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 3 6 51
A Combined Random Effect and Fixed Effect Forecast for Panel Data Models 0 0 0 50 1 6 8 108
Asymmetric AdaBoost for High-dimensional Maximum Score Regression 0 0 1 7 1 6 13 19
Asymmetric Loss in the Greenbook and the Survey of Professional Forecasters 0 0 2 32 0 3 10 117
Bagging Binary Predictors for Time Series 0 0 2 227 3 10 17 714
Bagging Constrained Equity Premium Predictors 0 0 1 45 0 3 6 102
Boosting 0 0 0 52 3 8 13 107
Boosting GMM with Many Instruments When Some Are Invalid or Irrelevant 0 0 0 14 5 10 13 41
Bootstrap Aggregating and Random Forest 0 0 2 98 1 12 25 263
Combined Estimation of Semiparametric Panel Data Models 0 0 0 14 1 9 11 60
Combining Forecasts under Structural Breaks Using Graphical LASSO 0 0 0 74 3 8 13 48
Combining Forecasts under Structural Breaks Using Graphical LASSO 0 0 0 28 2 8 13 39
Combining Forecasts under Structural Breaks Using Graphical LASSO 0 0 0 24 3 10 21 36
Component-wise AdaBoost Algorithms for High-dimensional Binary Classi fication and Class Probability Prediction 0 0 0 29 1 7 13 63
Density Forecast of Financial Returns Using Decomposition and Maximum Entropy 0 0 0 54 1 4 5 43
Efficient Combined Estimation under Structural Breaks 0 0 1 23 0 5 10 76
Efficient Combined Estimation under Structural Breaks 0 0 0 43 2 7 8 44
Elicitability and Encompassing for Volatility Forecasts by Bregman Functions 0 0 0 14 1 8 13 32
Estimation and Testing of Forecast Rationality with Many Moments 0 0 1 10 1 6 12 25
Estimation and Testing of Forecast Rationality with Many Moments 0 0 0 1 2 7 8 14
Estimation of High-Dimensional Dynamic Conditional Precision Matrices with an Application to Forecast Combination 0 0 0 40 2 8 10 93
Evaluation of the Survey of Professional Forecasters in the Greenbook’s Loss Function 0 0 0 20 1 6 10 44
Exact Distribution of the F-statistic under Heteroskedasticity of Unknown Form for Improved Inference 0 0 1 35 0 9 12 56
Finding SPF Percentiles Closest to Greenbook 0 0 0 15 1 8 11 52
Forecasting Equity Premium: Global Historical Average versus Local Historical Average and Constraints 0 0 0 29 3 6 6 70
Forecasting Realized Volatility Using Subsample Averaging 0 0 0 71 1 8 9 104
Forecasting Using Supervised Factor Models 0 0 0 27 2 4 8 69
Forecasting Value-at-Risk Using High Frequency Information 0 0 1 92 1 8 12 144
Forecasting under Structural Breaks Using Improved Weighted Estimation 1 1 2 58 3 7 13 55
Forecasting under Structural Breaks Using Improved Weighted Estimation 0 0 1 14 1 2 4 27
Generalized (Cross) Spectral Tests for Optimal Forecasts and Conditional Predictive Ability Under Generalized Loss Functions 0 0 0 2 2 7 9 194
Granger-Causality in Quantiles between Financial Markets: Using Copula Approach 0 0 0 76 3 13 22 167
Inferential Theory for Granular Instrumental Variables in High Dimensions 0 0 2 17 0 6 16 56
Inferential Theory for Granular Instrumental Variables in High Dimensions 0 0 0 4 6 10 14 25
Inferential Theory for Granular Instrumental Variables in High Dimensions 0 0 0 8 1 5 10 20
Jumps in Rank and Expected Returns. Introducing Varying Cross-sectional Risk 0 1 1 67 0 7 10 372
Learning from Forecast Errors: A New Approach to Forecast Combination 0 0 1 40 2 4 9 68
Learning from Forecast Errors: A New Approach to Forecast Combinations 0 0 0 30 1 2 5 30
Let's Do It Again: Bagging Equity Premium Predictors 0 0 0 91 1 5 8 116
Let´s do it again: bagging equity premium predictors 0 0 0 13 1 2 6 60
Maximum Entropy Analysis of Consumption-based Capital Asset Pricing Model and Volatility 0 0 0 13 4 10 13 53
Model Averaging Estimation of Panel Data Models with Many Instruments and Boosting 0 0 1 15 7 18 24 54
Money-Income Granger-Causality in Quantiles 0 0 0 88 2 8 12 129
No lack of relative power of the Dickey-Fuller tests for unit roots 1 1 1 4 1 5 10 32
Nonlinear Time Series in Financial Forecasting 0 0 0 227 5 7 12 418
Nonparametric Bootstrap Tests for Neglected Nonlinearity in Time Series Regression Models 0 0 0 6 3 8 12 586
Nonparametric and Semiparametric Regressions Subject to Monotonicity Constraints: Estimation and Forecasting 0 0 0 77 0 5 10 77
On the Robustness of Cointegration Tests when Series Are Fractionally Integrated 0 0 0 0 0 7 9 111
On the robustness of cointegration tests when series are fractionally integrated 0 0 0 4 1 4 6 34
Optimal Forecast under Structural Breaks 0 0 2 24 1 15 23 49
Optimal Forecast under Structural Breaks 0 0 2 25 1 11 19 55
Optimal Portfolio Using Factor Graphical Lasso 0 0 1 27 7 19 31 121
Optimal Portfolio Using Factor Graphical Lasso 0 0 2 11 1 5 15 53
Optimal Portfolio Using Factor Graphical Lasso 0 0 0 2 5 12 18 27
Permanent and transitory components of GDP and stock prices: further analysis 0 0 0 161 0 2 8 685
Pitfalls in Testing for Long Run Relationships 0 0 0 3 3 14 15 633
Predicting the Long-term Stock Market Volatility: A GARCH-MIDAS Model with Variable Selection 1 2 4 76 2 17 35 245
Relative Power of t Type Tests of Stationary and Unit Root Processes 0 0 0 0 0 8 11 683
Stein-Rule Estimation and Generalized Shrinkage Methods for Forecasting Using Many Predictors 0 0 0 90 0 26 29 247
Stein-like Shrinkage Estimation of Panel Data Models with Common Correlated Effects 0 0 0 18 0 7 11 61
Testing for Neglected Nonlinearity Using Artificial Neural Networks with Many Randomized Hidden Unit Activations 0 0 0 29 0 5 11 51
Testing for Neglected Nonlinearity Using Regularized Artificial Neural Networks 0 0 1 45 0 2 13 55
The Second-order Asymptotic Properties of Asymmetric Least Squares Estimation 0 0 0 29 0 8 10 80
The Second-order Bias and Mean Squared Error of Quantile Regression Estimators 0 0 1 14 2 9 12 25
Time-varying Model Averaging 0 0 0 34 2 8 18 183
To Combine Forecasts or to Combine Information? 0 0 0 119 1 5 8 442
Using the Entire Yield Curve in Forecasting Output and Inflation 0 0 2 34 0 5 13 91
Using the Yield Curve in Forecasting Output Growth and In?flation 0 0 0 57 2 5 6 168
Variable Selection in Sparse Semiparametric Single Index Models 0 0 0 30 3 12 15 93
Total Working Papers 3 5 36 2,854 116 534 871 9,365

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 3 6 8 28
Assessing the risk forecasts for Japanese stock market 0 0 0 58 1 2 2 234
Asymmetric loss in the Greenbook and the Survey of Professional Forecasters 0 0 1 6 2 15 23 66
Bagging binary and quantile predictors for time series 0 0 0 35 1 13 18 168
Cointegration tests with conditional heteroskedasticity 0 0 0 149 1 5 9 330
Combined estimation of semiparametric panel data models 0 0 0 3 1 7 12 29
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 1 6 10 480
Copula-based multivariate GARCH model with uncorrelated dependent errors 0 2 4 341 3 18 36 990
DIAGNOSTIC CHECKING FOR THE ADEQUACY OF NONLINEAR TIME SERIES MODELS 1 1 1 37 1 4 6 104
Density Forecast of Financial Returns Using Decomposition and Maximum Entropy 0 0 0 2 0 3 12 20
Disequilibrium and uncertainty in cointegrated systems: Some empirical evidence 0 0 0 3 2 4 4 27
ERRATUM: Inference on Predictability of Foreign Exchange Rates via Generalized Spectrum and Nonlinear Time Series Models 0 0 0 32 1 1 3 97
Evaluating predictive performance of value-at-risk models in emerging markets: a reality check 0 0 2 288 1 10 20 812
Evaluation of the Survey of Professional Forecasters in the Greenbook’s Loss Function 0 0 1 3 1 10 14 48
Forecasting Equity Premium: Global Historical Average Versus Local Historical Average and Constraints 0 0 0 2 0 2 7 37
Forecasting Value-at-Risk Using High-Frequency Information 0 0 0 14 3 5 9 103
Forecasting volatility: A reality check based on option pricing, utility function, value-at-risk, and predictive likelihood 0 0 1 203 3 12 22 549
Granger-causality in quantiles between financial markets: Using copula approach 0 0 1 65 0 13 20 285
Inference on Predictability of Foreign Exchange Rates via Generalized Spectrum and Nonlinear Time Series Models 0 0 0 135 2 6 12 428
Investigation of Production, Sales and Inventory Relationships Using Multicointegration and Non-symmetric Error Correction Models 0 0 0 523 1 9 19 1,286
Jumps in cross-sectional rank and expected returns: a mixture model 0 0 1 29 1 8 10 183
Maximum Entropy Analysis of Consumption-based Capital Asset Pricing Model and Volatility 0 0 1 5 3 10 11 35
Model averaging estimation of panel data models with many instruments and boosting 0 0 1 3 1 5 11 17
Neural Network Test and Nonparametric Kernel Test for Neglected Nonlinearity in Regression Models 0 0 0 71 2 8 8 300
Nonparametric and semiparametric regressions subject to monotonicity constraints: Estimation and forecasting 0 0 1 25 1 5 9 89
On the Predictive Power of the Spread Between Spot and Forward Exchange Rates for Volatility 0 0 0 2 1 5 5 23
On the robustness of cointegration tests when series are fractionally intergrated 0 0 0 42 5 10 11 165
Optimal Portfolio Using Factor Graphical Lasso* 0 1 10 11 1 4 27 34
Optimal forecast under structural breaks 0 0 1 6 2 8 12 33
Optimality of the RiskMetrics VaR model 0 0 1 122 0 3 5 354
Permanent and transitory components of GDP and stock prices: further analysis 1 1 2 23 1 10 16 129
Pitfalls in testing for long run relationships 0 0 2 247 4 9 18 544
Predicting the long-term stock market volatility: A GARCH-MIDAS model with variable selection 0 3 14 27 8 28 67 184
RELATIVE POWER OF t TYPE TESTS FOR STATIONARY AND UNIT ROOT PROCESSES 1 1 1 1 2 8 8 14
Spread and volatility in spot and forward exchange rates 0 0 0 234 0 8 9 528
Stock Adjustment for Multicointegrated Series 0 0 0 0 2 7 11 237
Stock-Flow Relationships in U.S. Housing Construction 0 0 0 0 0 4 5 164
Testing for Neglected Nonlinearity Using Artificial Neural Networks with Many Randomized Hidden Unit Activations 0 0 0 11 0 2 6 56
Testing for neglected nonlinearity in time series models: A comparison of neural network methods and alternative tests 0 0 5 631 1 10 28 1,462
The Second-Order Asymptotic Properties of Asymmetric Least Squares Estimation 0 0 0 2 0 2 4 22
The effect of aggregation on nonlinearity 0 0 0 53 1 6 10 172
The international transmission of information in Eurodollar futures markets: a continuously trading market hypothesis 0 0 0 34 0 5 8 154
The second-order bias of quantile estimators 0 0 1 10 3 12 21 72
Time-varying model averaging 0 0 2 28 3 12 25 130
To Combine Forecasts or to Combine Information? 0 0 2 24 1 4 10 163
Uncertainty in Sales and Inventory Behaviour in the U.S. Trade Sectors 0 0 0 10 1 5 9 108
Using the Entire Yield Curve in Forecasting Output and Inflation 0 0 0 8 1 5 14 59
Total Journal Articles 3 9 57 3,681 73 354 644 11,552

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 2 4 5
Chapter 13 Bagging Binary and Quantile Predictors for Time Series: Further Issues 0 0 0 2 1 4 6 8
Efficient Combined Estimation under Structural Breaks 0 0 0 4 0 6 10 17
Money–Income Granger-Causality in Quantiles 0 0 0 0 0 6 13 16
Stein-Rule Estimation and Generalized Shrinkage Methods for Forecasting Using Many Predictors 0 0 0 0 0 4 8 9
Stein-like Shrinkage Estimation of Panel Data Models with Common Correlated Effects 0 0 0 4 0 1 5 41
Variable Selection in Sparse Semiparametric Single Index Models 0 0 0 2 1 6 8 22
Total Chapters 0 0 0 12 2 29 54 118

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Statistics updated 2026-03-04