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 1 5 17 62
A Combined Random Effect and Fixed Effect Forecast for Panel Data Models 0 0 1 51 2 3 14 114
Asymmetric AdaBoost for High-dimensional Maximum Score Regression 0 0 1 7 0 3 15 23
Asymmetric Loss in the Greenbook and the Survey of Professional Forecasters 0 0 1 32 1 5 14 122
Bagging Binary Predictors for Time Series 0 1 3 228 0 7 24 721
Bagging Constrained Equity Premium Predictors 0 0 1 45 0 5 12 108
Boosting 0 0 0 52 1 3 17 111
Boosting GMM with Many Instruments When Some Are Invalid or Irrelevant 0 0 0 14 2 4 15 45
Bootstrap Aggregating and Random Forest 0 3 4 101 1 8 30 273
Combined Estimation of Semiparametric Panel Data Models 0 0 0 14 0 3 14 63
Combining Forecasts under Structural Breaks Using Graphical LASSO 0 0 0 24 0 2 25 40
Combining Forecasts under Structural Breaks Using Graphical LASSO 0 0 0 28 0 4 17 43
Combining Forecasts under Structural Breaks Using Graphical LASSO 0 0 0 74 0 1 15 51
Component-wise AdaBoost Algorithms for High-dimensional Binary Classi fication and Class Probability Prediction 0 0 0 29 1 1 14 64
Density Forecast of Financial Returns Using Decomposition and Maximum Entropy 0 0 0 54 1 3 9 47
Efficient Combined Estimation under Structural Breaks 0 0 0 43 0 2 10 46
Efficient Combined Estimation under Structural Breaks 0 0 0 23 0 2 11 79
Elicitability and Encompassing for Volatility Forecasts by Bregman Functions 0 0 0 14 1 5 20 39
Estimation and Testing of Forecast Rationality with Many Moments 0 0 0 1 1 1 11 17
Estimation and Testing of Forecast Rationality with Many Moments 0 0 1 10 0 2 13 27
Estimation of High-Dimensional Dynamic Conditional Precision Matrices with an Application to Forecast Combination 0 0 0 40 1 5 16 99
Evaluation of the Survey of Professional Forecasters in the Greenbook’s Loss Function 0 0 0 20 0 1 10 45
Exact Distribution of the F-statistic under Heteroskedasticity of Unknown Form for Improved Inference 0 0 1 35 0 6 18 62
Finding SPF Percentiles Closest to Greenbook 0 0 0 15 0 1 12 54
Forecasting Equity Premium: Global Historical Average versus Local Historical Average and Constraints 0 0 0 29 1 6 12 76
Forecasting Realized Volatility Using Subsample Averaging 0 0 0 71 1 3 13 108
Forecasting Using Supervised Factor Models 0 0 0 27 1 6 13 75
Forecasting Value-at-Risk Using High Frequency Information 0 0 1 92 1 1 11 145
Forecasting under Structural Breaks Using Improved Weighted Estimation 0 0 1 58 0 1 11 57
Forecasting under Structural Breaks Using Improved Weighted Estimation 0 0 0 14 1 3 9 33
Generalized (Cross) Spectral Tests for Optimal Forecasts and Conditional Predictive Ability Under Generalized Loss Functions 0 0 0 2 0 3 12 197
Granger-Causality in Quantiles between Financial Markets: Using Copula Approach 0 0 0 76 0 7 30 176
Inferential Theory for Granular Instrumental Variables in High Dimensions 0 0 0 17 0 1 14 58
Inferential Theory for Granular Instrumental Variables in High Dimensions 0 0 0 8 1 5 14 26
Inferential Theory for Granular Instrumental Variables in High Dimensions 0 0 0 4 0 3 18 29
Jumps in Rank and Expected Returns. Introducing Varying Cross-sectional Risk 0 0 1 67 0 3 13 375
Learning from Forecast Errors: A New Approach to Forecast Combination 0 0 0 40 0 1 8 69
Learning from Forecast Errors: A New Approach to Forecast Combinations 0 0 0 30 1 1 8 33
Let's Do It Again: Bagging Equity Premium Predictors 0 0 0 91 0 3 12 120
Let´s do it again: bagging equity premium predictors 0 0 0 13 0 1 8 63
Maximum Entropy Analysis of Consumption-based Capital Asset Pricing Model and Volatility 0 0 0 13 1 6 18 59
Model Averaging Estimation of Panel Data Models with Many Instruments and Boosting 0 0 0 15 0 3 25 58
Money-Income Granger-Causality in Quantiles 0 0 0 88 0 0 13 130
No lack of relative power of the Dickey-Fuller tests for unit roots 0 0 1 4 0 2 14 36
Nonlinear Time Series in Financial Forecasting 0 0 0 227 1 5 16 423
Nonparametric Bootstrap Tests for Neglected Nonlinearity in Time Series Regression Models 0 0 0 6 0 1 11 587
Nonparametric and Semiparametric Regressions Subject to Monotonicity Constraints: Estimation and Forecasting 0 0 0 77 2 9 19 87
On the Robustness of Cointegration Tests when Series Are Fractionally Integrated 0 0 0 0 0 2 12 114
On the robustness of cointegration tests when series are fractionally integrated 0 0 0 4 0 2 10 38
Optimal Forecast under Structural Breaks 0 0 1 25 0 2 19 58
Optimal Forecast under Structural Breaks 0 0 1 24 0 5 25 56
Optimal Portfolio Using Factor Graphical Lasso 0 0 1 27 2 11 44 136
Optimal Portfolio Using Factor Graphical Lasso 0 0 2 11 1 4 19 57
Optimal Portfolio Using Factor Graphical Lasso 0 0 0 2 0 4 21 31
Permanent and transitory components of GDP and stock prices: further analysis 0 0 0 161 0 4 13 692
Pitfalls in Testing for Long Run Relationships 0 0 0 3 0 3 19 637
Predicting the Long-term Stock Market Volatility: A GARCH-MIDAS Model with Variable Selection 0 0 3 76 2 10 42 261
Relative Power of t Type Tests of Stationary and Unit Root Processes 0 0 0 0 0 1 13 685
Stein-Rule Estimation and Generalized Shrinkage Methods for Forecasting Using Many Predictors 0 0 0 90 1 2 32 250
Stein-like Shrinkage Estimation of Panel Data Models with Common Correlated Effects 0 0 0 18 2 7 19 69
Testing for Neglected Nonlinearity Using Artificial Neural Networks with Many Randomized Hidden Unit Activations 0 0 0 29 0 1 13 53
Testing for Neglected Nonlinearity Using Regularized Artificial Neural Networks 0 0 1 45 0 5 17 60
The Second-order Asymptotic Properties of Asymmetric Least Squares Estimation 0 0 0 29 1 6 17 87
The Second-order Bias and Mean Squared Error of Quantile Regression Estimators 0 0 0 14 1 2 17 31
Time-varying Model Averaging 0 0 0 34 0 7 28 193
To Combine Forecasts or to Combine Information? 0 0 0 119 1 7 16 451
Using the Entire Yield Curve in Forecasting Output and Inflation 0 0 0 34 0 1 12 92
Using the Yield Curve in Forecasting Output Growth and In?flation 0 0 0 57 0 3 9 171
Variable Selection in Sparse Semiparametric Single Index Models 0 0 0 30 0 1 16 94
Total Working Papers 0 4 26 2,859 35 246 1,128 9,691

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 3 11 31
Assessing the risk forecasts for Japanese stock market 0 0 0 58 0 3 5 237
Asymmetric loss in the Greenbook and the Survey of Professional Forecasters 0 0 1 6 0 8 32 76
Bagging binary and quantile predictors for time series 0 0 0 35 1 2 22 172
Cointegration tests with conditional heteroskedasticity 0 1 1 150 2 7 18 341
Combined estimation of semiparametric panel data models 0 0 0 3 0 6 18 35
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) 0 0 1 122 0 2 13 484
Copula-based multivariate GARCH model with uncorrelated dependent errors 0 1 4 342 2 6 38 997
DIAGNOSTIC CHECKING FOR THE ADEQUACY OF NONLINEAR TIME SERIES MODELS 0 0 1 37 0 6 12 110
Density Forecast of Financial Returns Using Decomposition and Maximum Entropy 0 0 0 2 0 2 13 22
Disequilibrium and uncertainty in cointegrated systems: Some empirical evidence 0 0 0 3 0 0 4 27
ERRATUM: Inference on Predictability of Foreign Exchange Rates via Generalized Spectrum and Nonlinear Time Series Models 0 0 0 32 0 3 6 100
Evaluating predictive performance of value-at-risk models in emerging markets: a reality check 0 0 0 288 0 6 25 819
Evaluation of the Survey of Professional Forecasters in the Greenbook’s Loss Function 0 0 0 3 0 3 16 52
Forecasting Equity Premium: Global Historical Average Versus Local Historical Average and Constraints 0 0 0 2 0 6 12 43
Forecasting Value-at-Risk Using High-Frequency Information 0 0 0 14 0 2 12 106
Forecasting volatility: A reality check based on option pricing, utility function, value-at-risk, and predictive likelihood 0 0 0 203 0 3 23 555
Granger-causality in quantiles between financial markets: Using copula approach 0 1 2 66 0 4 28 293
Inference on Predictability of Foreign Exchange Rates via Generalized Spectrum and Nonlinear Time Series Models 0 1 1 136 0 5 16 433
Investigation of Production, Sales and Inventory Relationships Using Multicointegration and Non-symmetric Error Correction Models 0 1 1 524 2 5 24 1,295
Jumps in cross-sectional rank and expected returns: a mixture model 0 0 0 29 0 3 12 186
Maximum Entropy Analysis of Consumption-based Capital Asset Pricing Model and Volatility 0 0 1 5 0 4 16 40
Model averaging estimation of panel data models with many instruments and boosting 0 0 0 3 1 7 16 24
Neural Network Test and Nonparametric Kernel Test for Neglected Nonlinearity in Regression Models 0 0 0 71 0 0 9 301
Nonparametric and semiparametric regressions subject to monotonicity constraints: Estimation and forecasting 0 0 0 25 1 2 9 92
On the Predictive Power of the Spread Between Spot and Forward Exchange Rates for Volatility 0 0 0 2 0 0 5 23
On the robustness of cointegration tests when series are fractionally intergrated 0 0 0 42 0 1 14 168
Optimal Portfolio Using Factor Graphical Lasso* 0 0 8 11 2 9 31 45
Optimal forecast under structural breaks 0 0 0 6 0 2 12 35
Optimality of the RiskMetrics VaR model 0 1 1 123 0 5 11 362
Permanent and transitory components of GDP and stock prices: further analysis 0 0 1 23 0 2 16 132
Pitfalls in testing for long run relationships 0 0 0 247 1 5 22 551
Predicting the long-term stock market volatility: A GARCH-MIDAS model with variable selection 1 3 11 30 1 18 79 206
RELATIVE POWER OF t TYPE TESTS FOR STATIONARY AND UNIT ROOT PROCESSES 0 0 1 1 0 1 10 16
Spread and volatility in spot and forward exchange rates 0 0 0 234 0 2 13 532
Stock Adjustment for Multicointegrated Series 0 0 0 0 0 1 13 240
Stock-Flow Relationships in U.S. Housing Construction 0 0 0 0 0 1 6 165
Testing for Neglected Nonlinearity Using Artificial Neural Networks with Many Randomized Hidden Unit Activations 0 0 0 11 1 7 13 63
Testing for neglected nonlinearity in time series models: A comparison of neural network methods and alternative tests 0 0 1 631 2 10 34 1,475
The Second-Order Asymptotic Properties of Asymmetric Least Squares Estimation 0 0 0 2 0 2 8 26
The effect of aggregation on nonlinearity 0 0 0 53 0 2 13 175
The international transmission of information in Eurodollar futures markets: a continuously trading market hypothesis 0 0 0 34 0 1 9 155
The second-order bias of quantile estimators 0 1 2 11 0 6 28 79
Time-varying model averaging 0 1 2 29 3 9 34 142
To Combine Forecasts or to Combine Information? 1 1 1 25 2 4 12 168
Uncertainty in Sales and Inventory Behaviour in the U.S. Trade Sectors 0 0 0 10 0 1 12 111
Using the Entire Yield Curve in Forecasting Output and Inflation 0 0 0 8 1 5 19 66
Total Journal Articles 2 12 41 3,693 22 192 824 11,806

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 0 3 8 9
Chapter 13 Bagging Binary and Quantile Predictors for Time Series: Further Issues 0 0 0 2 0 3 8 11
Efficient Combined Estimation under Structural Breaks 0 0 0 4 0 2 12 19
Money–Income Granger-Causality in Quantiles 0 0 0 0 0 1 12 17
Stein-Rule Estimation and Generalized Shrinkage Methods for Forecasting Using Many Predictors 0 0 0 0 0 4 12 14
Stein-like Shrinkage Estimation of Panel Data Models with Common Correlated Effects 0 0 0 4 0 1 5 42
Variable Selection in Sparse Semiparametric Single Index Models 0 0 0 2 0 3 11 26
Total Chapters 0 0 0 12 0 17 68 138

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Statistics updated 2026-07-10