Tae Hwy Lee : Citation Profile

Are you Tae Hwy Lee?

University of California-Riverside

17

H index

22

i10 index

1515

Citations

RESEARCH PRODUCTION:

45

Articles

55

Papers

7

Chapters

RESEARCH ACTIVITY:

   34 years (1989 - 2023). See details.
   Cites by year: 44
   Journals where Tae Hwy Lee has often published
   Relations with other researchers
   Recent citing documents: 52.    Total self citations: 30 (1.94 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ple784
   Updated: 2024-01-16    RAS profile: 2023-10-07    
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Relations with other researchers

Works with:

Ullah, Aman (12)

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 (21)

Pereira, Alfredo (19)

Manera, Matteo (14)

van Dijk, Dick (14)

Galeotti, Marzio (12)

Bouri, Elie (12)

Kouretas, Georgios (12)

Andraz, Jorge (11)

Gómez Biscarri, Javier (11)

Teräsvirta, Timo (11)

Cites to:

Diebold, Francis (39)

Engle, Robert (35)

Timmermann, Allan (33)

Bollerslev, Tim (31)

Watson, Mark (30)

Pesaran, Mohammad (30)

West, Kenneth (26)

Chernozhukov, Victor (21)

Bai, Jushan (20)

Komunjer, Ivana (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 Econometric Methods2
The Review of Economics and Statistics2
International Journal of Forecasting2
Journal of International Money and Finance2
Econometric Reviews2
Journal of Forecasting2
Journal of Applied Econometrics2
Economics Letters2
Econometrics2

Working Papers Series with more than one paper published# docs
Working Papers / University of California at Riverside, Department of Economics33
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 (2024 and 2023)

YearTitle of citing document
2023Price Transmission in the Wheat Market in Algeria: Threshold Cointegration Approach. (2023). Kaci, Ahcene ; Benmehaia, Mohamed Amine ; Bekkis, Soumeya. In: International Journal of Food and Agricultural Economics (IJFAEC). RePEc:ags:ijfaec:330862.

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2023Using 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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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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2023Optimal probabilistic forecasts for risk management. (2023). Martin, Gael M ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Sun, Yuru. In: Papers. RePEc:arx:papers:2303.01651.

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2023Heterogeneity-robust granular instruments. (2023). Qian, Eric. In: Papers. RePEc:arx:papers:2304.01273.

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2023The Estimation Risk in Extreme Systemic Risk Forecasts. (2023). Hoga, Yannick. In: Papers. RePEc:arx:papers:2304.10349.

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2023Limit Theory under Network Dependence and Nonstationarity. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.01418.

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2023Quantile price convergence and spillover effects among Bitcoin, Fintech, and artificial intelligence stocks. (2023). Tiwari, Aviral ; Abakah, Emmanuel ; Ntowgyamfi, Matthew ; Lee, Chichuan ; Aikins, Emmanuel Joel. In: International Review of Finance. RePEc:bla:irvfin:v:23:y:2023:i:1:p:187-205.

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2023The challenging estimation of trade elasticities: Tackling the inconclusive Eurozone evidence. (2023). Keil, Sascha. In: The World Economy. RePEc:bla:worlde:v:46:y:2023:i:5:p:1235-1263.

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2023Bootstrapping the transformed goodness-of-fit test on heavy-tailed GARCH models. (2023). Li, Muyi ; Wang, Xuqin. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:184:y:2023:i:c:s0167947323000555.

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2023Carbon trading amidst global uncertainty: The role of policy and geopolitical uncertainty. (2023). Adediran, Idris ; Swaray, Raymond. In: Economic Modelling. RePEc:eee:ecmode:v:123:y:2023:i:c:s0264999323000913.

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2023The role of uncertainty in forecasting volatility comovements across stock markets. (2023). Palomba, Giulio ; Rossi, Eduardo ; Bucci, Andrea. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001219.

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2023Price Risk Analysis using GARCH Family Models: Evidence from Shanghai Crude Oil Futures Market. (2023). Si, Xiaoli ; Pei, Haotian ; Yang, Aijun ; Bei, Shuhua. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001797.

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2023Conditional asymmetry in Power ARCH(?) models. (2023). Royer, Julien. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:178-204.

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2023Model averaging prediction by K-fold cross-validation. (2023). Liu, Chu-An ; Zhang, Xinyu. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:280-301.

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2023Penalized time-varying model averaging. (2023). Hong, Yongmiao ; Zhang, Xinyu ; Wang, Shouyang ; Sun, Yuying. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1355-1377.

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2023Efficient estimation of average derivatives in NPIV models: Simulation comparisons of neural network estimators. (2023). Tamer, Elie ; Chen, Xiaohong. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1848-1875.

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2023Model averaging for asymptotically optimal combined forecasts. (2023). Liu, Chu-An ; Chen, Yi-Ting. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:592-607.

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2023Specification tests for time-varying coefficient models. (2023). Su, Liangjun ; Hong, Yongmiao ; Wang, Xia ; Fu, Zhonghao. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:720-744.

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2023Forecasting value-at-risk and expected shortfall in large portfolios: A general dynamic factor model approach. (2023). Trucíos, Carlos ; Hallin, Marc ; Trucios, Carlos. In: Econometrics and Statistics. RePEc:eee:ecosta:v:27:y:2023:i:c:p:1-15.

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2023Economic policy uncertainty, jump dynamics, and oil price volatility. (2023). Qi, YU ; Pan, NA ; Li, Xin ; Shao, Shuai ; Liu, Feng. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323001330.

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2023Exploring the dynamic behaviour of commodity market tail risk connectedness during the negative WTI pricing event. (2023). Corbet, Shaen ; Oxley, Les ; Hou, Yang ; Lang, Chunlin ; Hu, Yang. In: Energy Economics. RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323003274.

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2023Characteristics and mechanisms of the U.S. stock market spillover effects on the Chinese A-share market: Evidence from 6 A-share broad-based and 31 sector indices. (2023). Shen, Weibing ; Tian, Huiting ; Huang, Junbo. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001606.

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2023Examining the volatility of soybean market in the MIDAS framework: The importance of bagging-based weather information. (2023). Xu, Weiju ; Ma, Weichun ; Wu, Rui ; Wang, LU. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002363.

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2023Market systemic risk, predictability and macroeconomics news. (2023). Xie, Yiqiang ; Fan, Rui. In: Finance Research Letters. RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323004749.

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2023Measuring the response of clean energy stock price volatility to extreme shocks. (2023). Luo, Keyu ; Peng, Lijuan ; Wang, LU ; Zhang, LI. In: Renewable Energy. RePEc:eee:renene:v:206:y:2023:i:c:p:1289-1300.

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2023Southern oscillation: Great value of its trends for forecasting crude oil spot price volatility. (2023). Wang, LU ; Su, Yuquan ; Yu, Jize ; Hong, Yanran. In: International Review of Economics & Finance. RePEc:eee:reveco:v:84:y:2023:i:c:p:358-368.

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2023Implications of cryptocurrency energy usage on climate change. (2023). Xu, Bing ; Marco, Chi Keung ; Chen, Xihui Haviour ; Zhang, Dongna. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:187:y:2023:i:c:s0040162522007405.

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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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2023Information-Criterion-Based Lag Length Selection in Vector Autoregressive Approximations for I(2) Processes. (2023). Bauer, Dietmar. In: Econometrics. RePEc:gam:jecnmx:v:11:y:2023:i:2:p:11-:d:1128372.

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2023.

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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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2023Optimal Local Model Averaging for Divergent-Dimensional Functional-Coefficient Regressions. (2023). Cai, Zongwu ; Hong, Shaoxin ; Sun, Yuying. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202309.

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2023A Combination Forecast for Nonparametric Models with Structural Breaks. (2023). , Gunawan ; Cai, Zongwu. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202310.

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2023CO2 Emission Allowances Risk Prediction with GAS and GARCH Models. (2023). Tiwari, Aviral ; Trabelsi, Nader. In: Computational Economics. RePEc:kap:compec:v:61:y:2023:i:2:d:10.1007_s10614-021-10231-5.

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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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2023Spillover effect among independent carbon markets: evidence from China’s carbon markets. (2023). Liang, Weijuan ; Yan, Yaxue ; Zhang, Xiaoling ; Wang, Banban. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:56:y:2023:i:5:d:10.1007_s10644-022-09431-2.

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2023Technological Shocks and Stock Market Volatility Over a Century: A GARCH-MIDAS Approach. (2023). Salisu, Afees ; GUPTA, RANGAN ; Demirer, Riza. In: Working Papers. RePEc:pre:wpaper:202308.

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2023An econometric evaluation of the effects of economic growth, energy use, and agricultural value added on carbon dioxide emissions in Vietnam. (2023). Raihan, Asif. In: Asia-Pacific Journal of Regional Science. RePEc:spr:apjors:v:7:y:2023:i:3:d:10.1007_s41685-023-00278-7.

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2023DeepVaR: a framework for portfolio risk assessment leveraging probabilistic deep neural networks. (2023). Soldatos, John ; Kotios, Dimitrios ; Makridis, Georgios ; Fatouros, Georgios ; Kyriazis, Dimosthenis ; Filippakis, Michael. In: Digital Finance. RePEc:spr:digfin:v:5:y:2023:i:1:d:10.1007_s42521-022-00050-0.

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2023Time-varying higher moments in Bitcoin. (2023). Laurini, Marcio Poletti ; Vieira, Leonardo Ieracitano. In: Digital Finance. RePEc:spr:digfin:v:5:y:2023:i:2:d:10.1007_s42521-022-00072-8.

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2023Estimating policy-corrected long-term and short-term tax elasticities for the USA, Germany, and the United Kingdom. (2023). unal, umut ; Hayo, Bernd ; Mierzwa, Sascha. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:1:d:10.1007_s00181-022-02252-2.

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2023A model-free approach to do long-term volatility forecasting and its variants. (2023). Karmakar, Sayar ; Wu, Kejin. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00466-6.

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2023Abductive Inference and C. S. Peirce: 150 Years Later. (2023). Mukhopadhyay, Subhadeep. In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:21:y:2023:i:1:d:10.1007_s40953-022-00332-9.

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2023Do efficient commodity markets co-move: evidence from Indian base metals market. (2023). Singhal, Utkarsh ; Shahani, Rakesh. In: Mineral Economics. RePEc:spr:minecn:v:36:y:2023:i:3:d:10.1007_s13563-022-00353-z.

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2023Testing Granger Non-Causality in Expectiles. (2023). Taamouti, Abderrahim ; Doukali, Mohamed ; Bouezmarni, Taoufik. In: University of East Anglia School of Economics Working Paper Series. RePEc:uea:ueaeco:2023-02.

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2023A New Bispectral Test for Nonlinear Serial Dependence. (2006). Dagum, Estelle ; Ashley, Richard ; Patterson, Douglas M. ; Rusticelli, Elena. In: Working Papers. RePEc:vpi:wpaper:e06-6.

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2023The role of oil and risk shocks in the high?frequency movements of the term structure of interest rates: Evidence from the U.S. Treasury market. (2023). GUPTA, RANGAN ; Subramaniam, Sowmya ; Sheng, Xin ; Hussain, Syed Jawad. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:2:p:1845-1857.

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2023Uncertainty?driven oil volatility risk premium and international stock market volatility forecasting. (2023). Yin, Libo ; Su, Zhi ; Miao, Deyu ; Fang, Tong. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:4:p:872-904.

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2023Which factors drive Bitcoin volatility: Macroeconomic, technical, or both?. (2023). Guo, Yangli ; Bouri, Elie ; Ma, Feng ; Wang, Jiqian. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:4:p:970-988.

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2023A comparison of methods for forecasting value at risk and expected shortfall of cryptocurrencies. (2023). Taylor, James W ; Trucios, Carlos. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:4:p:989-1007.

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Works by Tae Hwy Lee:

YearTitleTypeCited
2011Using the Yield Curve in Forecasting Output Growth and In?flation In: CREATES Research Papers.
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2012Stein-Rule Estimation and Generalized Shrinkage Methods for Forecasting Using Many Predictors In: CREATES Research Papers.
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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.
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2012Let´s do it again: bagging equity premium predictors.(2012) In: Textos para discussão.
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2023Optimal Portfolio Using Factor Graphical Lasso In: Papers.
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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.
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2020Learning from Forecast Errors: A New Approach to Forecast Combination.(2020) In: Working Papers.
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This paper has nother version. Agregated cites: 0		paper
2023Inferential Theory for Granular Instrumental Variables in High Dimensions In: Papers.
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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.
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1995Relative Power of t Type Tests of Stationary and Unit Root Processes..(1995) In: Boston University - Department of Economics.
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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.
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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.
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2000Nonparametric Bootstrap Tests for Neglected Nonlinearity in Time Series Regression Models In: Working papers.
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1994Uncertainty in Sales and Inventory Behaviour in the U.S. Trade Sectors. In: Canadian Journal of Economics.
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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.
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2004Bagging Binary Predictors for Time Series In: Econometric Society 2004 Far Eastern Meetings.
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2004Jumps in Rank and Expected Returns. Introducing Varying Cross-sectional Risk In: Econometric Society 2004 North American Winter Meetings.
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2004Generalized (Cross) Spectral Tests for Optimal Forecasts and Conditional Predictive Ability Under Generalized Loss Functions In: Econometric Society 2004 North American Winter Meetings.
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2018The second-order bias of quantile estimators In: Economics Letters.
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1995Disequilibrium and uncertainty in cointegrated systems: Some empirical evidence In: Economics Letters.
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2006Bagging binary and quantile predictors for time series In: Journal of Econometrics.
[Full Text][Citation analysis]		article25
2009Copula-based multivariate GARCH model with uncorrelated dependent errors In: Journal of Econometrics.
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2014Nonparametric and semiparametric regressions subject to monotonicity constraints: Estimation and forecasting In: Journal of Econometrics.
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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.
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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.
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1996Cointegration tests with conditional heteroskedasticity In: Journal of Econometrics.
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1998Pitfalls in testing for long run relationships In: Journal of Econometrics.
[Full Text][Citation analysis]		article137
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.
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2020Predicting the long-term stock market volatility: A GARCH-MIDAS model with variable selection In: Journal of Empirical Finance.
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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.
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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.
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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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2014Asymmetric loss in the Greenbook and the Survey of Professional Forecasters In: International Journal of Forecasting.
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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.
[Full Text][Citation analysis]		chapter0
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