Tae Hwy Lee : Citation Profile


Are you Tae Hwy Lee?

University of California-Riverside

15

H index

17

i10 index

990

Citations

RESEARCH PRODUCTION:

36

Articles

27

Papers

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   29 years (1989 - 2018). See details.
   Cites by year: 34
   Journals where Tae Hwy Lee has often published
   Relations with other researchers
   Recent citing documents: 140.    Total self citations: 15 (1.49 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ple784
   Updated: 2019-10-06    RAS profile: 2019-07-14    
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Relations with other researchers


Works with:

Tu, Yundong (4)

Ullah, Aman (3)

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)

Barnett, William (8)

GUPTA, RANGAN (8)

Teräsvirta, Timo (8)

Siliverstovs, Boriss (8)

Andraz, Jorge (8)

Degiannakis, Stavros (8)

Cites to:

Granger, Clive (39)

Diebold, Francis (31)

Timmermann, Allan (23)

Engle, Robert (22)

White, Halbert (22)

West, Kenneth (20)

Bollerslev, Tim (19)

Komunjer, Ivana (17)

Watson, Mark (15)

Hansen, Peter (14)

Pesaran, M (13)

Main data


Where Tae Hwy Lee has published?


Journals with more than one article published# docs
Journal of Econometrics6
Journal of Applied Econometrics2
International Journal of Forecasting2
Econometric Reviews2
Journal of Forecasting2
The Review of Economics and Statistics2
Econometrics2
Journal of International Money and Finance2
Economics Letters2

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
DES - Working Papers. Statistics and Econometrics. WS / Universidad Carlos III de Madrid. Departamento de Estadística2

Recent works citing Tae Hwy Lee (2018 and 2017)


YearTitle of citing document
2017Conditional Market Timing in the Mutual Fund Industry. (2017). Asongu, Simplice A ; Tchamyou, Vanessa S. In: Research Africa Network Working Papers. RePEc:abh:wpaper:17/028.

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2019Forecasting Realized Volatility of Russian stocks using Google Trends and Implied Volatility. (2019). Fantazzini, Dean ; Bazhenov, T. In: Russian Journal of Industrial Economics. RePEc:ach:journl:y:2019:id:724.

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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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2018Measuring Investor Sentiment. (2018). Zhou, Guofu. In: Annual Review of Financial Economics. RePEc:anr:refeco:v:10:y:2018:p:239-259.

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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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2018Randomization Tests for Equality in Dependence Structure. (2018). Seo, Juwon. In: Papers. RePEc:arx:papers:1811.02105.

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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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2019Predicting Stock Market Indices Using Classification Tools. (2019). Lee, Jinpyo ; Park, Minjae. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2019:p:243-256.

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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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2019Dynamics between Oil Prices and UAE Effective Exchange Rates: An Empirical Examination. (2019). Abual-Foul, Bassam M ; Baghestani, Hamid. In: Review of Economics & Finance. RePEc:bap:journl:190207.

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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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2018Information Transmission across European Equity Markets During Crisis Periods. (2018). Chen, Jing ; Buckle, Mike ; McMillan, David G. In: Manchester School. RePEc:bla:manchs:v:86:y:2018:i:6:p:770-788.

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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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2019Big in Japan: Global Volatility Transmission between Assets and Trading Places. (2019). Masuhr, Andreas. In: CQE Working Papers. RePEc:cqe:wpaper:8119.

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2018Value-at-Risk prediction using option-implied risk measures. (2018). Schindelhauer, Kai ; Zhou, Chen. In: DNB Working Papers. RePEc:dnb:dnbwpp:613.

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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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2019Asymmetric Threshold Cointegration and Nonlinear Adjustment between Oil Prices and Financial Stress. (2019). Mighri, Zouheir Ahmed ; al Saggaf, Majid Ibrahim ; Alsaggaf, Majid Ibrahim. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2019-03-10.

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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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2019A model-free consistent test for structural change in regression possibly with endogeneity. (2019). Hong, Yongmiao ; Fu, Zhonghao. In: Journal of Econometrics. RePEc:eee:econom:v:211:y:2019:i:1:p:206-242.

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2018Combining Value-at-Risk forecasts using penalized quantile regressions. (2018). Bayer, Sebastian. In: Econometrics and Statistics. RePEc:eee:ecosta:v:8:y:2018:i:c:p:56-77.

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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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2019A copula-GARCH approach for analyzing dynamic conditional dependency structure between liquefied petroleum gas freight rate, product price arbitrage and crude oil price. (2019). Lee, Jasmine Siu ; Bai, Xiwen. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:412-427.

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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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2019The causal relationship between Bitcoin attention and Bitcoin returns: Evidence from the Copula-based Granger causality test. (2019). Gözgör, Giray ; Demir, Ender ; Downing, Gareth ; Dastgir, Shabbir ; Marco, Chi Keung. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:160-164.

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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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2018Forecasting risk with Markov-switching GARCH models:A large-scale performance study. (2018). Ardia, David ; Catania, Leopoldo ; Boudt, Kris ; Bluteau, Keven. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:4:p:733-747.

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2018Improving time series forecasting: An approach combining bootstrap aggregation, clusters and exponential smoothing. (2018). Dantas, Tiago Mendes ; Cyrino, Fernando Luiz. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:4:p:748-761.

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2019Predictive regressions under asymmetric loss: Factor augmentation and model selection. (2019). Hacioglu Hoke, Sinem ; Demetrescu, Matei. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:1:p:80-99.

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2019Macroeconomic forecasting for Australia using a large number of predictors. (2019). Hyndman, Rob ; Jiang, Bin ; Athanasopoulos, George ; Panagiotelis, Anastasios ; Vahid, Farshid. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:2:p:616-633.

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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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2019Inflation targeting and the forward bias puzzle in emerging countries. (2019). Coulibaly, Dramane ; Kempf, Hubert. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:90:y:2019:i:c:p:19-33.

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2019A review of the evidence on the relation between crude oil prices and petroleum product prices. (2019). Lee, Thomas K ; Hoelscher, Seth A ; Fernando, Chitru S ; Ederington, Louis H ; Linn, Scott C. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:13:y:2019:i:c:p:1-15.

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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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2019Do both demand-following and supply-leading theories hold true in developing countries?. (2019). Chow, Sheung Chi ; Wong, Wing Keung ; Vieito, Joo Paulo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:513:y:2019:i:c:p:536-554.

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2018Bitcoin and global financial stress: A copula-based approach to dependence and causality in the quantiles. (2018). Wang, Shixuan ; Roubaud, David ; GUPTA, RANGAN ; Bouri, Elie ; Marco, Chi Keung. 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). Tiwari, Aviral ; Albulescu, Claudiu ; 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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2018Estimating downside risk in stock returns under structural breaks. (2018). Hood, Matthew ; Malik, Farooq . In: International Review of Economics & Finance. RePEc:eee:reveco:v:58:y:2018:i:c:p:102-112.

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2018Is there a bubble component in government debt? New international evidence. (2018). Chen, Shyh-Wei ; Wu, An-Chi . In: International Review of Economics & Finance. RePEc:eee:reveco:v:58:y:2018:i:c:p:467-486.

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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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2019Modelling volatility of cryptocurrencies using Markov-Switching GARCH models. (2019). Caporale, Guglielmo Maria ; Zekokh, Timur. In: Research in International Business and Finance. RePEc:eee:riibaf:v:48:y:2019:i:c:p:143-155.

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2018Shipping equity risk behavior and portfolio management. (2018). VISVIKIS, ILIAS ; Kyriakou, Ioannis ; Papapostolou, Nikos C ; Pouliasis, Panos K. 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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2019Sustainability of the Brazilian public pebt an analysis using multicointegration. (2019). Cysne, Rubens ; Campos, Eduardo Lima. In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE). RePEc:fgv:epgewp:805.

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2019Sustainability of Brazilian public debt: analysis of a possible structural break in the recent period. (2019). Cysne, Rubens ; Campos, Eduardo Lima. In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE). RePEc:fgv:epgewp:806.

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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 Institute Working Papers. 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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2018Use of Google Trends Data in Banque de France Monthly Retail Trade Surveys. (2018). Robin, Franois . In: Economie et Statistique / Economics and Statistics. RePEc:nse:ecosta:ecostat_2018_505-506_3.

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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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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.
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paper2
2012Stein-Rule Estimation and Generalized Shrinkage Methods for Forecasting Using Many Predictors In: CREATES Research Papers.
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paper1
2012Lets Do It Again: Bagging Equity Premium Predictors In: CREATES Research Papers.
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paper2
2012Let´s do it again: bagging equity premium predictors.(2012) In: Textos para discussão.
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This paper has another version. Agregated cites: 2
paper
1996RELATIVE POWER OF t TYPE TESTS FOR STATIONARY AND UNIT ROOT PROCESSES In: Journal of Time Series Analysis.
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article1
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: 1
paper
1992Stock-Flow Relationships in U.S. Housing Construction. In: Oxford Bulletin of Economics and Statistics.
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article15
2013Testing for Neglected Nonlinearity Using Artificial Neural Networks with Many Randomized Hidden Unit Activations In: Journal of Time Series Econometrics.
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article0
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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article5
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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This paper has another version. Agregated cites: 1
article
1995No lack of relative power of the Dickey-Fuller tests for unit roots In: DES - Working Papers. Statistics and Econometrics. WS.
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paper0
1996On the robustness of cointegration tests when series are fractionally integrated In: DES - Working Papers. Statistics and Econometrics. WS.
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paper7
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: 7
paper
2000On the robustness of cointegration tests when series are fractionally intergrated.(2000) In: Journal of Applied Statistics.
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This paper has another version. Agregated cites: 7
article
2003DIAGNOSTIC CHECKING FOR THE ADEQUACY OF NONLINEAR TIME SERIES MODELS In: Econometric Theory.
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article21
2004Bagging Binary Predictors for Time Series In: Econometric Society 2004 Far Eastern Meetings.
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paper1
2004Jumps in Rank and Expected Returns. Introducing Varying Cross-sectional Risk In: Econometric Society 2004 North American Winter Meetings.
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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.
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article0
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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article18
2009Copula-based multivariate GARCH model with uncorrelated dependent errors In: Journal of Econometrics.
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article58
2014Nonparametric and semiparametric regressions subject to monotonicity constraints: Estimation and forecasting In: Journal of Econometrics.
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article4
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: 4
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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article166
1996Cointegration tests with conditional heteroskedasticity In: Journal of Econometrics.
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article73
1998Pitfalls in testing for long run relationships In: Journal of Econometrics.
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article119
1995Pitfalls in Testing for Long Run Relationships..(1995) In: Boston University - Department of Economics.
[Citation analysis]
This paper has another version. Agregated cites: 119
paper
2014Granger-causality in quantiles between financial markets: Using copula approach In: International Review of Financial Analysis.
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article13
2014Granger-Causality in Quantiles between Financial Markets: Using Copula Approach.(2014) In: Working Papers.
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This paper has another version. Agregated cites: 13
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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article47
2014Asymmetric loss in the Greenbook and the Survey of Professional Forecasters In: International Journal of Forecasting.
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article9
2014Asymmetric Loss in the Greenbook and the Survey of Professional Forecasters.(2014) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9
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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article31
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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article22
2013Forecasting Value-at-Risk Using High-Frequency Information In: Econometrics.
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article5
2014Forecasting Value-at-Risk Using High Frequency Information.(2014) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
paper
2018Using the Entire Yield Curve in Forecasting Output and Inflation In: Econometrics.
[Full Text][Citation analysis]
article0
2008Jumps in cross-sectional rank and expected returns: a mixture model In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
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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article158
2006Evaluating predictive performance of value-at-risk models in emerging markets: a reality check In: Journal of Forecasting.
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article74
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
1992On the Predictive Power of the Spread Between Spot and Forward Exchange Rates for Volatility In: Korean Economic Review.
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article0
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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article19
2010To Combine Forecasts or to Combine Information? In: Econometric Reviews.
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article29
2009To Combine Forecasts or to Combine Information?.(2009) In: Working Papers.
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This paper has another version. Agregated cites: 29
paper
2015Forecasting Equity Premium: Global Historical Average Versus Local Historical Average and Constraints In: Journal of Business & Economic Statistics.
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article1
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: 1
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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article43
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 Realized Volatility Using Subsample Averaging In: Working Papers.
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paper0
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.
[Full Text][Citation analysis]
paper0
2012Money-Income Granger-Causality in Quantiles In: Working Papers.
[Full Text][Citation analysis]
paper3
2015Finding SPF Percentiles Closest to Greenbook In: Working Papers.
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paper0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated July, 1st 2019. Contact: CitEc Team