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 0 45
A Combined Random Effect and Fixed Effect Forecast for Panel Data Models 0 0 1 50 1 2 4 102
Asymmetric AdaBoost for High-dimensional Maximum Score Regression 0 1 2 7 0 3 7 12
Asymmetric Loss in the Greenbook and the Survey of Professional Forecasters 1 1 2 32 4 4 5 112
Bagging Binary Predictors for Time Series 2 2 2 227 4 4 5 702
Bagging Constrained Equity Premium Predictors 0 1 2 45 0 1 3 98
Boosting 0 0 0 52 3 4 7 98
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 3 4 20 247
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 6 7 7 22
Combining Forecasts under Structural Breaks Using Graphical LASSO 0 0 0 74 2 3 6 39
Combining Forecasts under Structural Breaks Using Graphical LASSO 0 0 0 28 3 4 6 30
Component-wise AdaBoost Algorithms for High-dimensional Binary Classi fication and Class Probability Prediction 0 0 0 29 3 3 6 54
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 0 3 9 22
Estimation and Testing of Forecast Rationality with Many Moments 0 0 0 1 1 1 3 7
Estimation and Testing of Forecast Rationality with Many Moments 0 1 1 10 2 4 9 19
Estimation of High-Dimensional Dynamic Conditional Precision Matrices with an Application to Forecast Combination 0 0 0 40 1 1 3 84
Evaluation of the Survey of Professional Forecasters in the Greenbook’s Loss Function 0 0 0 20 0 2 3 37
Exact Distribution of the F-statistic under Heteroskedasticity of Unknown Form for Improved Inference 1 1 1 35 2 2 2 46
Finding SPF Percentiles Closest to Greenbook 0 0 0 15 1 1 2 43
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 2 5 64
Forecasting Value-at-Risk Using High Frequency Information 0 1 1 92 1 2 6 136
Forecasting under Structural Breaks Using Improved Weighted Estimation 0 0 2 14 0 1 3 25
Forecasting under Structural Breaks Using Improved Weighted Estimation 0 0 2 57 0 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 6 151
Inferential Theory for Granular Instrumental Variables in High Dimensions 0 0 0 8 0 0 5 13
Inferential Theory for Granular Instrumental Variables in High Dimensions 0 0 3 17 3 5 12 49
Inferential Theory for Granular Instrumental Variables in High Dimensions 0 0 0 4 3 4 5 15
Jumps in Rank and Expected Returns. Introducing Varying Cross-sectional Risk 0 0 0 66 1 2 2 364
Learning from Forecast Errors: A New Approach to Forecast Combination 0 0 1 40 0 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 1 2 2 110
Let´s do it again: bagging equity premium predictors 0 0 0 13 0 1 2 56
Maximum Entropy Analysis of Consumption-based Capital Asset Pricing Model and Volatility 0 0 0 13 1 1 3 42
Model Averaging Estimation of Panel Data Models with Many Instruments and Boosting 0 0 1 15 1 1 6 34
Money-Income Granger-Causality in Quantiles 0 0 0 88 1 3 3 120
No lack of relative power of the Dickey-Fuller tests for unit roots 0 0 0 3 1 1 1 23
Nonlinear Time Series in Financial Forecasting 0 0 0 227 1 3 6 410
Nonparametric Bootstrap Tests for Neglected Nonlinearity in Time Series Regression Models 0 0 0 6 1 1 5 577
Nonparametric and Semiparametric Regressions Subject to Monotonicity Constraints: Estimation and Forecasting 0 0 0 77 1 3 7 71
On the Robustness of Cointegration Tests when Series Are Fractionally Integrated 0 0 0 0 1 1 1 103
On the robustness of cointegration tests when series are fractionally integrated 0 0 0 4 0 0 2 29
Optimal Forecast under Structural Breaks 0 1 2 25 3 5 9 44
Optimal Forecast under Structural Breaks 0 1 2 24 2 3 8 34
Optimal Portfolio Using Factor Graphical Lasso 0 0 0 2 3 4 7 14
Optimal Portfolio Using Factor Graphical Lasso 0 0 1 27 5 6 11 100
Optimal Portfolio Using Factor Graphical Lasso 1 2 2 11 1 3 4 41
Permanent and transitory components of GDP and stock prices: further analysis 0 0 0 161 2 2 5 681
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 0 2 74 3 6 18 226
Relative Power of t Type Tests of Stationary and Unit Root Processes 0 0 0 0 1 1 2 674
Stein-Rule Estimation and Generalized Shrinkage Methods for Forecasting Using Many Predictors 0 0 0 90 1 1 1 219
Stein-like Shrinkage Estimation of Panel Data Models with Common Correlated Effects 0 0 0 18 2 2 2 52
Testing for Neglected Nonlinearity Using Artificial Neural Networks with Many Randomized Hidden Unit Activations 0 0 0 29 3 3 6 45
Testing for Neglected Nonlinearity Using Regularized Artificial Neural Networks 0 1 1 45 3 6 8 49
The Second-order Asymptotic Properties of Asymmetric Least Squares Estimation 0 0 0 29 1 1 2 71
The Second-order Bias and Mean Squared Error of Quantile Regression Estimators 0 0 3 14 1 1 4 15
Time-varying Model Averaging 0 0 0 34 3 3 8 169
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 2 4 6 84
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 1 1 2 79
Total Working Papers 5 13 44 2,848 92 145 328 8,723

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 1 1 2 21
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 3 5 7 49
Bagging binary and quantile predictors for time series 0 0 0 35 3 4 4 154
Cointegration tests with conditional heteroskedasticity 0 0 0 149 0 0 4 324
Combined estimation of semiparametric panel data models 0 0 0 3 2 5 6 22
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 1 1 122 0 2 3 473
Copula-based multivariate GARCH model with uncorrelated dependent errors 1 1 4 339 4 8 19 969
DIAGNOSTIC CHECKING FOR THE ADEQUACY OF NONLINEAR TIME SERIES MODELS 0 0 1 36 1 1 2 99
Density Forecast of Financial Returns Using Decomposition and Maximum Entropy 0 0 0 2 2 5 6 14
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 1 1 95
Evaluating predictive performance of value-at-risk models in emerging markets: a reality check 0 0 2 288 4 6 8 800
Evaluation of the Survey of Professional Forecasters in the Greenbook’s Loss Function 0 0 1 3 1 2 5 38
Forecasting Equity Premium: Global Historical Average Versus Local Historical Average and Constraints 0 0 0 2 2 2 3 33
Forecasting Value-at-Risk Using High-Frequency Information 0 0 0 14 3 3 4 97
Forecasting volatility: A reality check based on option pricing, utility function, value-at-risk, and predictive likelihood 0 0 2 203 0 1 14 535
Granger-causality in quantiles between financial markets: Using copula approach 0 0 0 64 2 2 5 267
Inference on Predictability of Foreign Exchange Rates via Generalized Spectrum and Nonlinear Time Series Models 0 0 0 135 1 2 3 419
Investigation of Production, Sales and Inventory Relationships Using Multicointegration and Non-symmetric Error Correction Models 0 0 1 523 1 2 8 1,273
Jumps in cross-sectional rank and expected returns: a mixture model 0 0 1 29 0 0 1 174
Maximum Entropy Analysis of Consumption-based Capital Asset Pricing Model and Volatility 0 0 0 4 0 0 0 24
Model averaging estimation of panel data models with many instruments and boosting 0 0 1 3 2 3 6 11
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 1 1 5 84
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* 2 6 8 9 4 13 25 28
Optimal forecast under structural breaks 0 0 1 6 1 1 4 24
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 0 1 11 531
Predicting the long-term stock market volatility: A GARCH-MIDAS model with variable selection 2 4 10 23 6 17 38 150
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 1 1 3 520
Stock Adjustment for Multicointegrated Series 0 0 0 0 0 1 2 228
Stock-Flow Relationships in U.S. Housing Construction 0 0 0 0 0 0 1 160
Testing for Neglected Nonlinearity Using Artificial Neural Networks with Many Randomized Hidden Unit Activations 0 0 0 11 1 1 3 52
Testing for neglected nonlinearity in time series models: A comparison of neural network methods and alternative tests 0 1 5 631 3 6 17 1,447
The Second-Order Asymptotic Properties of Asymmetric Least Squares Estimation 0 0 0 2 0 1 2 19
The effect of aggregation on nonlinearity 0 0 0 53 1 1 4 165
The international transmission of information in Eurodollar futures markets: a continuously trading market hypothesis 0 0 0 34 1 1 3 147
The second-order bias of quantile estimators 0 0 1 10 3 4 7 58
Time-varying model averaging 0 0 3 28 1 5 11 115
To Combine Forecasts or to Combine Information? 0 0 2 24 0 0 7 158
Uncertainty in Sales and Inventory Behaviour in the U.S. Trade Sectors 0 0 0 10 2 2 4 102
Using the Entire Yield Curve in Forecasting Output and Inflation 0 0 0 8 3 5 7 52
Total Journal Articles 5 13 52 3,667 60 117 274 11,124

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 2 2 3
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 2 2 4 9
Money–Income Granger-Causality in Quantiles 0 0 0 0 3 4 7 9
Stein-Rule Estimation and Generalized Shrinkage Methods for Forecasting Using Many Predictors 0 0 0 0 1 1 3 3
Stein-like Shrinkage Estimation of Panel Data Models with Common Correlated Effects 0 0 0 4 3 3 5 40
Variable Selection in Sparse Semiparametric Single Index Models 0 0 0 2 0 0 1 15
Total Chapters 0 0 1 12 10 12 23 82

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Statistics updated 2025-11-08