 181-191
Persistent link: https://www.econbiz.de/10002781656
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Common stochastic trends, common cycles, and asymmetry in economic fluctuations
Kim, Chang-jin; Piger, Jeremy Max - In: Journal of monetary economics 49 (2002) 6, pp. 1189-1211
Persistent link: https://www.econbiz.de/10001700851
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Does an intertemporal tradeoff between risk and return explain mean reversion in stock prices?
Kim, Chang-jin; Morley, James C.; Nelson, Charles R. - In: Journal of empirical finance 8 (2001) 4, pp. 403-426
Persistent link: https://www.econbiz.de/10001607064