Tae Hwy Lee : Citation Profile

Are you Tae Hwy Lee?

University of California-Riverside

17

H index

21

i10 index

1486

Citations

RESEARCH PRODUCTION:

44

Articles

47

Papers

2

Chapters

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   33 years (1989 - 2022). See details.
   Cites by year: 45
   Journals where Tae Hwy Lee has often published
   Relations with other researchers
   Recent citing documents: 140.    Total self citations: 27 (1.78 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ple784
   Updated: 2023-03-02    RAS profile: 2022-09-26    
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Relations with other researchers

Works with:

Ullah, Aman (13)

Parsaeian, Shahnaz (7)

Hong, Yongmiao (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:

Kapetanios, George (25)

Pereira, Alfredo (19)

GUPTA, RANGAN (18)

Mohaddes, Kamiar (18)

Pesaran, M (16)

van Dijk, Dick (14)

Kouretas, Georgios (12)

Bouri, Elie (12)

Teräsvirta, Timo (11)

Gómez Biscarri, Javier (11)

Andraz, Jorge (11)

Cites to:

Granger, Clive (45)

Diebold, Francis (39)

Engle, Robert (35)

White, Halbert (33)

Timmermann, Allan (32)

Watson, Mark (31)

Bollerslev, Tim (31)

Pesaran, M (28)

West, Kenneth (24)

Chernozhukov, Victor (20)

Stock, James (19)

Main data

Where Tae Hwy Lee has published?

Journals with more than one article published# docs
Journal of Econometrics7
Journal of International Money and Finance2
Economics Letters2
International Journal of Forecasting2
Journal of Applied Econometrics2
The Review of Economics and Statistics2
Journal of Forecasting2
Econometric Reviews2
Econometrics2

Working Papers Series with more than one paper published# docs
Working Papers / University of California at Riverside, Department of Economics26
Papers / arXiv.org4
WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS / University of Kansas, Department of Economics3
DES - Working Papers. Statistics and Econometrics. WS / Universidad Carlos III de Madrid. Departamento de Estadística2
Econometric Society 2004 North American Winter Meetings / Econometric Society2

Recent works citing Tae Hwy Lee (2022 and 2021)

YearTitle of citing document
2022“An application of deep learning for exchange rate forecasting”. (2022). Sorić, Petar ; Claveria, Oscar ; Torra, Salvador ; Monte, Enric. In: AQR Working Papers. RePEc:aqr:wpaper:202201.

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2022Cryptocurrency Trading: A Comprehensive Survey. (2020). Wu, Fan ; Martinez-Regoband, David ; Li, Lingbo ; Kanthan, Leslie ; Kong, Hoiliong ; Basios, Michail ; Ventre, Carmine ; Fang, Fan. In: Papers. RePEc:arx:papers:2003.11352.

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2021Binary Choice with Asymmetric Loss in a Data-Rich Environment: Theory and an Application to Racial Justice. (2020). Babii, Andrii ; Chen, XI ; Kumar, Rohit ; Ghysels, Eric. In: Papers. RePEc:arx:papers:2010.08463.

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2021Using mixed-frequency and realized measures in quantile regression. (2020). Gallo, Giampiero ; Candila, Vincenzo ; Petrella, Lea. In: Papers. RePEc:arx:papers:2011.00552.

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2021Asset volatility forecasting:The optimal decay parameter in the EWMA model. (2021). Araneda, Axel A. In: Papers. RePEc:arx:papers:2105.14382.

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2021Big Data Information and Nowcasting: Consumption and Investment from Bank Transactions in Turkey. (2021). Rodrigo, Tomasa ; Ortiz, Alvaro ; Isa, Berk Orkun ; Mert, Seda Guler ; Barlas, Ali B ; Yazgan, Ege ; Soybilgen, Baris. In: Papers. RePEc:arx:papers:2107.03299.

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2022Dynamic Portfolio Optimization with Inverse Covariance Clustering. (2022). Aste, Tomaso ; Wang, Yuanrong. In: Papers. RePEc:arx:papers:2112.15499.

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2022Sparsification and Filtering for Spatial-temporal GNN in Multivariate Time-series. (2022). Wang, Yuanrong ; Aste, Tomaso. In: Papers. RePEc:arx:papers:2203.03991.

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2022LASSO Principal Component Averaging -- a fully automated approach for point forecast pooling. (2022). Maciejowska, Katarzyna ; Uniejewski, Bartosz. In: Papers. RePEc:arx:papers:2207.04794.

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2023Hierarchical Regularizers for Reverse Unrestricted Mixed Data Sampling Regressions. (2023). Hecq, Alain ; Wilms, Ines ; Ternes, Marie. In: Papers. RePEc:arx:papers:2301.10592.

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2021Impacts of COVID?19 and Price Transmission in U.S. Meat Markets. (2021). Ramsey, Austin ; Hahn, William ; Holt, Matthew T ; Goodwin, Barry K. In: Agricultural Economics. RePEc:bla:agecon:v:52:y:2021:i:3:p:441-458.

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2021An Extensive Comparison of Some Well?Established Value at Risk Methods. (2021). Lettieri, Davi ; Ferioli, Eduardo ; Calmon, Wilson ; Pizzinga, Adrian ; Soares, Johann. In: International Statistical Review. RePEc:bla:istatr:v:89:y:2021:i:1:p:148-166.

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2021Nowcasting South African gross domestic product using a suite of statistical models. (2021). Steenkamp, Daan ; Botha, Byron ; van Jaarsveld, Rossouw ; Reid, Geordie ; Olds, Tim. In: South African Journal of Economics. RePEc:bla:sajeco:v:89:y:2021:i:4:p:526-554.

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2022Bayesian multivariate Beveridge–Nelson decomposition of I(1) and I(2) series with cointegration. (2022). Yasutomo, MURASAWA . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:26:y:2022:i:3:p:387-415:n:4.

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2021Estimating long run effects and the exponent of cross-sectional dependence: an update to xtdcce2. (2021). Ditzen, Jan. In: BEMPS - Bozen Economics & Management Paper Series. RePEc:bzn:wpaper:bemps81.

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2022Climate Change and Economic Activity: Evidence from U.S. States. (2022). Yang, Jui-Chung ; Mohaddes, Kamiar ; Yang, J-C., ; Raissi, M ; Pesaran, M H ; Ng, R. N. C., . In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2205.

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2022.

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2021Forecasting Realized Volatility Using Machine Learning and Mixed-Frequency Data (the Case of the Russian Stock Market). (2021). Leonova, Aleksandra ; Elizarov, Pavel ; Pyrlik, Vladimir. In: CERGE-EI Working Papers. RePEc:cer:papers:wp713.

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2022Climate Change and Economic Activity: Evidence from U.S. States. (2022). Mohaddes, Kamiar ; Yang, Jui-Chung ; Raissi, Mehdi ; Pesaran, Hashem M. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9542.

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2022Financial-market volatility prediction with multiplicative Markov-switching MIDAS components. (2022). Wilfling, Bernd ; Segnon, Mawuli ; Schulte-Tillman, Bjoern. In: CQE Working Papers. RePEc:cqe:wpaper:9922.

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2021On Multicointegration. (2021). PEter, ; Kheifets, Igor. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2306.

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2021Efficient Estimation of Average Derivatives in NPIV Models: Simulation Comparisons of Neural Network Estimators. (2021). Tamer, Elie ; Chen, Xiaohong. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2319.

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2021Nonlinear Cointegration and Asymmetric Adjustement between Economic policy uncertainty and Gold price: Evidence from the United States. (2021). Mighri, Zouheir ; el Abed, Riadh. In: Economics Bulletin. RePEc:ebl:ecbull:eb-21-00151.

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2021Risk aversion and Bitcoin returns in extreme quantiles. (2021). GUPTA, RANGAN ; Roubaud, David ; Marco, Chi Keung ; Bouri, Elie. In: Economics Bulletin. RePEc:ebl:ecbull:eb-21-00863.

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2022Temporal networks in the analysis of financial contagion. (2022). Vouldis, Angelos ; Nocciola, Luca ; Franch, Fabio. In: Working Paper Series. RePEc:ecb:ecbwps:20222667.

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2022On the Effectiveness of Stock Index Futures for Tail Risk Protection. (2022). Zouari, Hammadi. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2022-03-5.

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2021Predicting risk in energy markets: Low-frequency data still matter. (2021). Výrost, Tomᚠ; Vrost, Toma ; Todorova, Neda ; Lyocsa, Tefan. In: Applied Energy. RePEc:eee:appene:v:282:y:2021:i:pa:s0306261920315567.

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2021Evaluating multiplicative error models: A residual-based approach. (2021). Lu, Wanbo ; Ke, Rui ; Jia, Jing. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:153:y:2021:i:c:s0167947320301778.

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2021Multi-agent-based VaR forecasting. (2021). Poddig, Thorsten ; Fieberg, Christian ; Tubbenhauer, Tobias. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:131:y:2021:i:c:s0165188921001664.

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2021Interdependence between exchange rates: Evidence from multivariate analysis since the financial crisis to the COVID-19 crisis. (2021). Bannour, Nawres ; ben Saad, Mouna ; Boubaker, Heni. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:71:y:2021:i:c:p:592-608.

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2022Improving the accuracy of tail risk forecasting models by combining several realized volatility estimators. (2022). Storti, Giuseppe ; Gerlach, Richard ; Naimoli, Antonio. In: Economic Modelling. RePEc:eee:ecmode:v:107:y:2022:i:c:s026499932100290x.

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2021Bayesian estimation for a semiparametric nonlinear volatility model. (2021). Poskitt, Donald ; Hu, Shuowen ; Zhang, Xibin. In: Economic Modelling. RePEc:eee:ecmode:v:98:y:2021:i:c:p:361-370.

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2021Multiscale financial risk contagion between international stock markets: Evidence from EMD-Copula-CoVaR analysis. (2021). Wang, DA ; Liu, Lan ; Luo, Changqing. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001303.

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2022How does investor attention matter for crude oil prices and returns? Evidence from time-frequency quantile causality analysis. (2022). Hau, Liya ; Yu, Dongwei ; Zhu, Huiming ; Chen, Qitong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821001844.

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2022Using LASSO-family models to estimate the impact of monetary policy on corporate investments. (2022). Caraiani, Petre. In: Economics Letters. RePEc:eee:ecolet:v:210:y:2022:i:c:s0165176521004420.

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2021Augmented factor models with applications to validating market risk factors and forecasting bond risk premia. (2021). Liao, Yuan ; Ke, Yuan ; Fan, Jianqing. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:269-294.

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2022Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: Applications for financial risk management. (2022). , Amanda ; Thomas, . In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:151-167.

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2022Nonparametric inference for quantile cointegrations with stationary covariates. (2022). Wang, Qiying ; Liang, Han-Ying ; Tu, Yundong. In: Journal of Econometrics. RePEc:eee:econom:v:230:y:2022:i:2:p:453-482.

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2021Lessons learned from development of natural capital accounts in the United States and European Union. (2021). Lauer, Chris ; Johnson, Justin A ; Heris, Mehdi P ; Glynn, Pierre D ; Casey, Frank C ; Vallecillo, Sara ; Voigt, Brian ; Maes, Joachim ; Rhodes, Charles ; la Notte, Alessandra ; Posner, Stephen M ; Shapiro, Carl D ; Ingram, Jane Carter ; Matuszak, John ; Bagstad, Kenneth J. In: Ecosystem Services. RePEc:eee:ecoser:v:52:y:2021:i:c:s2212041621001170.

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Bayesian inference for a single factor copula stochastic volatility model using Hamiltonian Monte Carlo. (2021). Czado, Claudia ; Kreuzer, Alexander. In: Econometrics and Statistics. RePEc:eee:ecosta:v:19:y:2021:i:c:p:130-150.

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2022A nonparametric copula approach to conditional Value-at-Risk. (2022). Dunn, Richard ; Geenens, Gery. In: Econometrics and Statistics. RePEc:eee:ecosta:v:21:y:2022:i:c:p:19-37.

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2022Model averaging for interval-valued data. (2022). Wang, Shouyang ; Alan, ; Zhang, Xinyu ; Sun, Yuying. In: European Journal of Operational Research. RePEc:eee:ejores:v:301:y:2022:i:2:p:772-784.

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2021Modeling the cross-section of stock returns using sensible models in a model pool. (2021). Zhou, Qing ; Liao, Yin ; Chiang, I-Hsuan Ethan ; I-Hsuan Ethan Chiang, . In: Journal of Empirical Finance. RePEc:eee:empfin:v:60:y:2021:i:c:p:56-73.

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2021The predictive power of Nelson–Siegel factor loadings for the real economy. (2021). Ma, Jun ; Jiao, Anqi ; Han, Yang. In: Journal of Empirical Finance. RePEc:eee:empfin:v:64:y:2021:i:c:p:95-127.

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2021China-to-FOB price transmission in the rare earth elements market and the end of Chinese export restrictions. (2021). Seiler, Volker. In: Energy Economics. RePEc:eee:eneeco:v:102:y:2021:i:c:s0140988321003716.

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2021Application of bagging in day-ahead electricity price forecasting and factor augmentation. (2021). Yildirim, Dilem ; Ozen, Kadir. In: Energy Economics. RePEc:eee:eneeco:v:103:y:2021:i:c:s0140988321004448.

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2021Long-term macroeconomic effects of climate change: A cross-country analysis. (2021). Yang, Jui-Chung ; Mohaddes, Kamiar ; Kahn, Matthew ; Raissi, Mehdi ; Pesaran, Hashem M. In: Energy Economics. RePEc:eee:eneeco:v:104:y:2021:i:c:s0140988321004898.

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2022Forecasting crude oil volatility with uncertainty indicators: New evidence. (2022). Umar, Muhammad ; Chen, Zhonglu ; Liang, Chao. In: Energy Economics. RePEc:eee:eneeco:v:108:y:2022:i:c:s0140988322001141.

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2022Forecasting crude oil prices with shrinkage methods: Can nonconvex penalty and Huber loss help?. (2022). Zhang, Yue-Jun ; Xing, Li-Min. In: Energy Economics. RePEc:eee:eneeco:v:110:y:2022:i:c:s0140988322001852.

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2022Forecasting volatility of EUA futures: New evidence. (2022). Umar, Muhammad ; Liang, Chao ; Huang, Yisu ; Guo, Xiaozhu. In: Energy Economics. RePEc:eee:eneeco:v:110:y:2022:i:c:s0140988322001918.

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2022Forecasting renewable energy stock volatility using short and long-term Markov switching GARCH-MIDAS models: Either, neither or both?. (2022). Wang, LU ; Wu, Jiangbin ; Cao, Yang ; Hong, Yanran. In: Energy Economics. RePEc:eee:eneeco:v:111:y:2022:i:c:s0140988322002237.

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2021Asymmetric effects of oil shocks on carbon allowance price: Evidence from China. (2021). Wen, Fenghua ; Zhou, Min ; Zheng, Yan. In: Energy Economics. RePEc:eee:eneeco:v:97:y:2021:i:c:s0140988321000888.

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2021Tanker freight rates and economic policy uncertainty: A wavelet-based copula approach. (2021). Bai, Xiwen. In: Energy. RePEc:eee:energy:v:235:y:2021:i:c:s0360544221016315.

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2021A three-tiered nested analytical approach to financial integration: The case of emerging and frontier equity markets. (2021). Guidi, Francesco ; Cagliesi, Gabriella. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521921000417.

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2022Impacts of COVID-19 outbreak, macroeconomic and financial stress factors on price spillovers among green bond. (2022). Vo, Xuan Vinh ; Ur, Mobeen ; Mensi, Walid. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s105752192200093x.

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2022A volatility model based on adaptive expectations: An improvement on the rational expectations model. (2022). Li, Yan ; Zhao, Yang ; Yao, Yuan. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s1057521922001636.

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2022Oil futures volatility predictability: New evidence based on machine learning models11All the authors contribute to the paper equally.. (2022). Zhang, Zehui ; Xu, Jin ; Ma, Feng ; Lu, Xinjie. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002538.

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2021Time-varying risk aversion and forecastability of the US term structure of interest rates. (2021). GUPTA, RANGAN ; Bouri, Elie ; Subramaniam, Sowmya ; Majumdar, Anandamayee. In: Finance Research Letters. RePEc:eee:finlet:v:42:y:2021:i:c:s1544612321000052.

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2022A Value-at-Risk forecastability indicator in the framework of a Generalized Autoregressive Score with “Asymmetric Laplace Distribution”. (2022). Roxana, Ioan ; Maria, Dima Tefana ; Bogdan, Dima. In: Finance Research Letters. RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002154.

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2022Forecasting tail risk for Bitcoin: A dynamic peak over threshold approach. (2022). Tan, Changchun ; Yang, Luyao ; Ke, Rui. In: Finance Research Letters. RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322003129.

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2021Forecasting realised volatility: Does the LASSO approach outperform HAR?. (2021). McMillan, David G ; Kambouroudis, Dimos ; Ding, YI. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:74:y:2021:i:c:s1042443121001050.

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2021Treating and Pruning: New approaches to forecasting model selection and combination using prediction intervals. (2021). Jeon, Jooyoung ; Cyrino, Fernando Luiz ; Meira, Erick. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:2:p:547-568.

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2021Mixed random forest, cointegration, and forecasting gasoline prices. (2021). Wang, Dandan ; Escribano, Alvaro. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:4:p:1442-1462.

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2022Forecasting: theory and practice. (2022). Shang, Han Lin ; Rubaszek, Michał ; Martinez, Andrew ; Grossi, Luigi ; Franses, Philip Hans ; Fiszeder, Piotr ; Clements, Michael ; Castle, Jennifer ; Carnevale, Claudio ; Kolassa, Stephan ; Thorarinsdottir, Thordis ; Guo, Xiaojia ; Reade, James J ; Petropoulos, Fotios ; Nikolopoulos, Konstantinos ; Koehler, Anne B ; Thomakos, Dimitrios ; Browell, Jethro ; Rapach, David E ; Modis, Theodore ; Kang, Yanfei ; Tashman, Len ; Boylan, John E ; Gunter, Ulrich ; Ramos, Patricia ; Ellison, Joanne ; Meeran, Sheik ; Richmond, Victor ; Talagala, Thiyanga S ; Bijak, Jakub ; Guidolin, Massimo ; Pinson, Pierre ; Dokumentov, Alexander ; Jeon, Jooyoung ; Bessa, Ricardo J ; Pedregal, Diego J ; de Baets, Shari ; Ziel, Florian ; Syntetos, Aris A ; Bergmeir, Christoph
2021A Practical Guide to harnessing the HAR volatility model. (2021). Clements, Adam ; Daniel, . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621002417.

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2021Analyzing the (a)symmetric impacts of oil price, economic policy uncertainty, and global geopolitical risk on exchange rate. (2021). Elian, Mohammad I ; Kisswani, Khalid M. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:24:y:2021:i:c:s1703494921000098.

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2021Does the twin deficit hypothesis exist in India? Empirical evidence from an asymmetric non-linear cointegration approach. (2021). Ramana, R V ; Behera, Smruti Ranjan ; Mallick, Lingaraj. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:24:y:2021:i:c:s1703494921000244.

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2021Stock market comovements: Evidence from the COVID-19 pandemic. (2021). Zehri, Chokri. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:24:y:2021:i:c:s1703494921000335.

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2021Stock market volatility on shipping stock prices: GARCH models approach. (2021). Mokhtar, Kasypi ; Mhd, Siti Marsila. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:24:y:2021:i:c:s1703494921000372.

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2021Empirical analysis of Chiles copper boom and the Dutch Disease through causality and cointegration tests. (2021). Kumral, Mustafa ; Maraon, Matias. In: Resources Policy. RePEc:eee:jrpoli:v:70:y:2021:i:c:s0301420720309260.

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2022GAS and GARCH based value-at-risk modeling of precious metals. (2022). Tiwari, Aviral ; Owusu Junior, Peterson ; Asafo-Adjei, Emmanuel ; Tweneboah, George. In: Resources Policy. RePEc:eee:jrpoli:v:75:y:2022:i:c:s0301420721004645.

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2022Uncertainty and oil volatility: Evidence from shrinkage method. (2022). Li, Pan ; Ma, Feng ; He, Xiaofeng ; Wang, Jiqian. In: Resources Policy. RePEc:eee:jrpoli:v:75:y:2022:i:c:s0301420721004906.

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2022Encoded Value-at-Risk: A machine learning approach for portfolio risk measurement. (2022). Zamani, Shiva ; Tabatabaei, Ehsan ; Moghimi, Mehrdad ; Arian, Hamid. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:202:y:2022:i:c:p:500-525.

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2021Infectious disease-related uncertainty and the safe-haven characteristic of US treasury securities. (2021). GUPTA, RANGAN ; Ji, Qiang ; Bouri, Elie ; Subramaniam, Sowmya. In: International Review of Economics & Finance. RePEc:eee:reveco:v:71:y:2021:i:c:p:289-298.

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2021Measuring risk spillovers from multiple developed stock markets to China: A vine-copula-GARCH-MIDAS model. (2021). Liu, Yezheng ; Xu, Qifa ; Jiang, Cuixia. In: International Review of Economics & Finance. RePEc:eee:reveco:v:75:y:2021:i:c:p:386-398.

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2022Forecasting Pakistan stock market volatility: Evidence from economic variables and the uncertainty index. (2022). Li, Tao ; Ma, Feng ; Guo, Qiang ; Ghani, Maria. In: International Review of Economics & Finance. RePEc:eee:reveco:v:80:y:2022:i:c:p:1180-1189.

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2022Oil price shocks and yield curve dynamics in emerging markets. (2022). GUPTA, RANGAN ; Lucey, Brian ; Karahan, Cenk C ; Cepni, Oguzhan. In: International Review of Economics & Finance. RePEc:eee:reveco:v:80:y:2022:i:c:p:613-623.

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2022Twitter-Based uncertainty and cryptocurrency returns. (2022). Zaremba, Adam ; Demir, Ender ; Marco, Chi Keung ; Aharon, David Y. In: Research in International Business and Finance. RePEc:eee:riibaf:v:59:y:2022:i:c:s0275531921001677.

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2022Forecasting realised volatility from search volume and overnight sentiment: Evidence from China. (2022). Duong, Duy ; Huang, Chengcheng ; Han, Wei ; Wang, Ping. In: Research in International Business and Finance. RePEc:eee:riibaf:v:62:y:2022:i:c:s0275531922001222.

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2022Testing for Granger causality in quantiles between the wage share in income and productive capacity utilization. (2022). Lima, Gilberto Tadeu ; Marques, Andre M. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:62:y:2022:i:c:p:290-312.

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2021The case for negotiated contracts under the transition to a green bus fleet. (2021). Hensher, David A. In: Transportation Research Part A: Policy and Practice. RePEc:eee:transa:v:154:y:2021:i:c:p:255-269.

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2021Freight rate co-movement and risk spillovers in the product tanker shipping market: A copula analysis. (2021). Lee, Jasmine Siu ; Bai, Xiwen. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:149:y:2021:i:c:s1366554521000892.

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2021COVID-19, poverty and inclusive development. (2021). Miedema, Esther ; Cardozo, Mieke Lopes ; van Leynseele, Yves ; Hordijk, Michaela ; van Ewijk, Edith ; Bosch, Hilmer ; Verrest, Hebe ; Asubonteng, Kwabena ; Vegelin, Courtney ; Ros-Tonen, Mirjam ; Scholtens, Joeri ; Bavinck, Maarten ; Rammelt, Crelis ; Gupta, Joyeeta ; Pouw, Nicky. In: World Development. RePEc:eee:wdevel:v:145:y:2021:i:c:s0305750x2100139x.

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2023Dynamic portfolio optimization with inverse covariance clustering. (2023). Aste, Tomaso ; Wang, Yuanrong. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:117701.

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2021Multivariate Analysis of Cryptocurrencies. (2021). Candila, Vincenzo. In: Econometrics. RePEc:gam:jecnmx:v:9:y:2021:i:3:p:28-:d:586873.

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2021Cointegration, Root Functions and Minimal Bases. (2021). Paruolo, Paolo ; Franchi, Massimo. In: Econometrics. RePEc:gam:jecnmx:v:9:y:2021:i:3:p:31-:d:615763.

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2021Tail Dependence between Crude Oil Volatility Index and WTI Oil Price Movements during the COVID-19 Pandemic. (2021). Just, Magorzata ; Echaust, Krzysztof. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:14:p:4147-:d:591470.

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2021Forecasting Volatility and Tail Risk in Electricity Markets. (2021). Storti, Giuseppe ; Naimoli, Antonio. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:7:p:294-:d:582734.

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2021.

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2022.

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2022Sustainability at Auburn University: Assessing Rooftop Solar Energy Potential for Electricity Generation with Remote Sensing and GIS in a Southern US Campus. (2022). Narine, Lana L ; Stack, Victoria. In: Sustainability. RePEc:gam:jsusta:v:14:y:2022:i:2:p:626-:d:719232.

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2022Forecasting the Volatility of European Union Allowance Futures with Climate Policy Uncertainty Using the EGARCH-MIDAS Model. (2022). Yin, Xuebao ; Wu, Xinyu ; Mei, Xueting. In: Sustainability. RePEc:gam:jsusta:v:14:y:2022:i:7:p:4306-:d:787154.

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2021The ICT, Financial Development, Energy Consumption and Economic Growth Nexus in MENA Countries: Panel CS-ARDL Evidence. (2021). MABROUKI, Mohamed ; Dahmani, Mounir ; BEN YOUSSEF, Adel. In: GREDEG Working Papers. RePEc:gre:wpaper:2021-46.

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2021A reality check on the GARCH-MIDAS volatility models. (2021). Awartani, Basel ; Javed, Farrukh ; Virk, Nader. In: Working Papers. RePEc:hhs:oruesi:2021_002.

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2022An application of deep learning for exchange rate forecasting.. (2022). Sorić, Petar ; Claveria, Oscar ; Torra, Salvador ; Monte, Enric. In: IREA Working Papers. RePEc:ira:wpaper:202201.

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2021Intercept Estimation in Nonlinear Selection Models. (2021). Gutknecht, Daniel ; Corradi, Valentina ; Arulampalam, Wiji. In: IZA Discussion Papers. RePEc:iza:izadps:dp14364.

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2023Penalized Model Averaging for High Dimensional Quantile Regressions. (2023). Sun, Yuying ; Cai, Zongwu ; Bao, Haowen. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202302.

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2021Should Deep Learning Models be in High Demand, or Should They Simply be a Very Hot Topic? A Comprehensive Study for Exchange Rate Forecasting. (2021). Arabaci, Ozer ; Yilmaz, Firat Melih. In: Computational Economics. RePEc:kap:compec:v:57:y:2021:i:1:d:10.1007_s10614-020-10047-9.

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2022Inferring Causal Interactions in Financial Markets Using Conditional Granger Causality Based on Quantile Regression. (2022). Yang, Tinggan ; Wang, Yihong ; Cheng, Hong. In: Computational Economics. RePEc:kap:compec:v:59:y:2022:i:2:d:10.1007_s10614-021-10107-8.

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2023Black-Litterman model with copula-based views in mean-CVaR portfolio optimization framework with weight constraints. (2023). Pivnitskaya, Nataliya ; Munir, Qaiser ; Evgeniia, Mikova ; Teplova, Tamara. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:56:y:2023:i:1:d:10.1007_s10644-022-09435-y.

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2021Estimating Policy-Corrected Long-Term and Short-Term Tax Elasticities for the United States, Germany, and the United Kingdom. (2021). unal, umut ; Hayo, Bernd ; Mierzwa, Sascha. In: MAGKS Papers on Economics. RePEc:mar:magkse:202112.

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More than 100 citations found, this list is not complete...

Tae Hwy Lee has edited the books:

YearTitleTypeCited

Works by Tae Hwy Lee:

YearTitleTypeCited
2011Using the Yield Curve in Forecasting Output Growth and In?flation In: CREATES Research Papers.
[Full Text][Citation analysis]		paper3
2012Stein-Rule Estimation and Generalized Shrinkage Methods for Forecasting Using Many Predictors In: CREATES Research Papers.
[Full Text][Citation analysis]		paper6
2012Lets Do It Again: Bagging Equity Premium Predictors In: CREATES Research Papers.
[Full Text][Citation analysis]		paper2
2012Let´s do it again: bagging equity premium predictors.(2012) In: Textos para discussão.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
2022Optimal Portfolio Using Factor Graphical Lasso In: Papers.
[Full Text][Citation analysis]		paper3
2020Optimal Portfolio Using Factor Graphical Lasso.(2020) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		paper
2021Learning from Forecast Errors: A New Approach to Forecast Combinations In: Papers.
[Full Text][Citation analysis]		paper0
2020Learning from Forecast Errors: A New Approach to Forecast Combination.(2020) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2022Inferential Theory for Granular Instrumental Variables in High Dimensions In: Papers.
[Full Text][Citation analysis]		paper0
2022Combining Forecasts under Structural Breaks Using Graphical LASSO In: Papers.
[Full Text][Citation analysis]		paper0
2022Combining Forecasts under Structural Breaks Using Graphical LASSO.(2022) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
1996RELATIVE POWER OF t TYPE TESTS FOR STATIONARY AND UNIT ROOT PROCESSES In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article8
1995Relative Power of t Type Tests of Stationary and Unit Root Processes..(1995) In: Boston University - Department of Economics.
[Citation analysis]
This paper has another version. Agregated cites: 8		paper
1992Stock-Flow Relationships in U.S. Housing Construction. In: Oxford Bulletin of Economics and Statistics.
[Citation analysis]		article17
2021Maximum Entropy Analysis of Consumption-based Capital Asset Pricing Model and Volatility In: Journal of Econometric Methods.
[Full Text][Citation analysis]		article0
2020Maximum Entropy Analysis of Consumption-based Capital Asset Pricing Model and Volatility.(2020) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2013Testing for Neglected Nonlinearity Using Artificial Neural Networks with Many Randomized Hidden Unit Activations In: Journal of Time Series Econometrics.
[Full Text][Citation analysis]		article0
2014Testing for Neglected Nonlinearity Using Artificial Neural Networks with Many Randomized Hidden Unit Activations.(2014) In: Working Papers.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]		article4
2000Nonparametric Bootstrap Tests for Neglected Nonlinearity in Time Series Regression Models In: Working papers.
[Full Text][Citation analysis]		paper5
1994Uncertainty in Sales and Inventory Behaviour in the U.S. Trade Sectors. In: Canadian Journal of Economics.
[Full Text][Citation analysis]		article5
2007Permanent and transitory components of GDP and stock prices: further analysis In: UC3M Working papers. Economics.
[Full Text][Citation analysis]		paper2
2008Permanent and transitory components of GDP and stock prices: further analysis.(2008) In: Macroeconomics and Finance in Emerging Market Economies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		article
1995No lack of relative power of the Dickey-Fuller tests for unit roots In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper0
1996On the robustness of cointegration tests when series are fractionally integrated In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper10
1995On the Robustness of Cointegration Tests when Series Are Fractionally Integrated..(1995) In: The A. Gary Anderson Graduate School of Management.
[Citation analysis]
This paper has another version. Agregated cites: 10		paper
2000On the robustness of cointegration tests when series are fractionally intergrated.(2000) In: Journal of Applied Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10		article
2003DIAGNOSTIC CHECKING FOR THE ADEQUACY OF NONLINEAR TIME SERIES MODELS In: Econometric Theory.
[Full Text][Citation analysis]		article27
2004Bagging Binary Predictors for Time Series In: Econometric Society 2004 Far Eastern Meetings.
[Full Text][Citation analysis]		paper2
2004Jumps in Rank and Expected Returns. Introducing Varying Cross-sectional Risk In: Econometric Society 2004 North American Winter Meetings.
[Full Text][Citation analysis]		paper0
2004Generalized (Cross) Spectral Tests for Optimal Forecasts and Conditional Predictive Ability Under Generalized Loss Functions In: Econometric Society 2004 North American Winter Meetings.
[Citation analysis]		paper0
2018The second-order bias of quantile estimators In: Economics Letters.
[Full Text][Citation analysis]		article3
1995Disequilibrium and uncertainty in cointegrated systems: Some empirical evidence In: Economics Letters.
[Full Text][Citation analysis]		article0
2006Bagging binary and quantile predictors for time series In: Journal of Econometrics.
[Full Text][Citation analysis]		article23
2009Copula-based multivariate GARCH model with uncorrelated dependent errors In: Journal of Econometrics.
[Full Text][Citation analysis]		article72
2014Nonparametric and semiparametric regressions subject to monotonicity constraints: Estimation and forecasting In: Journal of Econometrics.
[Full Text][Citation analysis]		article6
2014Nonparametric and Semiparametric Regressions Subject to Monotonicity Constraints: Estimation and Forecasting.(2014) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6		paper
2021Time-varying model averaging In: Journal of Econometrics.
[Full Text][Citation analysis]		article3
2017Time-varying Model Averaging.(2017) In: Working Papers.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]		article217
1996Cointegration tests with conditional heteroskedasticity In: Journal of Econometrics.
[Full Text][Citation analysis]		article78
1998Pitfalls in testing for long run relationships In: Journal of Econometrics.
[Full Text][Citation analysis]		article132
1995Pitfalls in Testing for Long Run Relationships..(1995) In: Boston University - Department of Economics.
[Citation analysis]
This paper has another version. Agregated cites: 132		paper
2020Combined estimation of semiparametric panel data models In: Econometrics and Statistics.
[Full Text][Citation analysis]		article4
2020Predicting the long-term stock market volatility: A GARCH-MIDAS model with variable selection In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article21
2020Predicting the Long-term Stock Market Volatility: A GARCH-MIDAS Model with Variable Selection.(2020) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 21		paper
2014Granger-causality in quantiles between financial markets: Using copula approach In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article30
2014Granger-Causality in Quantiles between Financial Markets: Using Copula Approach.(2014) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 30		paper
2007Optimality of the RiskMetrics VaR model In: Finance Research Letters.
[Full Text][Citation analysis]		article3
2004Forecasting volatility: A reality check based on option pricing, utility function, value-at-risk, and predictive likelihood In: International Journal of Forecasting.
[Full Text][Citation analysis]		article92
2014Asymmetric loss in the Greenbook and the Survey of Professional Forecasters In: International Journal of Forecasting.
[Full Text][Citation analysis]		article17
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: 17		paper
2002Assessing the risk forecasts for Japanese stock market In: Japan and the World Economy.
[Full Text][Citation analysis]		article3
1994Spread and volatility in spot and forward exchange rates In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article33
1996The international transmission of information in Eurodollar futures markets: a continuously trading market hypothesis In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article25
2019Stein-like Shrinkage Estimation of Panel Data Models with Common Correlated Effects In: Advances in Econometrics.
[Full Text][Citation analysis]		chapter0
2019Variable Selection in Sparse Semiparametric Single Index Models In: Advances in Econometrics.
[Full Text][Citation analysis]		chapter0
2013Forecasting Value-at-Risk Using High-Frequency Information In: Econometrics.
[Full Text][Citation analysis]		article8
2014Forecasting Value-at-Risk Using High Frequency Information.(2014) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8		paper
2018Using the Entire Yield Curve in Forecasting Output and Inflation In: Econometrics.
[Full Text][Citation analysis]		article9
2008Jumps in cross-sectional rank and expected returns: a mixture model In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article3
1989Investigation of Production, Sales and Inventory Relationships Using Multicointegration and Non-symmetric Error Correction Models. In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article285
2006Evaluating predictive performance of value-at-risk models in emerging markets: a reality check In: Journal of Forecasting.
[Full Text][Citation analysis]		article88
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.
[Full Text][Citation analysis]		article19
2021Efficient Combined Estimation under Structural Breaks In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS.
[Full Text][Citation analysis]		paper0
2021Efficient Combined Estimation under Structural Breaks.(2021) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2022Optimal Forecast under Structural Breaks In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS.
[Full Text][Citation analysis]		paper0
2022Optimal Forecast under Structural Breaks.(2022) In: Working Papers.
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2022Optimal forecast under structural breaks.(2022) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 0		article
2022Forecasting under Structural Breaks Using Improved Weighted Estimation In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS.
[Full Text][Citation analysis]		paper0
2022Forecasting under Structural Breaks Using Improved Weighted Estimation.(2022) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
1992On the Predictive Power of the Spread Between Spot and Forward Exchange Rates for Volatility In: Korean Economic Review.
[Full Text][Citation analysis]		article0
1996Stock Adjustment for Multicointegrated Series. In: Empirical Economics.
[Citation analysis]		article9
2017A combined estimator of regression models with measurement errors In: Indian Economic Review.
[Full Text][Citation analysis]		article0
2019Evaluation of the Survey of Professional Forecasters in the Greenbook’s Loss Function In: Journal of Quantitative Economics.
[Full Text][Citation analysis]		article0
2019The Second-Order Asymptotic Properties of Asymmetric Least Squares Estimation In: Sankhya B: The Indian Journal of Statistics.
[Full Text][Citation analysis]		article1
1999The effect of aggregation on nonlinearity In: Econometric Reviews.
[Full Text][Citation analysis]		article21
2010To Combine Forecasts or to Combine Information? In: Econometric Reviews.
[Full Text][Citation analysis]		article45
2009To Combine Forecasts or to Combine Information?.(2009) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 45		paper
2015Forecasting Equity Premium: Global Historical Average Versus Local Historical Average and Constraints In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article4
2014Forecasting Equity Premium: Global Historical Average versus Local Historical Average and Constraints.(2014) In: Working Papers.
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This paper has another version. Agregated cites: 4		paper
2003Inference on Predictability of Foreign Exchange Rates via Generalized Spectrum and Nonlinear Time Series Models In: The Review of Economics and Statistics.
[Full Text][Citation analysis]		article82
2004ERRATUM: Inference on Predictability of Foreign Exchange Rates via Generalized Spectrum and Nonlinear Time Series Models In: The Review of Economics and Statistics.
[Full Text][Citation analysis]		article0
2008Nonlinear Time Series in Financial Forecasting In: Working Papers.
[Full Text][Citation analysis]		paper1
2014Forecasting Realized Volatility Using Subsample Averaging In: Working Papers.
[Full Text][Citation analysis]		paper0
2013Bagging Constrained Equity Premium Predictors In: Working Papers.
[Full Text][Citation analysis]		paper3
2012Testing for Neglected Nonlinearity Using Regularized Artificial Neural Networks In: Working Papers.
[Full Text][Citation analysis]		paper0
2012Money-Income Granger-Causality in Quantiles In: Working Papers.
[Full Text][Citation analysis]		paper12
2015Finding SPF Percentiles Closest to Greenbook In: Working Papers.
[Full Text][Citation analysis]		paper0
2020Estimation of High-Dimensional Dynamic Conditional Precision Matrices with an Application to Forecast Combination In: Working Papers.
[Full Text][Citation analysis]		paper0
2020Exact Distribution of the F-statistic under Heteroskedasticity of Unknown Form for Improved Inference In: Working Papers.
[Full Text][Citation analysis]		paper0
2021Density Forecast of Financial Returns Using Decomposition and Maximum Entropy In: Working Papers.
[Full Text][Citation analysis]		paper0
2022Model Averaging Estimation of Panel Data Models with Many Instruments and Boosting In: Working Papers.
[Full Text][Citation analysis]		paper0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated January, 6 2023. Contact: CitEc Team