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 1 45
A Combined Random Effect and Fixed Effect Forecast for Panel Data Models 0 0 1 50 0 1 4 100
Asymmetric AdaBoost for High-dimensional Maximum Score Regression 0 0 1 6 0 0 1 6
Asymmetric Loss in the Greenbook and the Survey of Professional Forecasters 0 0 0 30 0 0 1 107
Bagging Binary Predictors for Time Series 0 0 0 225 0 0 0 697
Bagging Constrained Equity Premium Predictors 0 1 1 44 0 1 3 96
Boosting 0 0 1 52 0 1 8 94
Boosting GMM with Many Instruments When Some Are Invalid or Irrelevant 0 0 0 14 0 3 9 28
Bootstrap Aggregating and Random Forest 0 3 16 96 1 7 36 238
Combined Estimation of Semiparametric Panel Data Models 0 0 1 14 0 0 2 49
Combining Forecasts under Structural Breaks Using Graphical LASSO 0 0 0 28 0 2 2 26
Combining Forecasts under Structural Breaks Using Graphical LASSO 0 0 0 24 0 0 0 15
Combining Forecasts under Structural Breaks Using Graphical LASSO 0 0 0 74 1 2 4 35
Component-wise AdaBoost Algorithms for High-dimensional Binary Classi fication and Class Probability Prediction 0 0 0 29 1 2 2 50
Density Forecast of Financial Returns Using Decomposition and Maximum Entropy 0 0 1 54 0 2 6 38
Efficient Combined Estimation under Structural Breaks 0 0 0 22 0 2 2 66
Efficient Combined Estimation under Structural Breaks 0 0 0 43 0 0 0 36
Elicitability and Encompassing for Volatility Forecasts by Bregman Functions 1 1 2 14 1 6 12 19
Estimation and Testing of Forecast Rationality with Many Moments 0 0 0 1 0 2 2 6
Estimation and Testing of Forecast Rationality with Many Moments 0 0 0 9 1 3 3 13
Estimation of High-Dimensional Dynamic Conditional Precision Matrices with an Application to Forecast Combination 0 0 0 40 0 2 4 83
Evaluation of the Survey of Professional Forecasters in the Greenbook’s Loss Function 0 0 0 20 0 0 1 34
Exact Distribution of the F-statistic under Heteroskedasticity of Unknown Form for Improved Inference 0 0 0 34 0 0 1 44
Finding SPF Percentiles Closest to Greenbook 0 0 0 15 0 0 0 41
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 1 2 95
Forecasting Using Supervised Factor Models 0 0 0 27 2 2 6 61
Forecasting Value-at-Risk Using High Frequency Information 0 0 0 91 1 2 2 132
Forecasting under Structural Breaks Using Improved Weighted Estimation 0 0 2 56 0 0 6 42
Forecasting under Structural Breaks Using Improved Weighted Estimation 0 0 1 13 0 0 1 23
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 1 76 0 0 3 145
Inferential Theory for Granular Instrumental Variables in High Dimensions 0 0 2 15 0 0 5 40
Inferential Theory for Granular Instrumental Variables in High Dimensions 0 0 0 4 0 1 2 11
Inferential Theory for Granular Instrumental Variables in High Dimensions 0 0 1 8 0 1 5 10
Jumps in Rank and Expected Returns. Introducing Varying Cross-sectional Risk 0 0 0 66 0 0 1 362
Learning from Forecast Errors: A New Approach to Forecast Combination 0 0 1 39 1 3 9 59
Learning from Forecast Errors: A New Approach to Forecast Combinations 0 1 1 30 2 4 5 25
Let's Do It Again: Bagging Equity Premium Predictors 0 0 0 91 0 0 0 108
Let´s do it again: bagging equity premium predictors 0 0 0 13 0 0 2 54
Maximum Entropy Analysis of Consumption-based Capital Asset Pricing Model and Volatility 0 0 1 13 0 1 2 40
Model Averaging Estimation of Panel Data Models with Many Instruments and Boosting 0 0 0 14 2 2 5 30
Money-Income Granger-Causality in Quantiles 0 0 3 88 0 0 4 117
No lack of relative power of the Dickey-Fuller tests for unit roots 0 0 0 3 0 0 0 22
Nonlinear Time Series in Financial Forecasting 0 0 0 227 0 2 3 406
Nonparametric Bootstrap Tests for Neglected Nonlinearity in Time Series Regression Models 0 0 0 6 0 1 2 574
Nonparametric and Semiparametric Regressions Subject to Monotonicity Constraints: Estimation and Forecasting 0 0 0 77 3 3 3 67
On the Robustness of Cointegration Tests when Series Are Fractionally Integrated 0 0 0 0 0 0 2 102
On the robustness of cointegration tests when series are fractionally integrated 0 0 0 4 1 1 1 28
Optimal Forecast under Structural Breaks 0 0 0 22 0 0 0 26
Optimal Forecast under Structural Breaks 0 0 0 23 0 1 1 36
Optimal Portfolio Using Factor Graphical Lasso 0 0 0 9 0 0 2 38
Optimal Portfolio Using Factor Graphical Lasso 0 0 0 26 0 1 3 90
Optimal Portfolio Using Factor Graphical Lasso 0 0 0 2 0 1 4 9
Permanent and transitory components of GDP and stock prices: further analysis 0 0 2 161 1 1 3 677
Pitfalls in Testing for Long Run Relationships 0 0 0 3 0 1 4 618
Predicting the Long-term Stock Market Volatility: A GARCH-MIDAS Model with Variable Selection 0 0 3 72 0 2 11 210
Relative Power of t Type Tests of Stationary and Unit Root Processes 0 0 0 0 0 0 0 672
Stein-Rule Estimation and Generalized Shrinkage Methods for Forecasting Using Many Predictors 0 0 0 90 0 0 0 218
Stein-like Shrinkage Estimation of Panel Data Models with Common Correlated Effects 0 0 0 18 0 0 0 50
Testing for Neglected Nonlinearity Using Artificial Neural Networks with Many Randomized Hidden Unit Activations 0 0 0 29 1 1 1 40
Testing for Neglected Nonlinearity Using Regularized Artificial Neural Networks 0 0 0 44 0 1 1 42
The Second-order Asymptotic Properties of Asymmetric Least Squares Estimation 0 0 0 29 1 1 1 70
The Second-order Bias and Mean Squared Error of Quantile Regression Estimators 0 1 2 13 0 1 2 13
Time-varying Model Averaging 0 0 1 34 0 4 7 165
To Combine Forecasts or to Combine Information? 0 0 0 119 0 0 1 434
Using the Entire Yield Curve in Forecasting Output and Inflation 0 0 0 32 0 0 2 78
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 1 78
Total Working Papers 1 7 45 2,818 21 76 219 8,494

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 1 2 20
Assessing the risk forecasts for Japanese stock market 0 0 0 58 0 0 2 232
Asymmetric loss in the Greenbook and the Survey of Professional Forecasters 0 0 0 5 0 1 1 43
Bagging binary and quantile predictors for time series 0 0 0 35 0 0 1 150
Cointegration tests with conditional heteroskedasticity 0 0 1 149 1 1 3 321
Combined estimation of semiparametric panel data models 0 0 0 3 0 1 1 17
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 0 121 0 0 0 470
Copula-based multivariate GARCH model with uncorrelated dependent errors 0 0 6 337 1 2 19 954
DIAGNOSTIC CHECKING FOR THE ADEQUACY OF NONLINEAR TIME SERIES MODELS 0 1 1 36 0 1 1 98
Density Forecast of Financial Returns Using Decomposition and Maximum Entropy 0 0 0 2 0 0 4 8
Disequilibrium and uncertainty in cointegrated systems: Some empirical evidence 0 0 0 3 0 1 1 23
ERRATUM: Inference on Predictability of Foreign Exchange Rates via Generalized Spectrum and Nonlinear Time Series Models 0 0 0 32 0 0 0 94
Evaluating predictive performance of value-at-risk models in emerging markets: a reality check 0 0 2 286 0 0 5 792
Evaluation of the Survey of Professional Forecasters in the Greenbook’s Loss Function 0 0 0 2 0 1 1 34
Forecasting Equity Premium: Global Historical Average Versus Local Historical Average and Constraints 0 0 0 2 0 0 0 30
Forecasting Value-at-Risk Using High-Frequency Information 0 0 0 14 0 0 1 94
Forecasting volatility: A reality check based on option pricing, utility function, value-at-risk, and predictive likelihood 1 1 7 202 2 5 15 527
Granger-causality in quantiles between financial markets: Using copula approach 0 0 2 64 0 3 10 265
Inference on Predictability of Foreign Exchange Rates via Generalized Spectrum and Nonlinear Time Series Models 0 0 0 135 0 0 4 416
Investigation of Production, Sales and Inventory Relationships Using Multicointegration and Non-symmetric Error Correction Models 0 0 2 523 1 1 6 1,267
Jumps in cross-sectional rank and expected returns: a mixture model 0 0 0 28 0 0 1 173
Maximum Entropy Analysis of Consumption-based Capital Asset Pricing Model and Volatility 0 0 0 4 0 0 5 24
Model averaging estimation of panel data models with many instruments and boosting 0 0 1 2 1 1 5 6
Neural Network Test and Nonparametric Kernel Test for Neglected Nonlinearity in Regression Models 0 0 0 71 0 0 1 292
Nonparametric and semiparametric regressions subject to monotonicity constraints: Estimation and forecasting 0 0 1 24 1 1 3 80
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 0 154
Optimal Portfolio Using Factor Graphical Lasso* 0 0 1 1 1 1 7 7
Optimal forecast under structural breaks 0 0 0 5 1 1 2 21
Optimality of the RiskMetrics VaR model 0 0 0 121 0 0 1 349
Permanent and transitory components of GDP and stock prices: further analysis 0 0 0 21 0 1 2 113
Pitfalls in testing for long run relationships 0 0 10 245 0 3 22 526
Predicting the long-term stock market volatility: A GARCH-MIDAS model with variable selection 0 0 2 13 1 4 29 117
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 5 519
Stock Adjustment for Multicointegrated Series 0 0 0 0 0 0 1 226
Stock-Flow Relationships in U.S. Housing Construction 0 0 0 0 0 0 0 159
Testing for Neglected Nonlinearity Using Artificial Neural Networks with Many Randomized Hidden Unit Activations 0 0 0 11 1 1 1 50
Testing for neglected nonlinearity in time series models: A comparison of neural network methods and alternative tests 0 0 4 626 0 3 19 1,434
The Second-Order Asymptotic Properties of Asymmetric Least Squares Estimation 0 0 0 2 1 1 3 18
The effect of aggregation on nonlinearity 0 0 0 53 1 1 1 162
The international transmission of information in Eurodollar futures markets: a continuously trading market hypothesis 0 0 0 34 1 2 3 146
The second-order bias of quantile estimators 0 0 0 9 0 0 0 51
Time-varying model averaging 1 1 4 26 1 1 17 105
To Combine Forecasts or to Combine Information? 0 0 0 22 0 2 6 153
Uncertainty in Sales and Inventory Behaviour in the U.S. Trade Sectors 0 0 0 10 0 1 1 99
Using the Entire Yield Curve in Forecasting Output and Inflation 0 0 0 8 0 0 0 45
Total Journal Articles 2 3 44 3,624 16 43 212 10,908

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 1 1
Chapter 13 Bagging Binary and Quantile Predictors for Time Series: Further Issues 0 0 0 2 0 0 0 2
Efficient Combined Estimation under Structural Breaks 0 0 1 4 1 1 2 7
Money–Income Granger-Causality in Quantiles 0 0 0 0 0 1 1 3
Stein-Rule Estimation and Generalized Shrinkage Methods for Forecasting Using Many Predictors 0 0 0 0 0 1 1 1
Stein-like Shrinkage Estimation of Panel Data Models with Common Correlated Effects 0 0 0 4 0 1 6 36
Variable Selection in Sparse Semiparametric Single Index Models 0 0 0 2 0 0 0 14
Total Chapters 0 0 1 12 1 4 11 64

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Statistics updated 2025-03-03