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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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Is the backward-looking component important in a new Keynesian Phillips curve?
Kim, Chang-jin; Kim, Yunmi - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 12 (2008) 3, pp. 1-18
Persistent link: https://www.econbiz.de/10009513625
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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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Is the Backward-Looking Component Important in a New Keynesian Phillips Curve?
Kim, Chang-Jin; Kim, Yunmi - In: Studies in Nonlinear Dynamics & Econometrics 12 (2008) 3, pp. 1515-1515
New Keynesian Phillips curves (NKPC) have recently been modified to include additional lags of inflation in the specification in order to capture the considerable persistence in postwar U.S. inflation. Furthermore, many researchers have agreed on the existence of structural changes in the...
Persistent link: https://www.econbiz.de/10005579878
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Pricing Stock Market Volatility: Does It Matter Whether the Volatility is Related to the Business Cycle?
Kim, Chang-Jin; Kim, Yunmi; Nelson, Charles R. - Department of Economics, University of Washington - 2008
Persistent link: https://www.econbiz.de/10005198656
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Essays on time series models with dynamic coefficients in macroeconomics and finance
Kim, Yunmi - 2008
Persistent link: https://www.econbiz.de/10011390040
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The instability of the Pearson correlation coefficient in the presence of coincidental outliers
Kim, Yunmi; Kim, Tae-hwan; Ergün, Tolga - In: Finance research letters 13 (2015), pp. 243-257
Persistent link: https://www.econbiz.de/10011552545
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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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Robust estimation of covariance and its application to portfolio optimization
Huo, Lijuan; Kim, Tae-hwan; Kim, Yunmi - In: Finance research letters 9 (2012) 3, pp. 121-134
Persistent link: https://www.econbiz.de/10009628116
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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