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 1 2 18 63
A Combined Random Effect and Fixed Effect Forecast for Panel Data Models 0 0 1 51 1 3 14 115
Asymmetric AdaBoost for High-dimensional Maximum Score Regression 0 0 0 7 0 0 11 23
Asymmetric Loss in the Greenbook and the Survey of Professional Forecasters 0 0 1 32 0 1 14 122
Bagging Binary Predictors for Time Series 0 0 3 228 2 2 25 723
Bagging Constrained Equity Premium Predictors 0 0 1 45 2 2 13 110
Boosting 0 0 0 52 0 1 16 111
Boosting GMM with Many Instruments When Some Are Invalid or Irrelevant 0 0 0 14 0 2 15 45
Bootstrap Aggregating and Random Forest 0 0 4 101 0 1 30 273
Combined Estimation of Semiparametric Panel Data Models 0 0 0 14 0 0 14 63
Combining Forecasts under Structural Breaks Using Graphical LASSO 0 0 0 24 1 1 26 41
Combining Forecasts under Structural Breaks Using Graphical LASSO 0 0 0 74 0 0 15 51
Combining Forecasts under Structural Breaks Using Graphical LASSO 0 0 0 28 1 1 17 44
Component-wise AdaBoost Algorithms for High-dimensional Binary Classi fication and Class Probability Prediction 0 0 0 29 1 2 14 65
Density Forecast of Financial Returns Using Decomposition and Maximum Entropy 0 0 0 54 0 1 9 47
Efficient Combined Estimation under Structural Breaks 0 0 0 23 1 2 13 81
Efficient Combined Estimation under Structural Breaks 0 0 0 43 1 1 11 47
Elicitability and Encompassing for Volatility Forecasts by Bregman Functions 0 0 0 14 0 2 19 40
Estimation and Testing of Forecast Rationality with Many Moments 0 0 0 1 1 2 12 18
Estimation and Testing of Forecast Rationality with Many Moments 0 0 0 10 0 0 10 27
Estimation of High-Dimensional Dynamic Conditional Precision Matrices with an Application to Forecast Combination 0 0 0 40 1 3 18 101
Evaluation of the Survey of Professional Forecasters in the Greenbook’s Loss Function 0 0 0 20 1 1 10 46
Exact Distribution of the F-statistic under Heteroskedasticity of Unknown Form for Improved Inference 0 0 1 35 0 0 18 62
Finding SPF Percentiles Closest to Greenbook 0 0 0 15 0 0 12 54
Forecasting Equity Premium: Global Historical Average versus Local Historical Average and Constraints 0 0 0 29 2 3 14 78
Forecasting Realized Volatility Using Subsample Averaging 0 0 0 71 1 3 15 110
Forecasting Using Supervised Factor Models 0 0 0 27 0 1 13 75
Forecasting Value-at-Risk Using High Frequency Information 0 0 0 92 0 2 11 146
Forecasting under Structural Breaks Using Improved Weighted Estimation 0 0 0 14 0 1 9 33
Forecasting under Structural Breaks Using Improved Weighted Estimation 0 0 1 58 0 0 11 57
Generalized (Cross) Spectral Tests for Optimal Forecasts and Conditional Predictive Ability Under Generalized Loss Functions 0 0 0 2 0 0 12 197
Granger-Causality in Quantiles between Financial Markets: Using Copula Approach 0 0 0 76 0 0 27 176
Inferential Theory for Granular Instrumental Variables in High Dimensions 0 0 0 4 0 2 19 31
Inferential Theory for Granular Instrumental Variables in High Dimensions 0 0 0 8 1 2 14 27
Inferential Theory for Granular Instrumental Variables in High Dimensions 0 0 0 17 1 1 13 59
Jumps in Rank and Expected Returns. Introducing Varying Cross-sectional Risk 0 0 1 67 0 0 12 375
Learning from Forecast Errors: A New Approach to Forecast Combination 0 0 0 40 1 1 9 70
Learning from Forecast Errors: A New Approach to Forecast Combinations 0 0 0 30 1 3 10 35
Let's Do It Again: Bagging Equity Premium Predictors 0 0 0 91 1 1 12 121
Let´s do it again: bagging equity premium predictors 0 0 0 13 0 0 7 63
Maximum Entropy Analysis of Consumption-based Capital Asset Pricing Model and Volatility 0 0 0 13 1 2 19 60
Model Averaging Estimation of Panel Data Models with Many Instruments and Boosting 0 0 0 15 1 1 26 59
Money-Income Granger-Causality in Quantiles 0 0 0 88 2 2 14 132
No lack of relative power of the Dickey-Fuller tests for unit roots 0 0 1 4 0 0 14 36
Nonlinear Time Series in Financial Forecasting 0 0 0 227 0 1 14 423
Nonparametric Bootstrap Tests for Neglected Nonlinearity in Time Series Regression Models 0 0 0 6 0 0 11 587
Nonparametric and Semiparametric Regressions Subject to Monotonicity Constraints: Estimation and Forecasting 0 0 0 77 2 4 20 89
On the Robustness of Cointegration Tests when Series Are Fractionally Integrated 0 0 0 0 1 1 13 115
On the robustness of cointegration tests when series are fractionally integrated 0 0 0 4 0 1 10 39
Optimal Forecast under Structural Breaks 0 0 1 25 2 3 22 61
Optimal Forecast under Structural Breaks 0 0 0 24 0 0 24 56
Optimal Portfolio Using Factor Graphical Lasso 0 0 0 27 0 4 44 138
Optimal Portfolio Using Factor Graphical Lasso 0 0 2 11 1 2 20 58
Optimal Portfolio Using Factor Graphical Lasso 0 0 0 2 0 2 22 33
Permanent and transitory components of GDP and stock prices: further analysis 0 0 0 161 0 0 13 692
Pitfalls in Testing for Long Run Relationships 0 0 0 3 0 1 20 638
Predicting the Long-term Stock Market Volatility: A GARCH-MIDAS Model with Variable Selection 0 0 2 76 1 5 42 264
Relative Power of t Type Tests of Stationary and Unit Root Processes 0 0 0 0 1 1 13 686
Stein-Rule Estimation and Generalized Shrinkage Methods for Forecasting Using Many Predictors 0 0 0 90 2 3 34 252
Stein-like Shrinkage Estimation of Panel Data Models with Common Correlated Effects 0 0 0 18 0 2 19 69
Testing for Neglected Nonlinearity Using Artificial Neural Networks with Many Randomized Hidden Unit Activations 0 0 0 29 0 0 11 53
Testing for Neglected Nonlinearity Using Regularized Artificial Neural Networks 0 0 1 45 2 2 18 62
The Second-order Asymptotic Properties of Asymmetric Least Squares Estimation 0 0 0 29 0 1 17 87
The Second-order Bias and Mean Squared Error of Quantile Regression Estimators 0 0 0 14 2 3 19 33
Time-varying Model Averaging 0 0 0 34 1 2 29 195
To Combine Forecasts or to Combine Information? 0 0 0 119 1 2 17 452
Using the Entire Yield Curve in Forecasting Output and Inflation 0 0 0 34 1 1 11 93
Using the Yield Curve in Forecasting Output Growth and In?flation 0 0 0 57 1 1 10 172
Variable Selection in Sparse Semiparametric Single Index Models 0 0 0 30 0 0 16 94
Total Working Papers 0 0 20 2,859 44 97 1,144 9,753

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 11 31
Assessing the risk forecasts for Japanese stock market 0 0 0 58 0 1 6 238
Asymmetric loss in the Greenbook and the Survey of Professional Forecasters 0 0 1 6 1 4 34 80
Bagging binary and quantile predictors for time series 0 0 0 35 0 2 23 173
Cointegration tests with conditional heteroskedasticity 0 0 1 150 0 2 17 341
Combined estimation of semiparametric panel data models 0 0 0 3 1 1 19 36
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 0 0 13 484
Copula-based multivariate GARCH model with uncorrelated dependent errors 0 0 4 342 1 3 36 998
DIAGNOSTIC CHECKING FOR THE ADEQUACY OF NONLINEAR TIME SERIES MODELS 0 0 1 37 0 1 13 111
Density Forecast of Financial Returns Using Decomposition and Maximum Entropy 0 0 0 2 1 2 12 24
Disequilibrium and uncertainty in cointegrated systems: Some empirical evidence 0 0 0 3 0 1 5 28
ERRATUM: Inference on Predictability of Foreign Exchange Rates via Generalized Spectrum and Nonlinear Time Series Models 0 0 0 32 1 1 7 101
Evaluating predictive performance of value-at-risk models in emerging markets: a reality check 0 0 0 288 0 0 24 819
Evaluation of the Survey of Professional Forecasters in the Greenbook’s Loss Function 0 0 0 3 0 0 15 52
Forecasting Equity Premium: Global Historical Average Versus Local Historical Average and Constraints 0 0 0 2 0 0 12 43
Forecasting Value-at-Risk Using High-Frequency Information 0 0 0 14 1 1 13 107
Forecasting volatility: A reality check based on option pricing, utility function, value-at-risk, and predictive likelihood 0 0 0 203 1 2 22 557
Granger-causality in quantiles between financial markets: Using copula approach 0 0 2 66 4 5 33 298
Inference on Predictability of Foreign Exchange Rates via Generalized Spectrum and Nonlinear Time Series Models 0 0 1 136 0 0 16 433
Investigation of Production, Sales and Inventory Relationships Using Multicointegration and Non-symmetric Error Correction Models 0 0 1 524 0 2 24 1,295
Jumps in cross-sectional rank and expected returns: a mixture model 0 0 0 29 1 3 15 189
Maximum Entropy Analysis of Consumption-based Capital Asset Pricing Model and Volatility 0 0 1 5 0 0 16 40
Model averaging estimation of panel data models with many instruments and boosting 0 0 0 3 0 1 16 24
Neural Network Test and Nonparametric Kernel Test for Neglected Nonlinearity in Regression Models 0 0 0 71 0 1 10 302
Nonparametric and semiparametric regressions subject to monotonicity constraints: Estimation and forecasting 0 0 0 25 0 1 9 92
On the Predictive Power of the Spread Between Spot and Forward Exchange Rates for Volatility 0 0 0 2 1 1 6 24
On the robustness of cointegration tests when series are fractionally intergrated 0 0 0 42 1 1 14 169
Optimal Portfolio Using Factor Graphical Lasso* 0 0 8 11 0 3 28 46
Optimal forecast under structural breaks 0 0 0 6 0 0 12 35
Optimality of the RiskMetrics VaR model 0 0 1 123 0 0 11 362
Permanent and transitory components of GDP and stock prices: further analysis 0 0 1 23 0 0 16 132
Pitfalls in testing for long run relationships 0 0 0 247 0 2 22 552
Predicting the long-term stock market volatility: A GARCH-MIDAS model with variable selection 0 1 10 30 5 8 75 213
RELATIVE POWER OF t TYPE TESTS FOR STATIONARY AND UNIT ROOT PROCESSES 0 0 1 1 0 0 10 16
Spread and volatility in spot and forward exchange rates 0 0 0 234 0 0 13 532
Stock Adjustment for Multicointegrated Series 0 0 0 0 1 1 14 241
Stock-Flow Relationships in U.S. Housing Construction 0 0 0 0 0 0 5 165
Testing for Neglected Nonlinearity Using Artificial Neural Networks with Many Randomized Hidden Unit Activations 0 0 0 11 1 2 13 64
Testing for neglected nonlinearity in time series models: A comparison of neural network methods and alternative tests 0 2 2 633 0 4 34 1,477
The Second-Order Asymptotic Properties of Asymmetric Least Squares Estimation 0 0 0 2 0 0 8 26
The effect of aggregation on nonlinearity 0 0 0 53 0 0 11 175
The international transmission of information in Eurodollar futures markets: a continuously trading market hypothesis 0 0 0 34 1 1 10 156
The second-order bias of quantile estimators 0 0 1 11 0 0 25 79
Time-varying model averaging 0 0 1 29 3 6 32 145
To Combine Forecasts or to Combine Information? 0 1 1 25 4 6 14 172
Uncertainty in Sales and Inventory Behaviour in the U.S. Trade Sectors 0 0 0 10 0 0 11 111
Using the Entire Yield Curve in Forecasting Output and Inflation 0 0 0 8 17 19 36 84
Total Journal Articles 0 4 39 3,695 46 88 841 11,872

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 8 9
Chapter 13 Bagging Binary and Quantile Predictors for Time Series: Further Issues 0 0 0 2 0 0 8 11
Efficient Combined Estimation under Structural Breaks 0 0 0 4 0 0 12 19
Money–Income Granger-Causality in Quantiles 0 0 0 0 1 1 12 18
Stein-Rule Estimation and Generalized Shrinkage Methods for Forecasting Using Many Predictors 0 0 0 0 0 0 12 14
Stein-like Shrinkage Estimation of Panel Data Models with Common Correlated Effects 0 0 0 4 0 0 5 42
Variable Selection in Sparse Semiparametric Single Index Models 0 0 0 2 0 0 11 26
Total Chapters 0 0 0 12 1 1 68 139

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Statistics updated 2026-09-10