Access Statistics for Tae Hwy Lee

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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 0 2 100
Asymmetric AdaBoost for High-dimensional Maximum Score Regression 0 0 1 6 1 2 4 9
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 1 1 1 698
Bagging Constrained Equity Premium Predictors 0 0 1 44 1 1 3 97
Boosting 0 0 0 52 0 0 6 94
Boosting GMM with Many Instruments When Some Are Invalid or Irrelevant 0 0 0 14 0 0 7 30
Bootstrap Aggregating and Random Forest 0 1 7 97 0 2 20 243
Combined Estimation of Semiparametric Panel Data Models 0 0 0 14 0 0 1 49
Combining Forecasts under Structural Breaks Using Graphical LASSO 0 0 0 74 0 0 4 36
Combining Forecasts under Structural Breaks Using Graphical LASSO 0 0 0 24 0 0 0 15
Combining Forecasts under Structural Breaks Using Graphical LASSO 0 0 0 28 0 0 2 26
Component-wise AdaBoost Algorithms for High-dimensional Binary Classi fication and Class Probability Prediction 0 0 0 29 1 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 1 1 23 0 1 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 0 0 7 19
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 0 0 9 1 1 5 15
Estimation of High-Dimensional Dynamic Conditional Precision Matrices with an Application to Forecast Combination 0 0 0 40 0 0 4 83
Evaluation of the Survey of Professional Forecasters in the Greenbook’s Loss Function 0 0 0 20 0 0 1 35
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 0 0 6 62
Forecasting Value-at-Risk Using High Frequency Information 0 0 0 91 0 2 4 134
Forecasting under Structural Breaks Using Improved Weighted Estimation 0 1 2 57 0 1 6 46
Forecasting under Structural Breaks Using Improved Weighted Estimation 0 0 2 14 0 0 2 24
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 1 3 147
Inferential Theory for Granular Instrumental Variables in High Dimensions 0 0 0 4 0 0 1 11
Inferential Theory for Granular Instrumental Variables in High Dimensions 0 0 1 8 1 1 7 13
Inferential Theory for Granular Instrumental Variables in High Dimensions 0 0 3 17 0 1 7 44
Jumps in Rank and Expected Returns. Introducing Varying Cross-sectional Risk 0 0 0 66 0 0 1 362
Learning from Forecast Errors: A New Approach to Forecast Combination 0 0 2 40 0 0 8 61
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 0 0 108
Let´s do it again: bagging equity premium predictors 0 0 0 13 0 1 2 55
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 7 33
Money-Income Granger-Causality in Quantiles 0 0 1 88 0 0 1 117
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 1 3 407
Nonparametric Bootstrap Tests for Neglected Nonlinearity in Time Series Regression Models 0 0 0 6 0 2 4 576
Nonparametric and Semiparametric Regressions Subject to Monotonicity Constraints: Estimation and Forecasting 0 0 0 77 0 1 4 68
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 1 1 2 29
Optimal Forecast under Structural Breaks 0 1 1 23 0 3 5 31
Optimal Forecast under Structural Breaks 0 1 1 24 0 2 4 39
Optimal Portfolio Using Factor Graphical Lasso 0 0 0 9 0 0 2 38
Optimal Portfolio Using Factor Graphical Lasso 1 1 1 27 2 2 7 94
Optimal Portfolio Using Factor Graphical Lasso 0 0 0 2 0 1 5 10
Permanent and transitory components of GDP and stock prices: further analysis 0 0 2 161 0 1 5 679
Pitfalls in Testing for Long Run Relationships 0 0 0 3 0 0 3 618
Predicting the Long-term Stock Market Volatility: A GARCH-MIDAS Model with Variable Selection 1 2 3 74 1 4 14 220
Relative Power of t Type Tests of Stationary and Unit Root Processes 0 0 0 0 1 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 2 2 3 42
Testing for Neglected Nonlinearity Using Regularized Artificial Neural Networks 0 0 0 44 0 0 2 43
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 1 3 14 0 1 3 14
Time-varying Model Averaging 0 0 0 34 1 1 6 166
To Combine Forecasts or to Combine Information? 0 0 0 119 0 1 1 435
Using the Entire Yield Curve in Forecasting Output and Inflation 0 2 2 34 0 2 3 80
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 2 11 39 2,835 15 42 224 8,578

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 2 20
Assessing the risk forecasts for Japanese stock market 0 0 0 58 0 0 1 232
Asymmetric loss in the Greenbook and the Survey of Professional Forecasters 0 0 0 5 0 0 2 44
Bagging binary and quantile predictors for time series 0 0 0 35 0 0 1 150
Cointegration tests with conditional heteroskedasticity 0 0 0 149 1 3 5 324
Combined estimation of semiparametric panel data models 0 0 0 3 0 0 1 17
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 0 121 0 1 1 471
Copula-based multivariate GARCH model with uncorrelated dependent errors 0 0 6 338 2 4 17 961
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 1 3 9
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 0 0 0 94
Evaluating predictive performance of value-at-risk models in emerging markets: a reality check 0 0 2 288 0 0 3 794
Evaluation of the Survey of Professional Forecasters in the Greenbook’s Loss Function 0 0 1 3 0 0 3 36
Forecasting Equity Premium: Global Historical Average Versus Local Historical Average and Constraints 0 0 0 2 0 1 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 5 203 2 4 18 534
Granger-causality in quantiles between financial markets: Using copula approach 0 0 0 64 0 0 5 265
Inference on Predictability of Foreign Exchange Rates via Generalized Spectrum and Nonlinear Time Series Models 0 0 0 135 0 1 2 417
Investigation of Production, Sales and Inventory Relationships Using Multicointegration and Non-symmetric Error Correction Models 0 0 2 523 0 1 9 1,271
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 2 24
Model averaging estimation of panel data models with many instruments and boosting 0 0 1 3 0 0 6 8
Neural Network Test and Nonparametric Kernel Test for Neglected Nonlinearity in Regression Models 0 0 0 71 0 0 1 292
Nonparametric and semiparametric regressions subject to monotonicity constraints: Estimation and forecasting 0 0 1 25 0 1 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 0 0 154
Optimal Portfolio Using Factor Graphical Lasso* 0 0 3 3 1 4 15 15
Optimal forecast under structural breaks 0 0 1 6 0 1 4 23
Optimality of the RiskMetrics VaR model 0 1 1 122 0 2 3 351
Permanent and transitory components of GDP and stock prices: further analysis 0 1 1 22 0 2 4 116
Pitfalls in testing for long run relationships 0 2 5 247 1 4 10 530
Predicting the long-term stock market volatility: A GARCH-MIDAS model with variable selection 0 2 6 19 6 12 29 133
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 5 519
Stock Adjustment for Multicointegrated Series 0 0 0 0 0 1 1 227
Stock-Flow Relationships in U.S. Housing Construction 0 0 0 0 1 1 1 160
Testing for Neglected Nonlinearity Using Artificial Neural Networks with Many Randomized Hidden Unit Activations 0 0 0 11 1 1 2 51
Testing for neglected nonlinearity in time series models: A comparison of neural network methods and alternative tests 0 4 6 630 0 7 18 1,441
The Second-Order Asymptotic Properties of Asymmetric Least Squares Estimation 0 0 0 2 0 0 3 18
The effect of aggregation on nonlinearity 0 0 0 53 2 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 1 1 1 10 3 3 3 54
Time-varying model averaging 1 1 4 28 2 3 11 110
To Combine Forecasts or to Combine Information? 0 0 2 24 2 3 8 158
Uncertainty in Sales and Inventory Behaviour in the U.S. Trade Sectors 0 0 0 10 1 1 2 100
Using the Entire Yield Curve in Forecasting Output and Inflation 0 0 0 8 0 2 2 47
Total Journal Articles 2 12 50 3,654 25 66 219 11,007

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 0 0 1
Chapter 13 Bagging Binary and Quantile Predictors for Time Series: Further Issues 0 0 0 2 0 1 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 2 3 5
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 1 6 37
Variable Selection in Sparse Semiparametric Single Index Models 0 0 0 2 0 1 1 15
Total Chapters 0 0 1 12 0 5 15 70

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Statistics updated 2025-08-05