Access Statistics for Tae Hwy Lee

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Combined Estimator of Regression Models with Measurement Errors 0 0 0 4 0 0 1 45
A Combined Random Effect and Fixed Effect Forecast for Panel Data Models 0 0 1 50 0 1 3 101
Asymmetric AdaBoost for High-dimensional Maximum Score Regression 0 1 2 7 0 4 7 12
Asymmetric Loss in the Greenbook and the Survey of Professional Forecasters 0 0 1 31 0 0 2 108
Bagging Binary Predictors for Time Series 0 0 0 225 0 1 1 698
Bagging Constrained Equity Premium Predictors 1 1 2 45 1 2 3 98
Boosting 0 0 0 52 0 1 4 95
Boosting GMM with Many Instruments When Some Are Invalid or Irrelevant 0 0 0 14 0 0 5 30
Bootstrap Aggregating and Random Forest 0 0 5 97 1 1 18 244
Combined Estimation of Semiparametric Panel Data Models 0 0 0 14 0 0 0 49
Combining Forecasts under Structural Breaks Using Graphical LASSO 0 0 0 24 1 1 1 16
Combining Forecasts under Structural Breaks Using Graphical LASSO 0 0 0 28 0 1 3 27
Combining Forecasts under Structural Breaks Using Graphical LASSO 0 0 0 74 1 1 4 37
Component-wise AdaBoost Algorithms for High-dimensional Binary Classi fication and Class Probability Prediction 0 0 0 29 0 1 3 51
Density Forecast of Financial Returns Using Decomposition and Maximum Entropy 0 0 0 54 0 0 2 38
Efficient Combined Estimation under Structural Breaks 0 0 1 23 0 0 4 68
Efficient Combined Estimation under Structural Breaks 0 0 0 43 0 0 0 36
Elicitability and Encompassing for Volatility Forecasts by Bregman Functions 0 0 1 14 1 3 10 22
Estimation and Testing of Forecast Rationality with Many Moments 0 0 0 1 0 0 2 6
Estimation and Testing of Forecast Rationality with Many Moments 0 1 1 10 0 3 7 17
Estimation of High-Dimensional Dynamic Conditional Precision Matrices with an Application to Forecast Combination 0 0 0 40 0 0 2 83
Evaluation of the Survey of Professional Forecasters in the Greenbook’s Loss Function 0 0 0 20 1 2 3 37
Exact Distribution of the F-statistic under Heteroskedasticity of Unknown Form for Improved Inference 0 0 0 34 0 0 0 44
Finding SPF Percentiles Closest to Greenbook 0 0 0 15 0 0 1 42
Forecasting Equity Premium: Global Historical Average versus Local Historical Average and Constraints 0 0 0 29 0 0 0 64
Forecasting Realized Volatility Using Subsample Averaging 0 0 0 71 0 0 1 95
Forecasting Using Supervised Factor Models 0 0 0 27 1 1 5 63
Forecasting Value-at-Risk Using High Frequency Information 0 1 1 92 0 1 5 135
Forecasting under Structural Breaks Using Improved Weighted Estimation 0 0 2 14 1 1 3 25
Forecasting under Structural Breaks Using Improved Weighted Estimation 0 0 2 57 1 1 7 47
Generalized (Cross) Spectral Tests for Optimal Forecasts and Conditional Predictive Ability Under Generalized Loss Functions 0 0 0 2 0 0 0 185
Granger-Causality in Quantiles between Financial Markets: Using Copula Approach 0 0 0 76 1 4 5 150
Inferential Theory for Granular Instrumental Variables in High Dimensions 0 0 3 17 0 2 9 46
Inferential Theory for Granular Instrumental Variables in High Dimensions 0 0 0 4 0 1 2 12
Inferential Theory for Granular Instrumental Variables in High Dimensions 0 0 1 8 0 1 6 13
Jumps in Rank and Expected Returns. Introducing Varying Cross-sectional Risk 0 0 0 66 0 1 2 363
Learning from Forecast Errors: A New Approach to Forecast Combination 0 0 1 40 2 2 9 63
Learning from Forecast Errors: A New Approach to Forecast Combinations 0 0 1 30 0 0 5 25
Let's Do It Again: Bagging Equity Premium Predictors 0 0 0 91 0 1 1 109
Let´s do it again: bagging equity premium predictors 0 0 0 13 0 1 3 56
Maximum Entropy Analysis of Consumption-based Capital Asset Pricing Model and Volatility 0 0 0 13 0 0 2 41
Model Averaging Estimation of Panel Data Models with Many Instruments and Boosting 0 0 1 15 0 0 5 33
Money-Income Granger-Causality in Quantiles 0 0 1 88 1 2 3 119
No lack of relative power of the Dickey-Fuller tests for unit roots 0 0 0 3 0 0 0 22
Nonlinear Time Series in Financial Forecasting 0 0 0 227 0 2 5 409
Nonparametric Bootstrap Tests for Neglected Nonlinearity in Time Series Regression Models 0 0 0 6 0 0 4 576
Nonparametric and Semiparametric Regressions Subject to Monotonicity Constraints: Estimation and Forecasting 0 0 0 77 1 2 6 70
On the Robustness of Cointegration Tests when Series Are Fractionally Integrated 0 0 0 0 0 0 0 102
On the robustness of cointegration tests when series are fractionally integrated 0 0 0 4 0 1 2 29
Optimal Forecast under Structural Breaks 0 1 2 24 0 1 6 32
Optimal Forecast under Structural Breaks 1 1 2 25 2 2 6 41
Optimal Portfolio Using Factor Graphical Lasso 1 1 1 10 2 2 3 40
Optimal Portfolio Using Factor Graphical Lasso 0 1 1 27 1 3 6 95
Optimal Portfolio Using Factor Graphical Lasso 0 0 0 2 0 1 4 11
Permanent and transitory components of GDP and stock prices: further analysis 0 0 1 161 0 0 4 679
Pitfalls in Testing for Long Run Relationships 0 0 0 3 0 0 2 618
Predicting the Long-term Stock Market Volatility: A GARCH-MIDAS Model with Variable Selection 0 1 2 74 1 4 16 223
Relative Power of t Type Tests of Stationary and Unit Root Processes 0 0 0 0 0 1 1 673
Stein-Rule Estimation and Generalized Shrinkage Methods for Forecasting Using Many Predictors 0 0 0 90 0 0 0 218
Stein-like Shrinkage Estimation of Panel Data Models with Common Correlated Effects 0 0 0 18 0 0 0 50
Testing for Neglected Nonlinearity Using Artificial Neural Networks with Many Randomized Hidden Unit Activations 0 0 0 29 0 2 3 42
Testing for Neglected Nonlinearity Using Regularized Artificial Neural Networks 1 1 1 45 2 3 5 46
The Second-order Asymptotic Properties of Asymmetric Least Squares Estimation 0 0 0 29 0 0 1 70
The Second-order Bias and Mean Squared Error of Quantile Regression Estimators 0 0 3 14 0 0 3 14
Time-varying Model Averaging 0 0 0 34 0 1 5 166
To Combine Forecasts or to Combine Information? 0 0 0 119 0 0 1 435
Using the Entire Yield Curve in Forecasting Output and Inflation 0 0 2 34 0 2 5 82
Using the Yield Curve in Forecasting Output Growth and In?flation 0 0 0 57 0 0 0 162
Variable Selection in Sparse Semiparametric Single Index Models 0 0 0 30 0 0 1 78
Total Working Papers 4 10 42 2,843 22 68 248 8,631

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A combined estimator of regression models with measurement errors 0 0 0 1 0 0 1 20
Assessing the risk forecasts for Japanese stock market 0 0 0 58 0 0 0 232
Asymmetric loss in the Greenbook and the Survey of Professional Forecasters 0 0 0 5 0 2 4 46
Bagging binary and quantile predictors for time series 0 0 0 35 1 1 2 151
Cointegration tests with conditional heteroskedasticity 0 0 0 149 0 1 5 324
Combined estimation of semiparametric panel data models 0 0 0 3 3 3 4 20
Comparing density forecast models Previous versions of this paper have been circulated with the title, 'A Test for Density Forecast Comparison with Applications to Risk Management' since October 2003; see Bao et al. (2004) 1 1 1 122 2 2 3 473
Copula-based multivariate GARCH model with uncorrelated dependent errors 0 0 4 338 3 6 18 965
DIAGNOSTIC CHECKING FOR THE ADEQUACY OF NONLINEAR TIME SERIES MODELS 0 0 1 36 0 0 1 98
Density Forecast of Financial Returns Using Decomposition and Maximum Entropy 0 0 0 2 0 3 6 12
Disequilibrium and uncertainty in cointegrated systems: Some empirical evidence 0 0 0 3 0 0 1 23
ERRATUM: Inference on Predictability of Foreign Exchange Rates via Generalized Spectrum and Nonlinear Time Series Models 0 0 0 32 1 1 1 95
Evaluating predictive performance of value-at-risk models in emerging markets: a reality check 0 0 2 288 1 2 5 796
Evaluation of the Survey of Professional Forecasters in the Greenbook’s Loss Function 0 0 1 3 0 1 4 37
Forecasting Equity Premium: Global Historical Average Versus Local Historical Average and Constraints 0 0 0 2 0 0 1 31
Forecasting Value-at-Risk Using High-Frequency Information 0 0 0 14 0 0 1 94
Forecasting volatility: A reality check based on option pricing, utility function, value-at-risk, and predictive likelihood 0 0 3 203 0 3 16 535
Granger-causality in quantiles between financial markets: Using copula approach 0 0 0 64 0 0 4 265
Inference on Predictability of Foreign Exchange Rates via Generalized Spectrum and Nonlinear Time Series Models 0 0 0 135 1 1 2 418
Investigation of Production, Sales and Inventory Relationships Using Multicointegration and Non-symmetric Error Correction Models 0 0 2 523 1 1 9 1,272
Jumps in cross-sectional rank and expected returns: a mixture model 0 0 1 29 0 0 2 174
Maximum Entropy Analysis of Consumption-based Capital Asset Pricing Model and Volatility 0 0 0 4 0 0 1 24
Model averaging estimation of panel data models with many instruments and boosting 0 0 1 3 1 1 6 9
Neural Network Test and Nonparametric Kernel Test for Neglected Nonlinearity in Regression Models 0 0 0 71 0 0 0 292
Nonparametric and semiparametric regressions subject to monotonicity constraints: Estimation and forecasting 0 0 1 25 0 0 4 83
On the Predictive Power of the Spread Between Spot and Forward Exchange Rates for Volatility 0 0 0 2 0 0 0 18
On the robustness of cointegration tests when series are fractionally intergrated 0 0 0 42 0 1 1 155
Optimal Portfolio Using Factor Graphical Lasso* 4 4 6 7 6 10 21 24
Optimal forecast under structural breaks 0 0 1 6 0 0 4 23
Optimality of the RiskMetrics VaR model 0 0 1 122 0 0 3 351
Permanent and transitory components of GDP and stock prices: further analysis 0 0 1 22 0 0 4 116
Pitfalls in testing for long run relationships 0 0 5 247 1 2 11 531
Predicting the long-term stock market volatility: A GARCH-MIDAS model with variable selection 1 2 8 21 6 17 36 144
RELATIVE POWER OF t TYPE TESTS FOR STATIONARY AND UNIT ROOT PROCESSES 0 0 0 0 0 0 0 6
Spread and volatility in spot and forward exchange rates 0 0 0 234 0 0 4 519
Stock Adjustment for Multicointegrated Series 0 0 0 0 1 1 2 228
Stock-Flow Relationships in U.S. Housing Construction 0 0 0 0 0 1 1 160
Testing for Neglected Nonlinearity Using Artificial Neural Networks with Many Randomized Hidden Unit Activations 0 0 0 11 0 1 2 51
Testing for neglected nonlinearity in time series models: A comparison of neural network methods and alternative tests 0 1 6 631 1 3 17 1,444
The Second-Order Asymptotic Properties of Asymmetric Least Squares Estimation 0 0 0 2 1 1 2 19
The effect of aggregation on nonlinearity 0 0 0 53 0 2 3 164
The international transmission of information in Eurodollar futures markets: a continuously trading market hypothesis 0 0 0 34 0 0 3 146
The second-order bias of quantile estimators 0 1 1 10 1 4 4 55
Time-varying model averaging 0 1 4 28 1 6 11 114
To Combine Forecasts or to Combine Information? 0 0 2 24 0 2 7 158
Uncertainty in Sales and Inventory Behaviour in the U.S. Trade Sectors 0 0 0 10 0 1 2 100
Using the Entire Yield Curve in Forecasting Output and Inflation 0 0 0 8 1 2 4 49
Total Journal Articles 6 10 52 3,662 33 82 243 11,064

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Asymmetric Predictive Abilities of Nonlinear Models for Stock Returns: Evidence from Density Forecast Comparison 0 0 0 0 1 1 1 2
Chapter 13 Bagging Binary and Quantile Predictors for Time Series: Further Issues 0 0 0 2 0 0 1 3
Efficient Combined Estimation under Structural Breaks 0 0 1 4 0 0 2 7
Money–Income Granger-Causality in Quantiles 0 0 0 0 0 1 4 6
Stein-Rule Estimation and Generalized Shrinkage Methods for Forecasting Using Many Predictors 0 0 0 0 0 0 2 2
Stein-like Shrinkage Estimation of Panel Data Models with Common Correlated Effects 0 0 0 4 0 0 3 37
Variable Selection in Sparse Semiparametric Single Index Models 0 0 0 2 0 0 1 15
Total Chapters 0 0 1 12 1 2 14 72

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Statistics updated 2025-10-06