Tae Hwy Lee : Citation Profile


Are you Tae Hwy Lee?

University of California-Riverside

15

H index

17

i10 index

937

Citations

RESEARCH PRODUCTION:

31

Articles

25

Papers

RESEARCH ACTIVITY:

   26 years (1989 - 2015). See details.
   Cites by year: 36
   Journals where Tae Hwy Lee has often published
   Relations with other researchers
   Recent citing documents: 99.    Total self citations: 15 (1.58 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ple784
   Updated: 2018-11-17    RAS profile: 2016-05-22    
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Relations with other researchers


Works with:

Tu, Yundong (3)

Ullah, Aman (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Tae Hwy Lee.

Is cited by:

Pereira, Alfredo (17)

van Dijk, Dick (12)

Gómez Biscarri, Javier (11)

Kouretas, Georgios (10)

Haldrup, Niels (9)

Degiannakis, Stavros (8)

Barnett, William (8)

Andraz, Jorge (8)

Siliverstovs, Boriss (8)

Teräsvirta, Timo (8)

Panchenko, Valentyn (7)

Cites to:

Granger, Clive (38)

Diebold, Francis (26)

Timmermann, Allan (23)

White, Halbert (22)

Engle, Robert (21)

West, Kenneth (20)

Bollerslev, Tim (19)

Komunjer, Ivana (15)

Hansen, Peter (14)

Pesaran, M (13)

Christoffersen, Peter (12)

Main data


Where Tae Hwy Lee has published?


Journals with more than one article published# docs
Journal of Econometrics6
The Review of Economics and Statistics2
Econometric Reviews2
Journal of Forecasting2
Journal of Applied Econometrics2
International Journal of Forecasting2
Journal of International Money and Finance2

Working Papers Series with more than one paper published# docs
Working Papers / University of California at Riverside, Department of Economics13
Econometric Society 2004 North American Winter Meetings / Econometric Society2

Recent works citing Tae Hwy Lee (2018 and 2017)


YearTitle of citing document
2017Conditional Market Timing in the Mutual Fund Industry. (2017). Tchamyou, Vanessa ; Asongu, Simplice. In: Working Papers of the African Governance and Development Institute.. RePEc:agd:wpaper:17/028.

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2017Vertical Price Transmission in Milk Supply Chain: Market Changes and Asymmetric Dynamics. (2017). Santeramo, Fabio ; Antonioli, Federico. In: 2017 Sixth AIEAA Conference, June 15-16, Piacenza, Italy. RePEc:ags:aiea17:261256.

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2018Price Transmission Analysis: the Case of Milk Products in Russia. (2018). Kharin, S. In: AGRIS on-line Papers in Economics and Informatics. RePEc:ags:aolpei:276092.

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2018Analysis of Price Transmission along the Cambodian Rice Value Chain. (2018). Bairagi, S ; Mohanty, S. In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:277022.

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2017Empirical analysis of daily cash flow time series and its implications for forecasting. (2017). Salas-Molina, Francisco ; Martin, Francisco J ; Serra, Joan ; Rodr, Juan A. In: Papers. RePEc:arx:papers:1611.04941.

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2017A nonparametric copula approach to conditional Value-at-Risk. (2017). Geenens, Gery ; Dunn, Richard . In: Papers. RePEc:arx:papers:1712.05527.

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2018New HSIC-based tests for independence between two stationary multivariate time series. (2018). Zhu, Ke ; Li, Wai Keung ; Wang, Guochang. In: Papers. RePEc:arx:papers:1804.09866.

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2017Exploring the Returns and Volatility Spillover Effect in Taiwan and Japan Stock Markets. (2017). Peng, Chi-Lu ; Wang, Cheng-Te ; Tsai, Chin-Chang ; Chung, Chi-Fu . In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2017:p:175-187.

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2017Linear and Nonlinear Predictability in Investment Style Factors: Multivariate Evidence*. (2017). Guidolin, Massimo ; Chincoli, Francesco . In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1754.

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2018Impacts of shifting China¡¯s final energy consumption to electricity on CO2 emission reduction. (2018). Zhao, Weigang ; Wei, Yi-Ming ; Wang, Ke ; Miao, BO ; Cao, Yunfei. In: CEEP-BIT Working Papers. RePEc:biw:wpaper:115.

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2017Extracting and Analyzing the Warming Trend in Global and Hemispheric Temperatures. (2017). Perron, Pierre ; Estrada, Francisco ; Zorita, Eduardo . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:5:p:711-732.

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2017Extracting and analyzing the warming trend in global and hemispheric temperatures. (2017). Perron, Pierre ; Estrada, Francisco. In: Boston University - Department of Economics - Working Papers Series. RePEc:bos:wpaper:wp2017-008.

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2017Forecasting Market Risk of Portfolios: Copula-Markov Switching Multifractal Approach. (2017). Segnon, Mawuli ; Trede, Mark. In: CQE Working Papers. RePEc:cqe:wpaper:6617.

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2017Volatility Transmission in Overlapping Trading Zones. (2017). Masuhr, Andreas. In: CQE Working Papers. RePEc:cqe:wpaper:6717.

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2017Inflation Targeting and the Forward Bias Puzzle in Emerging Countries. (2017). Kempf, Hubert ; Coulibaly, Dramane. In: EconomiX Working Papers. RePEc:drm:wpaper:2017-12.

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2017A Double-Exponential Jump model and its application to risk measure in Wheat spot market. (2017). Huang, Xiaoying. In: Economics Bulletin. RePEc:ebl:ecbull:eb-16-00459.

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2017Assessing the current account sustainability in ECCAS economies: A dual cointegration analysis. (2017). Kane, Gilles Quentin ; AMBA, Marius ; Mbratana, Taoufiki ; Claude, Amba Oyon . In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00517.

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2018Gold - Silver Nexus: A Threshold Cointegration Approach. (2018). Mighri, Zouheir Ahmed ; al Saggaf, Majid Ibrahim. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2018-05-28.

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2018International and Macroeconomic Determinants of Oil Price: Evidence from Gulf Cooperation Council Countries. (2018). Albaity, Mohamed ; Mustafa, Hasan. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2018-01-9.

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2017Nonlinear dependence in exchange rate returns: How do emerging Asian currencies compare with major currencies?. (2017). Wali, Muammer ; Manzur, Meher ; Chan, Felix. In: Journal of Asian Economics. RePEc:eee:asieco:v:50:y:2017:i:c:p:62-72.

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2018Model Complexity and Out-of-Sample Performance: Evidence from S&P 500 Index Returns. (2018). Kaeck, Andreas ; Seeger, Norman J ; Rodrigues, Paulo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:90:y:2018:i:c:p:1-29.

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2018Permanent shocks, signal extraction, and portfolio selection. (2018). Nazliben, Korhan K ; Rodriguez, Juan Carlos. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:92:y:2018:i:c:p:47-68.

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2018How efficient are Chinas macroeconomic forecasts? Evidences from a new forecasting evaluation approach. (2018). Sun, Yuying ; Zhang, Xun ; Wang, Shouyang. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:506-513.

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2018Evaluating nowcasts of bridge equations with advanced combination schemes for the Turkish unemployment rate. (2018). Soybilgen, Baris ; Yazgan, Ege . In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:99-108.

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2017Moments expansion densities for quantifying financial risk. (2017). Perote, Javier ; Iguez, Trino-Manuel . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:53-69.

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2018Which information matters to market risk spreading in Brazil? Volatility transmission modelling using MGARCH-BEKK, DCC, t-Copulas. (2018). de Oliveira, Felipe A ; Da, Cassio ; de Jesus, Diego P ; Maia, Sinezio F. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:45:y:2018:i:c:p:83-100.

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2017Fitting a two phase threshold multiplicative error model. (2017). Perera, Indeewara ; Koul, Hira L. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:348-367.

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2017Identification conditions in simultaneous systems of cointegrating equations with integrated variables of higher order. (2017). Paruolo, Paolo ; Mosconi, Rocco . In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:2:p:271-276.

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2017Displaced relative changes in historical simulation: Application to risk measures of interest rates with phases of negative rates. (2017). Fries, Christian P ; Seeger, Norman ; Nigbur, Tobias . In: Journal of Empirical Finance. RePEc:eee:empfin:v:42:y:2017:i:c:p:175-198.

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2018Measuring long-term tail risk: Evaluating the performance of the square-root-of-time rule. (2018). Wang, Jying-Nan ; Hsu, Yuan-Teng ; Du, Jiangze . In: Journal of Empirical Finance. RePEc:eee:empfin:v:47:y:2018:i:c:p:120-138.

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2017Airfares and oil prices: ‘Feathers and Rockets’ adjustments. (2017). Kaufmann, Robert. In: Energy Economics. RePEc:eee:eneeco:v:68:y:2017:i:c:p:515-521.

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2018Renewable energy, oil prices, and economic activity: A Granger-causality in quantiles analysis. (2018). Uddin, Gazi ; Troster, Victor ; Shahbaz, Muhammad. In: Energy Economics. RePEc:eee:eneeco:v:70:y:2018:i:c:p:440-452.

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2018Impacts of shifting Chinas final energy consumption to electricity on CO2 emission reduction. (2018). Zhao, Weigang ; Wei, Yi-Ming ; Wang, Ke ; Miao, BO ; Cao, Yunfei. In: Energy Economics. RePEc:eee:eneeco:v:71:y:2018:i:c:p:359-369.

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2018Re-evaluating the energy consumption-economic growth nexus for the United States: An asymmetric threshold cointegration analysis. (2018). Tzeremes, Nickolaos ; Kourtzidis, Stavros. In: Energy. RePEc:eee:energy:v:148:y:2018:i:c:p:537-545.

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2017Multiple-days-ahead value-at-risk and expected shortfall forecasting for stock indices, commodities and exchange rates: Inter-day versus intra-day data. (2017). Degiannakis, Stavros ; Potamia, Artemis . In: International Review of Financial Analysis. RePEc:eee:finana:v:49:y:2017:i:c:p:176-190.

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2017Does mispricing, liquidity or third-party certification contribute to IPO downside risk?. (2017). Reber, Beat . In: International Review of Financial Analysis. RePEc:eee:finana:v:51:y:2017:i:c:p:25-53.

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2018The contagion effect in European sovereign debt markets: A regime-switching vine copula approach. (2018). BenSaïda, Ahmed ; Bensaida, Ahmed. In: International Review of Financial Analysis. RePEc:eee:finana:v:58:y:2018:i:c:p:153-165.

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2017Return distribution, leverage effect and spot-futures spread on the hedging effectiveness. (2017). Kao, Wei-Shun ; Wu, Chien-Hui ; Changchien, Chang-Cheng ; Lin, Chu-Hsiung. In: Finance Research Letters. RePEc:eee:finlet:v:22:y:2017:i:c:p:158-162.

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2017Value-at-Risk under Lévy GARCH models: Evidence from global stock markets. (2017). BenSaïda, Ahmed ; Slim, Skander ; Bensaida, Ahmed ; Koubaa, Yosra. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:46:y:2017:i:c:p:30-53.

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2017The Copula ADCC-GARCH model can help PIIGS to fly. (2017). del Mar, Maria ; Miralles-Quiros, Jose Luis. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:50:y:2017:i:c:p:1-12.

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2017Forecasting market returns: bagging or combining?. (2017). Wohar, Mark ; Jordan, Steven J ; Vivian, Andrew. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:1:p:102-120.

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2017Improving the power of the Diebold–Mariano–West test for least squares predictions. (2017). Mayer, Walter J ; Dang, Xin ; Liu, Feng. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:618-626.

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2017Systematic errors in growth expectations over the business cycle. (2017). Jannsen, Nils ; Dovern, Jonas. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:760-769.

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2018MGARCH models: Trade-off between feasibility and flexibility. (2018). Ruiz, Esther ; Hotta, Luiz ; de Almeida, Daniel . In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:1:p:45-63.

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2017An evaluation of bank measures for market risk before, during and after the financial crisis. (2017). Brien, James O ; Szersze, Pawe J ; Obrien, James . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:80:y:2017:i:c:p:215-234.

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2018Point process models for extreme returns: Harnessing implied volatility. (2018). Herrera, Rodrigo ; Clements, Adam. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:88:y:2018:i:c:p:161-175.

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2017Dependence of stock markets with gold and bonds under bullish and bearish market states. (2017). Shahbaz, Muhammad ; Ali, Azwadi ; Raza, Naveed ; Hussain, Syed Jawad. In: Resources Policy. RePEc:eee:jrpoli:v:52:y:2017:i:c:p:308-319.

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2017Dynamics of crude oil and gold price post 2008 global financial crisis – New evidence from threshold vector error-correction model. (2017). Kanjilal, Kakali ; Ghosh, Sajal . In: Resources Policy. RePEc:eee:jrpoli:v:52:y:2017:i:c:p:358-365.

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2017Asymmetric MF-DCCA method based on risk conduction and its application in the Chinese and foreign stock markets. (2017). Xu, Wei ; Cao, Guangxi ; Li, Qingchen ; Han, Yan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:468:y:2017:i:c:p:119-130.

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2017Multiscale Shannon entropy and its application in the stock market. (2017). Gu, Rongbao . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:484:y:2017:i:c:p:215-224.

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2018SAD and stock returns revisited: Nonlinear analysis based on MF-DCCA and Granger test. (2018). Ruan, Qingsong ; Yang, Haiquan ; Lv, Dayong ; Zhang, Manqian. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:509:y:2018:i:c:p:1009-1022.

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2018Bitcoin and global financial stress: A copula-based approach to dependence and causality in the quantiles. (2018). GUPTA, RANGAN ; Wang, Shixuan ; Roubaud, David ; Marco, Chi Keung ; Bouri, Elie. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:69:y:2018:i:c:p:297-307.

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2018Extreme co-movements and dependencies among major international exchange rates: A copula approach. (2018). Albulescu, Claudiu ; Tiwari, Aviral Kumar ; Goyeau, Daniel ; Aubin, Christian. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:69:y:2018:i:c:p:56-69.

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2017Modeling and forecasting the volatility of carbon dioxide emission allowance prices: A review and comparison of modern volatility models. (2017). GUPTA, RANGAN ; Segnon, Mawuli ; Lux, Thomas. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:69:y:2017:i:c:p:692-704.

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2017Realized volatility forecast of agricultural futures using the HAR models with bagging and combination approaches. (2017). Yang, KE ; Li, Steven ; Chen, Langnan ; Tian, Fengping . In: International Review of Economics & Finance. RePEc:eee:reveco:v:49:y:2017:i:c:p:276-291.

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2018Intraday price discovery analysis in the foreign exchange market of an emerging economy: Mexico. (2018). Martinez, Valeria ; Tse, Yiuman. In: Research in International Business and Finance. RePEc:eee:riibaf:v:45:y:2018:i:c:p:271-284.

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2018Shipping equity risk behavior and portfolio management. (2018). Pouliasis, Panos K ; Visvikis, Ilias D ; Kyriakou, Ioannis ; Papapostolou, Nikos C. In: Transportation Research Part A: Policy and Practice. RePEc:eee:transa:v:116:y:2018:i:c:p:178-200.

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2017LIQUIDITY ADJUSTED VALUE AT RISK: INTEGRATING THE UNCERTAINTY IN DEPTH AND TIGHTNESS. (2017). Evren, Burak ; Uslu, Levent C. In: Eurasian Journal of Business and Management. RePEc:ejn:ejbmjr:v:5:y:2017:i:1:p:55-69.

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2018Detecting Periods of Exuberance: A Look at the Role of Aggregation with an Application to House Prices. (2018). Pavlidis, Efthymios ; Martínez García, Enrique ; Grossman, Valerie ; Martinez-Garcia, Enrique. In: Globalization and Monetary Policy Institute Working Paper. RePEc:fip:feddgw:325.

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2018Electricity Sales Forecasting Using Hybrid Autoregressive Integrated Moving Average and Soft Computing Approaches in the Absence of Explanatory Variables. (2018). Shao, Yuehjen E ; Tsai, Yi-Shan. In: Energies. RePEc:gam:jeners:v:11:y:2018:i:7:p:1848-:d:158021.

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2018Effectiveness of Interest Rate Policy of the Fed in Management of Subprime Mortgage Crisis. (2018). Gunay, Samet ; Georgievski, Bojan. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:1:p:9-:d:130475.

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2017A Machine Learning Approach to the Forecast Combination Puzzle. (2017). Mandel, Antoine ; Sani, Amir. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-01317974.

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2019Inflation targeting and the forward bias puzzle in emerging countries. (2019). Coulibaly, Dramane ; Kempf, Hubert . In: Post-Print. RePEc:hal:journl:hal-01877454.

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2018Dynamic connectedness of global currencies: a conditional Granger-causality approach. (2018). Nguyen, Duc Khuong ; Martin, Franck ; Le, Tan. In: Working Papers. RePEc:hal:wpaper:hal-01806733.

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2018Has Macroeconomic Forecasting changed after the Great Recession? - Panel-based Evidence on Accuracy and Forecaster Behaviour from Germany. (2018). Fritsche, Ulrich ; Muller, Karsten ; Dopke, Jorg. In: Macroeconomics and Finance Series. RePEc:hep:macppr:201803.

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2017Energy Consumption and Economic Growth: Further Evidence from Taiwan. (2017). Kao, Chung-Wei ; Wan, Jer-Yuh . In: International Journal of Economics and Finance. RePEc:ibn:ijefaa:v:9:y:2017:i:7:p:165-178.

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2017On the term structure of South African interest rates: cointegration and threshold adjustment. (2017). Iyke, Bernard Njindan. In: International Journal of Sustainable Economy. RePEc:ids:ijsuse:v:9:y:2017:i:4:p:300-321.

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2017Analysis of Dynamic Correlation of Japanese Stock Returns with Network Clustering. (2017). Isogai, Takashi. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:24:y:2017:i:3:d:10.1007_s10690-017-9230-5.

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2017Do professional forecasters behave as if they believed in the New Keynesian Phillips Curve for the euro area?. (2017). Lopez-Perez, Victor . In: Empirica. RePEc:kap:empiri:v:44:y:2017:i:1:d:10.1007_s10663-016-9314-x.

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2017Efficiency and Volatility of the Stock Market in Bangladesh: A Macroeconometric Analysis. (2017). Abu, MD. In: Turkish Economic Review. RePEc:ksp:journ2:v:4:y:2017:i:2:p:239-249.

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2017A simple nonlinear predictive model for stock returns. (2017). GAO, Jiti ; Cai, Biqing. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2017-18.

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2017Linear and nonlinear predictability in investment style factors: multivariate evidence. (2017). Guidolin, Massimo ; Chincoli, Francesco . In: Journal of Asset Management. RePEc:pal:assmgt:v:18:y:2017:i:6:d:10.1057_s41260-017-0048-5.

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2017Inflation Persistence Before and After Inflation Targeting: A Fractional Integration Approach. (2017). Miller, Stephen ; Canarella, Giorgio. In: Eastern Economic Journal. RePEc:pal:easeco:v:43:y:2017:i:1:d:10.1057_eej.2015.36.

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2018AGGREGATE CONSUMPTION IN PAKISTAN: Revisiting the Permanent-Income Hypothesis under Adaptive Expectation Model. (2018). Ammad, Syed ; Ahmed, Qazi Masood. In: Pakistan Journal of Applied Economics. RePEc:pje:journl:article28sumiii.

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2017Dependence of Stock Markets with Gold and Bonds under Bullish and Bearish Market States. (2017). Shahzad, Syed Jawad Hussain ; Shahbaz, Muhammad ; Hussain, Syed Jawad ; Ali, Azwadi ; Raza, Naveed. In: MPRA Paper. RePEc:pra:mprapa:78595.

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2017Asymmetries in Yield Curves: Some Empirical Evidence from Ghana. (2017). . In: MPRA Paper. RePEc:pra:mprapa:79155.

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2017Are linear models really unuseful to describe business cycle data?. (2017). Silva Lopes, Artur ; Zsurkis, Gabriel Florin . In: MPRA Paper. RePEc:pra:mprapa:79413.

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2017Assessing the Current Account Sustainability in ECCAS economies: A Dual Cointegration Analysis. (2017). Kane, Gilles Quentin ; AMBA, Marius ; Quentin, Kane Gilles ; Mbratana, Taoufiki. In: MPRA Paper. RePEc:pra:mprapa:79942.

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2017Conditional Market Timing in the Mutual Fund Industry. (2017). Tchamyou, Vanessa ; Asongu, Simplice. In: MPRA Paper. RePEc:pra:mprapa:82633.

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2018Do both demand-following and supply-leading theories hold true in developing countries?. (2018). Chow, Sheung Chi ; Wong, Wing-Keung ; Vieito, Joo Paulo. In: MPRA Paper. RePEc:pra:mprapa:87641.

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2017Bitcoin and Global Financial Stress: A Copula-Based Approach to Dependence and Causality-in-Quantiles. (2017). Roubaud, David ; Lau, Chi Keung ; GUPTA, RANGAN ; Bouri, Elie ; Wang, Shixuan ; Marco, Chi Keung. In: Working Papers. RePEc:pre:wpaper:201750.

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2017The role of indicator selection in nowcasting euro-area GDP in pseudo-real time. (2017). Golinelli, Roberto ; Pappalardo, Carmine ; Girardi, Alessandro . In: Empirical Economics. RePEc:spr:empeco:v:53:y:2017:i:1:d:10.1007_s00181-016-1151-z.

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2017Co-movements between public and private wages in the EU: what factors and with what policy implications?. (2017). Turrini, Alessandro ; Marzinotto, Benedicta. In: IZA Journal of European Labor Studies. RePEc:spr:izaels:v:6:y:2017:i:1:d:10.1186_s40174-016-0074-1.

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2017Value at risk forecasting for volatility index. (2017). Park, Seul-Ki ; Shin, Dong Wan ; Choi, Ji-Eun. In: Applied Economics Letters. RePEc:taf:apeclt:v:24:y:2017:i:21:p:1613-1620.

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2017Safe haven or contagion? The disparate effects of Euro-zone crises on non-Euro-zone neighbours. (2017). Pentecost, Eric ; Willett, Thomas ; Du, Wenti ; Bird, Graham. In: Applied Economics. RePEc:taf:applec:v:49:y:2017:i:59:p:5895-5904.

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2017Fourier--type tests involving martingale difference processes. (2017). Hlavka, Zdenk ; Meintanis, Simos G ; Kirch, Claudia ; Hukova, Marie. In: Econometric Reviews. RePEc:taf:emetrv:v:36:y:2017:i:4:p:468-492.

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2017Assessing point forecast accuracy by stochastic error distance. (2017). Shin, Minchul ; Diebold, Francis X. In: Econometric Reviews. RePEc:taf:emetrv:v:36:y:2017:i:6-9:p:588-598.

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2017Nonparametric Knn estimation with monotone constraints. (2017). Li, Zheng ; Liu, Guannan. In: Econometric Reviews. RePEc:taf:emetrv:v:36:y:2017:i:6-9:p:988-1006.

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2017Risk forecasting in (T)GARCH models with uncorrelated dependent innovations. (2017). Beckers, Benjamin ; Seidel, Moritz ; Herwartz, Helmut. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:1:p:121-137.

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2017Forecasting Value-at-Risk under Temporal and Portfolio Aggregation. (2017). van Dijk, Dick ; Kole, Erik ; Opschoor, Anne ; Markwat, Thijs . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20150140.

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2018Dynamic connectedness of global currencies: a conditional Granger-causality approach. (2018). Martin, Franck ; Nguyen, Duc K. In: Economics Working Paper Archive (University of Rennes 1 & University of Caen). RePEc:tut:cremwp:2018-04.

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2018Prudence and preference for flexibility gain. (2018). Danau, Daniel. In: Economics Working Paper Archive (University of Rennes 1 & University of Caen). RePEc:tut:cremwp:2018-05.

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2017Asymmetric arbitrage trading on offshore and onshore renminbi markets. (2017). Eraslan, Sercan . In: Discussion Papers. RePEc:zbw:bubdps:132017.

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2018A multicointegration model of global climate change. (2018). Stern, David ; Csereklyei, Zsuzsanna ; Bruns, Stephan B. In: Center for European, Governance and Economic Development Research Discussion Papers. RePEc:zbw:cegedp:336.

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2018Vertical price transmission in the Egyptian tomato sector after the Arab Spring. (2018). Ahmed, Osama. In: EconStor Open Access Articles. RePEc:zbw:espost:182011.

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2018Rethinking Policy Evaluation – Do Simple Neural Nets Bear Comparison with Synthetic Control Method?. (2018). Steinkraus, Arne. In: EconStor Preprints. RePEc:zbw:esprep:177390.

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2018Price regulations and price adjustment dynamics: Evidence from the Austrian retail fuel market. (2018). Fasoula, Evanthia ; Schweikert, Karsten. In: Hohenheim Discussion Papers in Business, Economics and Social Sciences. RePEc:zbw:hohdps:082018.

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2017Are linear models really unuseful to describe business cycle data?. (2017). Lopes, Artur Silva ; Zsurkis, Gabriel Florin . In: Economics Discussion Papers. RePEc:zbw:ifwedp:20175.

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2018Theories, techniques and the formation of German business cycle forecasts: Evidence from a survey of professional forecasters. (2018). Dopke, Jorg ; Fritsche, Ulrich ; Waldhof, Gabi. In: Annual Conference 2018 (Freiburg, Breisgau): Digital Economy. RePEc:zbw:vfsc18:181617.

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Works by Tae Hwy Lee:


YearTitleTypeCited
2011Using the Yield Curve in Forecasting Output Growth and In?flation In: CREATES Research Papers.
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2012Stein-Rule Estimation and Generalized Shrinkage Methods for Forecasting Using Many Predictors In: CREATES Research Papers.
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2012Lets Do It Again: Bagging Equity Premium Predictors In: CREATES Research Papers.
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2012Let´s do it again: bagging equity premium predictors.(2012) In: Textos para discussão.
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1992Stock-Flow Relationships in U.S. Housing Construction. In: Oxford Bulletin of Economics and Statistics.
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article14
2013Testing for Neglected Nonlinearity Using Artificial Neural Networks with Many Randomized Hidden Unit Activations In: Journal of Time Series Econometrics.
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2014Testing for Neglected Nonlinearity Using Artificial Neural Networks with Many Randomized Hidden Unit Activations.(2014) In: Working Papers.
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This paper has another version. Agregated cites: 0
paper
2001Neural Network Test and Nonparametric Kernel Test for Neglected Nonlinearity in Regression Models In: Studies in Nonlinear Dynamics & Econometrics.
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article1
2000Nonparametric Bootstrap Tests for Neglected Nonlinearity in Time Series Regression Models In: Working papers.
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paper5
1994Uncertainty in Sales and Inventory Behaviour in the U.S. Trade Sectors. In: Canadian Journal of Economics.
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article4
2007Permanent and transitory components of GDP and stock prices: further analysis In: UC3M Working papers. Economics.
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paper1
2008Permanent and transitory components of GDP and stock prices: further analysis.(2008) In: Macroeconomics and Finance in Emerging Market Economies.
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article
2003DIAGNOSTIC CHECKING FOR THE ADEQUACY OF NONLINEAR TIME SERIES MODELS In: Econometric Theory.
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article20
2004Bagging Binary Predictors for Time Series In: Econometric Society 2004 Far Eastern Meetings.
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2004Jumps in Rank and Expected Returns. Introducing Varying Cross-sectional Risk In: Econometric Society 2004 North American Winter Meetings.
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2004Generalized (Cross) Spectral Tests for Optimal Forecasts and Conditional Predictive Ability Under Generalized Loss Functions In: Econometric Society 2004 North American Winter Meetings.
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1995Disequilibrium and uncertainty in cointegrated systems: Some empirical evidence In: Economics Letters.
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article0
2006Bagging binary and quantile predictors for time series In: Journal of Econometrics.
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article15
2009Copula-based multivariate GARCH model with uncorrelated dependent errors In: Journal of Econometrics.
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article53
2014Nonparametric and semiparametric regressions subject to monotonicity constraints: Estimation and forecasting In: Journal of Econometrics.
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article3
2014Nonparametric and Semiparametric Regressions Subject to Monotonicity Constraints: Estimation and Forecasting.(2014) In: Working Papers.
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This paper has another version. Agregated cites: 3
paper
1993Testing for neglected nonlinearity in time series models : A comparison of neural network methods and alternative tests In: Journal of Econometrics.
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article165
1996Cointegration tests with conditional heteroskedasticity In: Journal of Econometrics.
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article70
1998Pitfalls in testing for long run relationships In: Journal of Econometrics.
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article120
1995Pitfalls in Testing for Long Run Relationships..(1995) In: Boston University - Department of Economics.
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2014Granger-causality in quantiles between financial markets: Using copula approach In: International Review of Financial Analysis.
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2014Granger-Causality in Quantiles between Financial Markets: Using Copula Approach.(2014) In: Working Papers.
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paper
2007Optimality of the RiskMetrics VaR model In: Finance Research Letters.
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article3
2004Forecasting volatility: A reality check based on option pricing, utility function, value-at-risk, and predictive likelihood In: International Journal of Forecasting.
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article40
2014Asymmetric loss in the Greenbook and the Survey of Professional Forecasters In: International Journal of Forecasting.
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article7
2014Asymmetric Loss in the Greenbook and the Survey of Professional Forecasters.(2014) In: Working Papers.
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This paper has another version. Agregated cites: 7
paper
2002Assessing the risk forecasts for Japanese stock market In: Japan and the World Economy.
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article2
1994Spread and volatility in spot and forward exchange rates In: Journal of International Money and Finance.
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article30
1996The international transmission of information in Eurodollar futures markets: a continuously trading market hypothesis In: Journal of International Money and Finance.
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article21
1995Relative Power of t Type Tests of Stationary and Unit Root Processes. In: Boston University - Department of Economics.
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paper1
1995On the Robustness of Cointegration Tests when Series Are Fractionally Integrated. In: The A. Gary Anderson Graduate School of Management.
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paper5
2000On the robustness of cointegration tests when series are fractionally intergrated.(2000) In: Journal of Applied Statistics.
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article
2013Forecasting Value-at-Risk Using High-Frequency Information In: Econometrics.
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article4
2014Forecasting Value-at-Risk Using High Frequency Information.(2014) In: Working Papers.
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This paper has another version. Agregated cites: 4
paper
2008Jumps in cross-sectional rank and expected returns: a mixture model In: Journal of Applied Econometrics.
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article2
1989Investigation of Production, Sales and Inventory Relationships Using Multicointegration and Non-symmetric Error Correction Models. In: Journal of Applied Econometrics.
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article147
2006Evaluating predictive performance of value-at-risk models in emerging markets: a reality check In: Journal of Forecasting.
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article70
2007Comparing 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; s In: Journal of Forecasting.
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article18
1996Stock Adjustment for Multicointegrated Series. In: Empirical Economics.
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article8
1999The effect of aggregation on nonlinearity In: Econometric Reviews.
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article17
2010To Combine Forecasts or to Combine Information? In: Econometric Reviews.
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article26
2009To Combine Forecasts or to Combine Information?.(2009) In: Working Papers.
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This paper has another version. Agregated cites: 26
paper
2003Inference on Predictability of Foreign Exchange Rates via Generalized Spectrum and Nonlinear Time Series Models In: The Review of Economics and Statistics.
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article42
2004ERRATUM: Inference on Predictability of Foreign Exchange Rates via Generalized Spectrum and Nonlinear Time Series Models In: The Review of Economics and Statistics.
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article0
2008Nonlinear Time Series in Financial Forecasting In: Working Papers.
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paper1
2014Forecasting Equity Premium: Global Historical Average versus Local Historical Average and Constraints In: Working Papers.
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paper1
2014Forecasting Realized Volatility Using Subsample Averaging In: Working Papers.
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2013Bagging Constrained Equity Premium Predictors In: Working Papers.
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paper2
2012Testing for Neglected Nonlinearity Using Regularized Artificial Neural Networks In: Working Papers.
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2012Money-Income Granger-Causality in Quantiles In: Working Papers.
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paper3
2015Finding SPF Percentiles Closest to Greenbook In: Working Papers.
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