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 3 48
A Combined Random Effect and Fixed Effect Forecast for Panel Data Models 0 0 0 50 3 4 6 105
Asymmetric AdaBoost for High-dimensional Maximum Score Regression 0 0 1 7 0 1 7 13
Asymmetric Loss in the Greenbook and the Survey of Professional Forecasters 0 1 2 32 2 8 9 116
Bagging Binary Predictors for Time Series 0 2 2 227 2 8 9 706
Bagging Constrained Equity Premium Predictors 0 0 2 45 0 1 4 99
Boosting 0 0 0 52 2 6 7 101
Boosting GMM with Many Instruments When Some Are Invalid or Irrelevant 0 0 0 14 1 2 7 32
Bootstrap Aggregating and Random Forest 0 1 3 98 3 10 20 254
Combined Estimation of Semiparametric Panel Data Models 0 0 0 14 4 6 6 55
Combining Forecasts under Structural Breaks Using Graphical LASSO 0 0 0 28 2 6 8 33
Combining Forecasts under Structural Breaks Using Graphical LASSO 0 0 0 24 3 13 14 29
Combining Forecasts under Structural Breaks Using Graphical LASSO 0 0 0 74 2 5 9 42
Component-wise AdaBoost Algorithms for High-dimensional Binary Classi fication and Class Probability Prediction 0 0 0 29 1 6 8 57
Density Forecast of Financial Returns Using Decomposition and Maximum Entropy 0 0 0 54 1 2 2 40
Efficient Combined Estimation under Structural Breaks 0 0 0 43 2 3 3 39
Efficient Combined Estimation under Structural Breaks 0 0 1 23 2 5 8 73
Elicitability and Encompassing for Volatility Forecasts by Bregman Functions 0 0 1 14 3 5 12 27
Estimation and Testing of Forecast Rationality with Many Moments 0 0 1 10 1 3 10 20
Estimation and Testing of Forecast Rationality with Many Moments 0 0 0 1 1 2 4 8
Estimation of High-Dimensional Dynamic Conditional Precision Matrices with an Application to Forecast Combination 0 0 0 40 2 4 5 87
Evaluation of the Survey of Professional Forecasters in the Greenbook’s Loss Function 0 0 0 20 1 2 5 39
Exact Distribution of the F-statistic under Heteroskedasticity of Unknown Form for Improved Inference 0 1 1 35 1 4 4 48
Finding SPF Percentiles Closest to Greenbook 0 0 0 15 3 5 6 47
Forecasting Equity Premium: Global Historical Average versus Local Historical Average and Constraints 0 0 0 29 1 1 1 65
Forecasting Realized Volatility Using Subsample Averaging 0 0 0 71 1 2 3 97
Forecasting Using Supervised Factor Models 0 0 0 27 1 3 7 66
Forecasting Value-at-Risk Using High Frequency Information 0 0 1 92 1 2 7 137
Forecasting under Structural Breaks Using Improved Weighted Estimation 0 0 1 57 1 2 7 49
Forecasting under Structural Breaks Using Improved Weighted Estimation 0 0 1 14 0 0 2 25
Generalized (Cross) Spectral Tests for Optimal Forecasts and Conditional Predictive Ability Under Generalized Loss Functions 0 0 0 2 2 4 4 189
Granger-Causality in Quantiles between Financial Markets: Using Copula Approach 0 0 0 76 5 9 14 159
Inferential Theory for Granular Instrumental Variables in High Dimensions 0 0 2 17 3 7 13 53
Inferential Theory for Granular Instrumental Variables in High Dimensions 0 0 0 8 0 2 5 15
Inferential Theory for Granular Instrumental Variables in High Dimensions 0 0 0 4 2 5 6 17
Jumps in Rank and Expected Returns. Introducing Varying Cross-sectional Risk 1 1 1 67 3 5 6 368
Learning from Forecast Errors: A New Approach to Forecast Combination 0 0 1 40 1 2 9 65
Learning from Forecast Errors: A New Approach to Forecast Combinations 0 0 1 30 0 3 7 28
Let's Do It Again: Bagging Equity Premium Predictors 0 0 0 91 1 3 4 112
Let´s do it again: bagging equity premium predictors 0 0 0 13 0 2 4 58
Maximum Entropy Analysis of Consumption-based Capital Asset Pricing Model and Volatility 0 0 0 13 4 6 8 47
Model Averaging Estimation of Panel Data Models with Many Instruments and Boosting 0 0 1 15 3 6 11 39
Money-Income Granger-Causality in Quantiles 0 0 0 88 1 3 5 122
No lack of relative power of the Dickey-Fuller tests for unit roots 0 0 0 3 1 6 6 28
Nonlinear Time Series in Financial Forecasting 0 0 0 227 2 4 9 413
Nonparametric Bootstrap Tests for Neglected Nonlinearity in Time Series Regression Models 0 0 0 6 1 3 6 579
Nonparametric and Semiparametric Regressions Subject to Monotonicity Constraints: Estimation and Forecasting 0 0 0 77 2 4 10 74
On the Robustness of Cointegration Tests when Series Are Fractionally Integrated 0 0 0 0 2 4 4 106
On the robustness of cointegration tests when series are fractionally integrated 0 0 0 4 0 1 3 30
Optimal Forecast under Structural Breaks 0 0 2 25 0 3 9 44
Optimal Forecast under Structural Breaks 0 0 2 24 5 7 13 39
Optimal Portfolio Using Factor Graphical Lasso 0 0 1 27 5 12 17 107
Optimal Portfolio Using Factor Graphical Lasso 0 0 0 2 3 7 9 18
Optimal Portfolio Using Factor Graphical Lasso 0 1 2 11 2 10 12 50
Permanent and transitory components of GDP and stock prices: further analysis 0 0 0 161 0 4 7 683
Pitfalls in Testing for Long Run Relationships 0 0 0 3 4 5 6 623
Predicting the Long-term Stock Market Volatility: A GARCH-MIDAS Model with Variable Selection 0 0 2 74 7 12 26 235
Relative Power of t Type Tests of Stationary and Unit Root Processes 0 0 0 0 6 8 9 681
Stein-Rule Estimation and Generalized Shrinkage Methods for Forecasting Using Many Predictors 0 0 0 90 23 26 26 244
Stein-like Shrinkage Estimation of Panel Data Models with Common Correlated Effects 0 0 0 18 2 6 6 56
Testing for Neglected Nonlinearity Using Artificial Neural Networks with Many Randomized Hidden Unit Activations 0 0 0 29 3 7 10 49
Testing for Neglected Nonlinearity Using Regularized Artificial Neural Networks 0 0 1 45 0 7 12 53
The Second-order Asymptotic Properties of Asymmetric Least Squares Estimation 0 0 0 29 2 4 5 74
The Second-order Bias and Mean Squared Error of Quantile Regression Estimators 0 0 2 14 4 6 8 20
Time-varying Model Averaging 0 0 0 34 2 11 14 177
To Combine Forecasts or to Combine Information? 0 0 0 119 2 4 5 439
Using the Entire Yield Curve in Forecasting Output and Inflation 0 0 2 34 2 6 10 88
Using the Yield Curve in Forecasting Output Growth and In?flation 0 0 0 57 2 3 3 165
Variable Selection in Sparse Semiparametric Single Index Models 0 0 0 30 5 8 9 86
Total Working Papers 1 7 37 2,850 159 359 553 8,990

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 3 4 23
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 1 1 6 4 9 12 55
Bagging binary and quantile predictors for time series 0 0 0 35 4 8 9 159
Cointegration tests with conditional heteroskedasticity 0 0 0 149 2 3 7 327
Combined estimation of semiparametric panel data models 0 0 0 3 1 3 6 23
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 2 5 475
Copula-based multivariate GARCH model with uncorrelated dependent errors 0 1 2 339 1 8 20 973
DIAGNOSTIC CHECKING FOR THE ADEQUACY OF NONLINEAR TIME SERIES MODELS 0 0 1 36 3 5 6 103
Density Forecast of Financial Returns Using Decomposition and Maximum Entropy 0 0 0 2 2 7 11 19
Disequilibrium and uncertainty in cointegrated systems: Some empirical evidence 0 0 0 3 1 1 1 24
ERRATUM: Inference on Predictability of Foreign Exchange Rates via Generalized Spectrum and Nonlinear Time Series Models 0 0 0 32 0 1 2 96
Evaluating predictive performance of value-at-risk models in emerging markets: a reality check 0 0 2 288 1 7 11 803
Evaluation of the Survey of Professional Forecasters in the Greenbook’s Loss Function 0 0 1 3 2 3 7 40
Forecasting Equity Premium: Global Historical Average Versus Local Historical Average and Constraints 0 0 0 2 1 5 6 36
Forecasting Value-at-Risk Using High-Frequency Information 0 0 0 14 1 5 5 99
Forecasting volatility: A reality check based on option pricing, utility function, value-at-risk, and predictive likelihood 0 0 2 203 2 4 17 539
Granger-causality in quantiles between financial markets: Using copula approach 0 1 1 65 7 14 14 279
Inference on Predictability of Foreign Exchange Rates via Generalized Spectrum and Nonlinear Time Series Models 0 0 0 135 0 4 6 422
Investigation of Production, Sales and Inventory Relationships Using Multicointegration and Non-symmetric Error Correction Models 0 0 0 523 4 9 15 1,281
Jumps in cross-sectional rank and expected returns: a mixture model 0 0 1 29 1 2 3 176
Maximum Entropy Analysis of Consumption-based Capital Asset Pricing Model and Volatility 0 1 1 5 0 1 1 25
Model averaging estimation of panel data models with many instruments and boosting 0 0 1 3 1 4 8 13
Neural Network Test and Nonparametric Kernel Test for Neglected Nonlinearity in Regression Models 0 0 0 71 1 1 1 293
Nonparametric and semiparametric regressions subject to monotonicity constraints: Estimation and forecasting 0 0 1 25 2 3 7 86
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 1 155
Optimal Portfolio Using Factor Graphical Lasso* 1 4 10 11 1 7 25 31
Optimal forecast under structural breaks 0 0 1 6 1 3 6 26
Optimality of the RiskMetrics VaR model 0 0 1 122 0 0 2 351
Permanent and transitory components of GDP and stock prices: further analysis 0 0 1 22 4 7 10 123
Pitfalls in testing for long run relationships 0 0 2 247 2 6 13 537
Predicting the long-term stock market volatility: A GARCH-MIDAS model with variable selection 1 4 12 25 6 18 47 162
RELATIVE POWER OF t TYPE TESTS FOR STATIONARY AND UNIT ROOT PROCESSES 0 0 0 0 2 2 2 8
Spread and volatility in spot and forward exchange rates 0 0 0 234 5 6 7 525
Stock Adjustment for Multicointegrated Series 0 0 0 0 1 3 5 231
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 4 6 55
Testing for neglected nonlinearity in time series models: A comparison of neural network methods and alternative tests 0 0 5 631 4 12 23 1,456
The Second-Order Asymptotic Properties of Asymmetric Least Squares Estimation 0 0 0 2 1 2 4 21
The effect of aggregation on nonlinearity 0 0 0 53 2 4 7 168
The international transmission of information in Eurodollar futures markets: a continuously trading market hypothesis 0 0 0 34 0 3 5 149
The second-order bias of quantile estimators 0 0 1 10 1 6 10 61
Time-varying model averaging 0 0 3 28 5 9 19 123
To Combine Forecasts or to Combine Information? 0 0 2 24 1 2 7 160
Uncertainty in Sales and Inventory Behaviour in the U.S. Trade Sectors 0 0 0 10 2 5 6 105
Using the Entire Yield Curve in Forecasting Output and Inflation 0 0 0 8 3 8 12 57
Total Journal Articles 2 12 53 3,674 85 219 402 11,283

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 2 3 4 5
Chapter 13 Bagging Binary and Quantile Predictors for Time Series: Further Issues 0 0 0 2 0 1 2 4
Efficient Combined Estimation under Structural Breaks 0 0 0 4 3 7 8 14
Money–Income Granger-Causality in Quantiles 0 0 0 0 2 6 9 12
Stein-Rule Estimation and Generalized Shrinkage Methods for Forecasting Using Many Predictors 0 0 0 0 1 4 6 6
Stein-like Shrinkage Estimation of Panel Data Models with Common Correlated Effects 0 0 0 4 0 3 4 40
Variable Selection in Sparse Semiparametric Single Index Models 0 0 0 2 1 2 3 17
Total Chapters 0 0 0 12 9 26 36 98

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Statistics updated 2026-01-09