Tae Hwy Lee : Citation Profile

Are you Tae Hwy Lee?

University of California-Riverside

17

H index

23

i10 index

1562

Citations

RESEARCH PRODUCTION:

46

Articles

56

Papers

7

Chapters

RESEARCH ACTIVITY:

   35 years (1989 - 2024). See details.
   Cites by year: 44
   Journals where Tae Hwy Lee has often published
   Relations with other researchers
   Recent citing documents: 103.    Total self citations: 29 (1.82 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ple784
   Updated: 2024-11-04    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 (24)

Pereira, Alfredo (19)

Manera, Matteo (14)

Bouri, Elie (12)

Kouretas, Georgios (12)

Galeotti, Marzio (12)

Gómez Biscarri, Javier (11)

Andraz, Jorge (11)

Teräsvirta, Timo (11)

Tiwari, Aviral (10)

Cites to:

Diebold, Francis (37)

Timmermann, Allan (34)

Engle, Robert (32)

Watson, Mark (30)

Pesaran, Mohammad (29)

Bollerslev, Tim (28)

West, Kenneth (23)

Chernozhukov, Victor (22)

Komunjer, Ivana (22)

Stock, James (19)

Elliott, Graham (19)

Main data

Where Tae Hwy Lee has published?

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

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
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 (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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2024Heterogeneity-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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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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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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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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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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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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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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2023Penetrating sporadic return predictability. (2023). Xie, Xinling ; Tu, Yundong. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:1:s0304407623002257.

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2023Estimation and inference in a high-dimensional semiparametric Gaussian copula vector autoregressive model. (2023). Park, Hyeonseok ; Han, Fang ; Fan, Yanqin. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:1:s0304407623002294.

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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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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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2023Social and environmental events disrupt the relation between motor gasoline prices and market fundamentals. (2023). Schroer, Colter ; Kaufmann, Robert K. In: Energy Economics. RePEc:eee:eneeco:v:126:y:2023:i:c:s0140988323004127.

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2023Intraday and overnight tail risks and return predictability in the crude oil market: Evidence from oil-related regular news and extreme shocks. (2023). Bouri, Elie ; Wang, Cheng ; Zhang, Dingsheng ; Xu, Yahua. In: Energy Economics. RePEc:eee:eneeco:v:127:y:2023:i:pb:s0140988323006199.

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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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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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2023Identifying systemic risk of assets during international financial crises using Value at Risk elasticities. (2023). Fauzi, Fitriya ; Perera, Devmali ; Borer, Daniel ; Chau, Trinh Nguyen. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923003484.

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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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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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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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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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2023The information content of sentiment indices in forecasting Value at Risk and Expected Shortfall: a Complete Realized Exponential GARCH-X approach. (2023). Naimoli, Antonio. In: International Economics. RePEc:eee:inteco:v:176:y:2023:i:c:s2110701723000719.

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2023Global financial stress index and long-term volatility forecast for international stock markets. (2023). Huynh, Luu Duc Toan ; Luo, Qin ; Liang, Chao. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:88:y:2023:i:c:s1042443123000938.

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2023Stock market volatility predictability in a data-rich world: A new insight. (2023). Ma, Yuanhui ; Wahab, M. I. M., ; Wang, Jiqian. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:4:p:1804-1819.

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2023LASSO principal component averaging: A fully automated approach for point forecast pooling. (2023). Maciejowska, Katarzyna ; Uniejewski, Bartosz. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:4:p:1839-1852.

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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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2023International stock market volatility: A data-rich environment based on oil shocks. (2023). Wen, Fenghua ; Wang, Tianyang ; Ma, Feng ; Lu, Xinjie. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:214:y:2023:i:c:p:184-215.

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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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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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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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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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2023.

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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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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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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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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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2024Global economic policy uncertainty and gold futures market volatility: Evidence from Markov regime?switching GARCH?MIDAS models. (2021). Chevallier, Julien ; Ma, Feng ; Wang, LU ; Lu, Xinjie. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:6:p:1070-1085.

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

Works by Tae Hwy Lee:

YearTitleTypeCited
2011Using the Yield Curve in Forecasting Output Growth and In?flation In: CREATES Research Papers.
[Full Text][Citation analysis]		paper3
2012Stein-Rule Estimation and Generalized Shrinkage Methods for Forecasting Using Many Predictors In: CREATES Research Papers.
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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.
[Full Text][Citation analysis]		paper4
2024Optimal Portfolio Using Factor Graphical Lasso*.(2024) In: Journal of Financial Econometrics.
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This paper has nother version. Agregated cites: 4		article
2020Optimal Portfolio Using Factor Graphical Lasso.(2020) In: Working Papers.
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This paper has nother version. Agregated cites: 4		paper
2023Optimal Portfolio Using Factor Graphical Lasso.(2023) In: Working Papers.
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