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 6 9 12 57
A Combined Random Effect and Fixed Effect Forecast for Panel Data Models 1 1 1 51 3 6 11 111
Asymmetric AdaBoost for High-dimensional Maximum Score Regression 0 0 1 7 1 7 14 20
Asymmetric Loss in the Greenbook and the Survey of Professional Forecasters 0 0 2 32 0 1 10 117
Bagging Binary Predictors for Time Series 0 0 2 227 0 8 17 714
Bagging Constrained Equity Premium Predictors 0 0 1 45 1 4 7 103
Boosting 0 0 0 52 1 7 14 108
Boosting GMM with Many Instruments When Some Are Invalid or Irrelevant 0 0 0 14 0 9 12 41
Bootstrap Aggregating and Random Forest 0 0 2 98 2 11 25 265
Combined Estimation of Semiparametric Panel Data Models 0 0 0 14 0 5 11 60
Combining Forecasts under Structural Breaks Using Graphical LASSO 0 0 0 24 2 9 23 38
Combining Forecasts under Structural Breaks Using Graphical LASSO 0 0 0 28 0 6 13 39
Combining Forecasts under Structural Breaks Using Graphical LASSO 0 0 0 74 2 8 15 50
Component-wise AdaBoost Algorithms for High-dimensional Binary Classi fication and Class Probability Prediction 0 0 0 29 0 6 13 63
Density Forecast of Financial Returns Using Decomposition and Maximum Entropy 0 0 0 54 1 4 6 44
Efficient Combined Estimation under Structural Breaks 0 0 0 43 0 5 8 44
Efficient Combined Estimation under Structural Breaks 0 0 1 23 1 4 10 77
Elicitability and Encompassing for Volatility Forecasts by Bregman Functions 0 0 0 14 2 7 15 34
Estimation and Testing of Forecast Rationality with Many Moments 0 0 1 10 0 5 12 25
Estimation and Testing of Forecast Rationality with Many Moments 0 0 0 1 2 8 10 16
Estimation of High-Dimensional Dynamic Conditional Precision Matrices with an Application to Forecast Combination 0 0 0 40 1 7 11 94
Evaluation of the Survey of Professional Forecasters in the Greenbook’s Loss Function 0 0 0 20 0 5 10 44
Exact Distribution of the F-statistic under Heteroskedasticity of Unknown Form for Improved Inference 0 0 1 35 0 8 12 56
Finding SPF Percentiles Closest to Greenbook 0 0 0 15 1 6 11 53
Forecasting Equity Premium: Global Historical Average versus Local Historical Average and Constraints 0 0 0 29 0 5 6 70
Forecasting Realized Volatility Using Subsample Averaging 0 0 0 71 1 8 10 105
Forecasting Using Supervised Factor Models 0 0 0 27 0 3 7 69
Forecasting Value-at-Risk Using High Frequency Information 0 0 1 92 0 7 12 144
Forecasting under Structural Breaks Using Improved Weighted Estimation 0 0 0 14 3 5 6 30
Forecasting under Structural Breaks Using Improved Weighted Estimation 0 1 2 58 1 7 12 56
Generalized (Cross) Spectral Tests for Optimal Forecasts and Conditional Predictive Ability Under Generalized Loss Functions 0 0 0 2 0 5 9 194
Granger-Causality in Quantiles between Financial Markets: Using Copula Approach 0 0 0 76 2 10 24 169
Inferential Theory for Granular Instrumental Variables in High Dimensions 0 0 0 4 1 9 15 26
Inferential Theory for Granular Instrumental Variables in High Dimensions 0 0 0 17 1 4 15 57
Inferential Theory for Granular Instrumental Variables in High Dimensions 0 0 0 8 1 6 9 21
Jumps in Rank and Expected Returns. Introducing Varying Cross-sectional Risk 0 0 1 67 0 4 10 372
Learning from Forecast Errors: A New Approach to Forecast Combination 0 0 1 40 0 3 9 68
Learning from Forecast Errors: A New Approach to Forecast Combinations 0 0 0 30 2 4 7 32
Let's Do It Again: Bagging Equity Premium Predictors 0 0 0 91 1 5 9 117
Let´s do it again: bagging equity premium predictors 0 0 0 13 2 4 8 62
Maximum Entropy Analysis of Consumption-based Capital Asset Pricing Model and Volatility 0 0 0 13 0 6 13 53
Model Averaging Estimation of Panel Data Models with Many Instruments and Boosting 0 0 1 15 1 16 24 55
Money-Income Granger-Causality in Quantiles 0 0 0 88 1 8 13 130
No lack of relative power of the Dickey-Fuller tests for unit roots 0 1 1 4 2 6 12 34
Nonlinear Time Series in Financial Forecasting 0 0 0 227 0 5 12 418
Nonparametric Bootstrap Tests for Neglected Nonlinearity in Time Series Regression Models 0 0 0 6 0 7 12 586
Nonparametric and Semiparametric Regressions Subject to Monotonicity Constraints: Estimation and Forecasting 0 0 0 77 1 4 11 78
On the Robustness of Cointegration Tests when Series Are Fractionally Integrated 0 0 0 0 1 6 10 112
On the robustness of cointegration tests when series are fractionally integrated 0 0 0 4 2 6 8 36
Optimal Forecast under Structural Breaks 0 0 2 25 1 12 19 56
Optimal Forecast under Structural Breaks 0 0 2 24 2 12 23 51
Optimal Portfolio Using Factor Graphical Lasso 0 0 0 2 0 9 18 27
Optimal Portfolio Using Factor Graphical Lasso 0 0 2 11 0 3 15 53
Optimal Portfolio Using Factor Graphical Lasso 0 0 1 27 4 18 35 125
Permanent and transitory components of GDP and stock prices: further analysis 0 0 0 161 3 5 11 688
Pitfalls in Testing for Long Run Relationships 0 0 0 3 1 11 16 634
Predicting the Long-term Stock Market Volatility: A GARCH-MIDAS Model with Variable Selection 0 2 4 76 6 16 36 251
Relative Power of t Type Tests of Stationary and Unit Root Processes 0 0 0 0 1 3 12 684
Stein-Rule Estimation and Generalized Shrinkage Methods for Forecasting Using Many Predictors 0 0 0 90 1 4 30 248
Stein-like Shrinkage Estimation of Panel Data Models with Common Correlated Effects 0 0 0 18 1 6 12 62
Testing for Neglected Nonlinearity Using Artificial Neural Networks with Many Randomized Hidden Unit Activations 0 0 0 29 1 3 12 52
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 1 7 11 81
The Second-order Bias and Mean Squared Error of Quantile Regression Estimators 0 0 1 14 4 9 16 29
Time-varying Model Averaging 0 0 0 34 3 9 21 186
To Combine Forecasts or to Combine Information? 0 0 0 119 2 5 10 444
Using the Entire Yield Curve in Forecasting Output and Inflation 0 0 2 34 0 3 13 91
Using the Yield Curve in Forecasting Output Growth and In?flation 0 0 0 57 0 3 6 168
Variable Selection in Sparse Semiparametric Single Index Models 0 0 0 30 0 7 15 93
Total Working Papers 1 5 34 2,855 80 455 929 9,445

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 5 8 28
Assessing the risk forecasts for Japanese stock market 0 0 0 58 0 2 2 234
Asymmetric loss in the Greenbook and the Survey of Professional Forecasters 0 0 1 6 2 13 25 68
Bagging binary and quantile predictors for time series 0 0 0 35 2 11 20 170
Cointegration tests with conditional heteroskedasticity 0 0 0 149 4 7 13 334
Combined estimation of semiparametric panel data models 0 0 0 3 0 6 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 2 7 12 482
Copula-based multivariate GARCH model with uncorrelated dependent errors 0 2 3 341 1 18 36 991
DIAGNOSTIC CHECKING FOR THE ADEQUACY OF NONLINEAR TIME SERIES MODELS 0 1 1 37 0 1 6 104
Density Forecast of Financial Returns Using Decomposition and Maximum Entropy 0 0 0 2 0 1 12 20
Disequilibrium and uncertainty in cointegrated systems: Some empirical evidence 0 0 0 3 0 3 4 27
ERRATUM: Inference on Predictability of Foreign Exchange Rates via Generalized Spectrum and Nonlinear Time Series Models 0 0 0 32 0 1 3 97
Evaluating predictive performance of value-at-risk models in emerging markets: a reality check 0 0 1 288 1 10 20 813
Evaluation of the Survey of Professional Forecasters in the Greenbook’s Loss Function 0 0 0 3 1 9 14 49
Forecasting Equity Premium: Global Historical Average Versus Local Historical Average and Constraints 0 0 0 2 0 1 7 37
Forecasting Value-at-Risk Using High-Frequency Information 0 0 0 14 1 5 10 104
Forecasting volatility: A reality check based on option pricing, utility function, value-at-risk, and predictive likelihood 0 0 1 203 3 13 24 552
Granger-causality in quantiles between financial markets: Using copula approach 0 0 1 65 4 10 24 289
Inference on Predictability of Foreign Exchange Rates via Generalized Spectrum and Nonlinear Time Series Models 0 0 0 135 0 6 12 428
Investigation of Production, Sales and Inventory Relationships Using Multicointegration and Non-symmetric Error Correction Models 0 0 0 523 4 9 22 1,290
Jumps in cross-sectional rank and expected returns: a mixture model 0 0 1 29 0 7 10 183
Maximum Entropy Analysis of Consumption-based Capital Asset Pricing Model and Volatility 0 0 1 5 1 11 12 36
Model averaging estimation of panel data models with many instruments and boosting 0 0 1 3 0 4 11 17
Neural Network Test and Nonparametric Kernel Test for Neglected Nonlinearity in Regression Models 0 0 0 71 1 8 9 301
Nonparametric and semiparametric regressions subject to monotonicity constraints: Estimation and forecasting 0 0 0 25 1 4 9 90
On the Predictive Power of the Spread Between Spot and Forward Exchange Rates for Volatility 0 0 0 2 0 5 5 23
On the robustness of cointegration tests when series are fractionally intergrated 0 0 0 42 2 12 13 167
Optimal Portfolio Using Factor Graphical Lasso* 0 0 10 11 2 5 29 36
Optimal forecast under structural breaks 0 0 0 6 0 7 11 33
Optimality of the RiskMetrics VaR model 0 0 1 122 3 6 8 357
Permanent and transitory components of GDP and stock prices: further analysis 0 1 2 23 1 7 16 130
Pitfalls in testing for long run relationships 0 0 2 247 2 9 20 546
Predicting the long-term stock market volatility: A GARCH-MIDAS model with variable selection 0 2 13 27 4 26 70 188
RELATIVE POWER OF t TYPE TESTS FOR STATIONARY AND UNIT ROOT PROCESSES 0 1 1 1 1 7 9 15
Spread and volatility in spot and forward exchange rates 0 0 0 234 2 5 11 530
Stock Adjustment for Multicointegrated Series 0 0 0 0 2 8 13 239
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 1 6 56
Testing for neglected nonlinearity in time series models: A comparison of neural network methods and alternative tests 0 0 5 631 3 9 31 1,465
The Second-Order Asymptotic Properties of Asymmetric Least Squares Estimation 0 0 0 2 2 3 6 24
The effect of aggregation on nonlinearity 0 0 0 53 1 5 11 173
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 1 12 22 73
Time-varying model averaging 0 0 2 28 3 10 28 133
To Combine Forecasts or to Combine Information? 0 0 2 24 1 4 11 164
Uncertainty in Sales and Inventory Behaviour in the U.S. Trade Sectors 0 0 0 10 2 5 11 110
Using the Entire Yield Curve in Forecasting Output and Inflation 0 0 0 8 2 4 16 61
Total Journal Articles 0 7 51 3,681 62 331 697 11,614

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 5 6
Chapter 13 Bagging Binary and Quantile Predictors for Time Series: Further Issues 0 0 0 2 0 4 6 8
Efficient Combined Estimation under Structural Breaks 0 0 0 4 0 3 10 17
Money–Income Granger-Causality in Quantiles 0 0 0 0 0 4 13 16
Stein-Rule Estimation and Generalized Shrinkage Methods for Forecasting Using Many Predictors 0 0 0 0 1 4 9 10
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 9 23
Total Chapters 0 0 0 12 3 23 57 121

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Statistics updated 2026-04-09