Tae Hwy Lee : Citation Profile

University of California-Riverside

18

H index

24

i10 index

1608

Citations

RESEARCH PRODUCTION:

47

Articles

56

Papers

7

Chapters

RESEARCH ACTIVITY:

   35 years (1989 - 2024). See details.
   Cites by year: 45
   Journals where Tae Hwy Lee has often published
   Relations with other researchers
   Recent citing documents: 68.    Total self citations: 30 (1.83 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ple784
   Updated: 2025-03-08    RAS profile: 2023-10-07    
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Relations with other researchers

Works with:

Ullah, Aman (11)

Parsaeian, Shahnaz (7)

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)

GUPTA, RANGAN (25)

Pereira, Alfredo (19)

Manera, Matteo (14)

van Dijk, Dick (14)

Galeotti, Marzio (12)

Bouri, Elie (12)

Kouretas, Georgios (12)

Gómez Biscarri, Javier (11)

Teräsvirta, Timo (11)

Andraz, Jorge (11)

Cites to:

Diebold, Francis (39)

Engle, Robert (35)

Timmermann, Allan (34)

Bollerslev, Tim (31)

Watson, Mark (30)

Pesaran, Mohammad (29)

West, Kenneth (26)

Chernozhukov, Victor (22)

Komunjer, Ivana (22)

Elliott, Graham (19)

Campbell, John (19)

Main data

Production by document typepaperarticlechapter198919901991199219931994199519961997199819992000200120022003200420052006200720082009201020112012201320142015201620172018201920202021202220232024051015Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published198919901991199219931994199519961997199819992000200120022003200420052006200720082009201020112012201320142015201620172018201920202021202220232024050100150Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received1992199319941995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202320242025050100Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year1989199019911992199319941995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202320240100200300400Citations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 18Most cited documents12345678910111213141516171819200200400Number of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution20140920141020141120141220150120150220150320150420150520150620150720150820150920151020151120151220160120160220160320160420160520160620160720160820160920161020161120161220170120170220170320170420170520170620170720170820170920171020171120171220180120180220180320180420180520180620180720180820180920181020181120181220190120190220190320190420190520190620190720190820190920191020191120191220200120200220200320200420200520200620200720200820200920201020201120201220210120210220210320210420210520210620210720210820210920211020211120211220220120220220220320220420220520220620220720220820220920221020221120221220230120230220230320230420230520230620230720230820230920231020231120231220240120240220240320240420240520240620240720240820240920241020241120241220250120250220250301020h-index Highcharts.comExport to raster or vector imagePrint the chart

Where Tae Hwy Lee has published?

Journals with more than one article published# docs
Journal of Econometrics7
The Review of Economics and Statistics2
Econometric Reviews2
International Journal of Forecasting2
Economics Letters2
Econometrics2
Journal of Forecasting2
Journal of Econometric Methods2
Journal of Applied Econometrics2
Journal of International Money and Finance2
Journal of Applied Statistics2

Working Papers Series with more than one paper published# docs
Working Papers / University of California at Riverside, Department of Economics34
Papers / arXiv.org5
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 (2025 and 2024)

Year  ↓Title of citing document  ↓
2024Hierarchical 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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2024Heterogeneity-robust granular instruments. (2023). Qian, Eric. In: Papers. RePEc:arx:papers:2304.01273.

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2024The impact of geopolitical risk on the international agricultural market: Empirical analysis based on the GJR-GARCH-MIDAS model. (2024). Zhou, Wei-Xing ; Dai, Peng-Fei. In: Papers. RePEc:arx:papers:2404.01641.

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2025A multi-factor model for improved commodity pricing: Calibration and an application to the oil market. (2025). Ballestra, Luca Vincenzo ; Tezza, Christian. In: Papers. RePEc:arx:papers:2501.15596.

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2025Forecasting the Impact of Extreme Weather Events on Electricity Prices in Italy: A GARCH-MIDAS Approach with Enhanced Variable Selection. (2025). Zoia, Maria Grazia ; Riso, Luigi ; Guerzoni, Marco. In: DISCE - Working Papers del Dipartimento di Politica Economica. RePEc:ctc:serie5:dipe0043.

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2024Tail risk connectedness in G7 stock markets: Understanding the impact of COVID-19 and related variants. (2024). Corbet, Shaen ; Hou, Yang ; Hu, Yang ; Lang, Chunlin. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:41:y:2024:i:c:s2214635024000042.

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2024Forecasting conditional volatility based on hybrid GARCH-type models with long memory, regime switching, leverage effect and heavy-tail: Further evidence from equity market. (2024). Luo, YI ; Huang, Yirong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000731.

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2024High-dimensional IV cointegration estimation and inference. (2024). Phillips, Peter ; Kheifets, Igor L. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s030440762300338x.

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2024Time-varying minimum variance portfolio. (2024). Fan, Qingliang (Michael) ; Zhong, Wei ; Yang, Yanrong ; Wu, Ruike. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407622001646.

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2024Time-varying forecast combination for factor-augmented regressions with smooth structural changes. (2024). Li, Haiqi ; Hong, Yongmiao ; Chen, Qitong. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000393.

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2024Forecasting realized volatility: Does anything beat linear models?. (2024). Rubesam, Alexandre ; Branco, Rafael R ; Zevallos, Mauricio. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000598.

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2024Exploring the influence of the geopolitical risks on the natural resource price volatility and correlation: Evidence from DCC-MIDAS-X model. (2024). He, Yongda ; Yang, Peng ; Liu, Han ; Guo, Pengwei ; Oxley, Les. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s0140988323007028.

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2024Assessing systemic risk and connectedness among dirty and clean energy markets from the quantile and expectile perspectives. (2024). Suprijanto, Djoko ; Hakim, Arief ; Syuhada, Khreshna. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s0140988323007594.

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2024Volatility dynamics of agricultural futures markets under uncertainties. (2024). Uddin, Gazi ; Zhu, Xuening ; Sheng, Lin Wen ; Park, Donghyun ; Dutta, Anupam. In: Energy Economics. RePEc:eee:eneeco:v:136:y:2024:i:c:s0140988324004626.

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2024Volatility prediction for the energy sector with economic determinants: Evidence from a hybrid model. (2024). Liu, Xiaoquan ; Jiang, Ying ; Ye, Wuyi ; Wang, Yuejing. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000267.

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2024Volatility spillovers and hedging strategies between impact investing and agricultural commodities. (2024). Sensoy, Ahmet ; Goodell, John W ; Akhtaruzzaman, MD ; Banerjee, Ameet Kumar. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924001698.

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2024The spillover and comovement of downside and upside tail risks among crude oil futures markets. (2024). Yang, Hao ; Feng, Yun. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005106.

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2024Macro-Driven Stock Market Volatility Prediction: Insights from a New Hybrid Machine Learning Approach. (2024). Lin, YU ; Xu, Jin ; Lu, Xinjie ; Zeng, Qing. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pb:s1057521924006434.

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2024Sentiment dynamics and volatility: A study based on GARCH-MIDAS and machine learning. (2024). Vacca, Gianmarco ; Riso, Luigi. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pb:s1544612324002083.

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2024The uncertainty of fluctuation correlations in global stock markets. (2024). Rong, Xueyun ; Yin, Lei ; Wang, Faming. In: Finance Research Letters. RePEc:eee:finlet:v:66:y:2024:i:c:s1544612324007372.

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2024Temporal networks and financial contagion. (2024). Nocciola, Luca ; Vouldis, Angelos ; Franch, Fabio. In: Journal of Financial Stability. RePEc:eee:finsta:v:71:y:2024:i:c:s1572308924000093.

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2024Forecasting stock market volatility with regime-switching GARCH-MIDAS: The role of geopolitical risks. (2024). Wilfling, Bernd ; GUPTA, RANGAN ; Segnon, Mawuli. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:29-43.

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2024Flight delay propagation inference in air transport networks using the multilayer perceptron. (2024). Okhrin, Ostap ; Fricke, Hartmut ; Chen, Gong ; Rosenow, Judith. In: Journal of Air Transport Management. RePEc:eee:jaitra:v:114:y:2024:i:c:s0969699723001539.

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2024Autopsy of a futures market failure: Japan’s Dojima rice futures in the early 21st century. (2024). Janzen, Joseph P ; Serra, Teresa ; Yamamoto, Shuhei. In: Food Policy. RePEc:eee:jfpoli:v:128:y:2024:i:c:s0306919224001283.

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2024Money/asset ratio as a predictor of inflation. (2024). Do, Nguyen Duc. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:97:y:2024:i:c:s1062976924001029.

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2024Forecasting stock market realized volatility: The role of investor attention to the price of petroleum products. (2024). Li, Dakai. In: International Review of Economics & Finance. RePEc:eee:reveco:v:90:y:2024:i:c:p:115-122.

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2024Stein-like Common Correlated Effects Estimation under Structural Breaks. (2024). Parsaeian, Shahnaz. In: Econometrics. RePEc:gam:jecnmx:v:12:y:2024:i:2:p:11-:d:1378087.

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2024.

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2024Value-at-Risk Effectiveness: A High-Frequency Data Approach with Semi-Heavy Tails. (2024). Santillan-Salgado, Roberto Joaquin ; Nuez-Mora, Jose Antonio ; Sahu, Sonal ; Contreras-Valdez, Mario Ivan. In: Risks. RePEc:gam:jrisks:v:12:y:2024:i:3:p:50-:d:1356275.

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2025An IID Test for Functional Time Series with Applications to High-Frequency VIX Index Data. (2025). Siu, Tak Kuen ; Shang, Han Lin ; Huang, Xin. In: Risks. RePEc:gam:jrisks:v:13:y:2025:i:2:p:25-:d:1580573.

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2025Deglobalization and Foreign Exchange Volatility: The Role of Supply Chain Pressures. (2025). Gupta, Rangan ; Demirer, Riza ; Schulte-Tillmann, Bjorn ; Segnon, Mawuli. In: Working Papers. RePEc:pre:wpaper:202506.

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2024Time series forecasting under structural breaks. (2024). Skrobotov, Anton. In: Applied Econometrics. RePEc:ris:apltrx:0512.

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2024Did Precious Metals Serve as Hedge and Safe-haven Alternatives to Equity During the COVID-19 Pandemic: New Insights Using a Copula-based Approach. (2024). Pradhan, HK ; Banerjee, Ameet Kumar. In: Journal of Emerging Market Finance. RePEc:sae:emffin:v:23:y:2024:i:4:p:399-423.

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2024Impact of Exchange Rate on Trade Balance of India: Evidence from Threshold Cointegration with Asymmetric Error Correction Approach. (2024). Mallick, Lingaraj ; Behera, Smruti Ranjan ; Bhattacharya, Mita. In: Foreign Trade Review. RePEc:sae:fortra:v:59:y:2024:i:2:p:279-308.

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2024Financialization and Militarization: An Empirical Investigation. (2024). Elveren, Adem Yavuz ; Akagn-Narin, Pelin. In: Review of Radical Political Economics. RePEc:sae:reorpe:v:56:y:2024:i:1:p:70-100.

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2024Does a meta-combining method lead to more accurate forecasts in the decision-making process?. (2024). Aras, Serkan ; Gulay, Emrah. In: Operations Research and Decisions. RePEc:wut:journl:v:34:y:2024:i:3:p:101-124:id:6.

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Works by Tae Hwy Lee:

Year  ↓Title  ↓Type  ↓Cited  ↓
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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2012Stein-Rule Estimation and Generalized Shrinkage Methods for Forecasting Using Many Predictors.(2012) In: Advances in Econometrics.
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This paper has nother version. Agregated cites: 6		chapter
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.
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This paper has nother version. Agregated cites: 2		paper
2023Optimal Portfolio Using Factor Graphical Lasso In: Papers.
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2024Optimal Portfolio Using Factor Graphical Lasso*.(2024) In: Journal of Financial Econometrics.
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2020Optimal Portfolio Using Factor Graphical Lasso.(2020) In: Working Papers.
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2023Optimal Portfolio Using Factor Graphical Lasso.(2023) In: Working Papers.
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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.
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2023Inferential Theory for Granular Instrumental Variables in High Dimensions In: Papers.
[Full Text][Citation analysis]		paper1
2023Inferential Theory for Granular Instrumental Variables in High Dimensions.(2023) In: Working Papers.
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2023Combining Forecasts under Structural Breaks Using Graphical LASSO In: Papers.
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2022Combining Forecasts under Structural Breaks Using Graphical LASSO.(2022) In: Working Papers.
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2023Combining Forecasts under Structural Breaks Using Graphical LASSO.(2023) In: Working Papers.
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2023Estimation and Testing of Forecast Rationality with Many Moments In: Papers.
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2023Estimation and Testing of Forecast Rationality with Many Moments.(2023) In: Working Papers.
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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 nother 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]		article2
2020Maximum Entropy Analysis of Consumption-based Capital Asset Pricing Model and Volatility.(2020) In: Working Papers.
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2023Density Forecast of Financial Returns Using Decomposition and Maximum Entropy In: Journal of Econometric Methods.
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2021Density Forecast of Financial Returns Using Decomposition and Maximum Entropy.(2021) In: Working Papers.
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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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2001Neural Network Test and Nonparametric Kernel Test for Neglected Nonlinearity in Regression Models In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article5
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.
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2008Permanent and transitory components of GDP and stock prices: further analysis.(2008) In: Macroeconomics and Finance in Emerging Market Economies.
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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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1996On the robustness of cointegration tests when series are fractionally integrated In: DES - Working Papers. Statistics and Econometrics. WS.
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1995On the Robustness of Cointegration Tests when Series Are Fractionally Integrated..(1995) In: The A. Gary Anderson Graduate School of Management.
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2000On the robustness of cointegration tests when series are fractionally intergrated.(2000) In: Journal of Applied Statistics.
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2003DIAGNOSTIC CHECKING FOR THE ADEQUACY OF NONLINEAR TIME SERIES MODELS In: Econometric Theory.
[Full Text][Citation analysis]		article29
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.
[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]		article27
2009Copula-based multivariate GARCH model with uncorrelated dependent errors In: Journal of Econometrics.
[Full Text][Citation analysis]		article79
2014Nonparametric and semiparametric regressions subject to monotonicity constraints: Estimation and forecasting In: Journal of Econometrics.
[Full Text][Citation analysis]		article7
2014Nonparametric and Semiparametric Regressions Subject to Monotonicity Constraints: Estimation and Forecasting.(2014) In: Working Papers.
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2021Time-varying model averaging In: Journal of Econometrics.
[Full Text][Citation analysis]		article10
2017Time-varying Model Averaging.(2017) In: Working Papers.
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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]		article223
1996Cointegration tests with conditional heteroskedasticity In: Journal of Econometrics.
[Full Text][Citation analysis]		article80
1998Pitfalls in testing for long run relationships In: Journal of Econometrics.
[Full Text][Citation analysis]		article141
1995Pitfalls in Testing for Long Run Relationships..(1995) In: Boston University - Department of Economics.
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2020Combined estimation of semiparametric panel data models In: Econometrics and Statistics.
[Full Text][Citation analysis]		article5
2020Predicting the long-term stock market volatility: A GARCH-MIDAS model with variable selection In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article51
2020Predicting the Long-term Stock Market Volatility: A GARCH-MIDAS Model with Variable Selection.(2020) In: Working Papers.
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2014Granger-causality in quantiles between financial markets: Using copula approach In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article36
2014Granger-Causality in Quantiles between Financial Markets: Using Copula Approach.(2014) In: Working Papers.
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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]		article119
2014Asymmetric loss in the Greenbook and the Survey of Professional Forecasters In: International Journal of Forecasting.
[Full Text][Citation analysis]		article18
2014Asymmetric Loss in the Greenbook and the Survey of Professional Forecasters.(2014) In: Working Papers.
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2002Assessing the risk forecasts for Japanese stock market In: Japan and the World Economy.
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1994Spread and volatility in spot and forward exchange rates In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article35
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
2006Asymmetric Predictive Abilities of Nonlinear Models for Stock Returns: Evidence from Density Forecast Comparison In: Advances in Econometrics.
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2012Money–Income Granger-Causality in Quantiles In: Advances in Econometrics.
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2012Money-Income Granger-Causality in Quantiles.(2012) In: Working Papers.
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2019Stein-like Shrinkage Estimation of Panel Data Models with Common Correlated Effects In: Advances in Econometrics.
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2019Variable Selection in Sparse Semiparametric Single Index Models In: Advances in Econometrics.
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2022Efficient Combined Estimation under Structural Breaks In: Advances in Econometrics.
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2021Efficient Combined Estimation under Structural Breaks.(2021) In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS.
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2021Efficient Combined Estimation under Structural Breaks.(2021) In: Working Papers.
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2013Forecasting Value-at-Risk Using High-Frequency Information In: Econometrics.
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2014Forecasting Value-at-Risk Using High Frequency Information.(2014) In: Working Papers.
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2018Using the Entire Yield Curve in Forecasting Output and Inflation In: Econometrics.
[Full Text][Citation analysis]		article11
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]		article305
2006Evaluating predictive performance of value-at-risk models in emerging markets: a reality check In: Journal of Forecasting.
[Full Text][Citation analysis]		article97
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2022Forecasting under Structural Breaks Using Improved Weighted Estimation In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS.
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2015Forecasting Equity Premium: Global Historical Average Versus Local Historical Average and Constraints In: Journal of Business & Economic Statistics.
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