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econ.EM2024
Modelling and Forecasting Energy Market Volatility Using GARCH and Machine Learning Approach
Seulki Chung
This paper presents a comparative analysis of univariate and multivariate GARCH-family models and machine learning algorithms in modeling and forecasting the volatility of major en…
econ.EM2023
Inside the black box: Neural network-based real-time prediction of US recessions
Seulki Chung
Long short-term memory (LSTM) and gated recurrent unit (GRU) are used to model US recessions from 1967 to 2021. Their predictive performances are compared to those of the tradition…
econ.EM2023
Real-time Prediction of the Great Recession and the Covid-19 Recession
Seulki Chung
This paper uses standard and penalized logistic regression models to predict the Great Recession and the Covid-19 recession in the US in real time. It examines the predictability o…