7
H index
6
i10 index
194
Citations
University of Illinois at Urbana-Champaign | 7 H index 6 i10 index 194 Citations RESEARCH PRODUCTION: 14 Articles 10 Papers 1 Chapters RESEARCH ACTIVITY: 12 years (2012 - 2024). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/ple807 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Ji Hyung Lee. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Econometrics | 8 |
Econometric Theory | 2 |
Working Papers Series with more than one paper published | # docs |
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Papers / arXiv.org | 6 |
Year | Title of citing document |
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2023 | Risk Aversion and Changes in Regime. (2023). Sola, Martin ; Kenc, Turalay ; Driffill, John ; Caravello, Tomas E. In: Working Papers. RePEc:aoz:wpaper:237. Full description at Econpapers || Download paper |
2023 | The Cointegrated VAR without Unit Roots: Representation Theory and Asymptotics. (2020). Simons, Jerome R ; Duffy, James A. In: Papers. RePEc:arx:papers:2002.08092. Full description at Econpapers || Download paper |
2023 | New robust inference for predictive regressions. (2020). Skrobotov, Anton ; Kim, Jihyun ; Ibragimov, Rustam. In: Papers. RePEc:arx:papers:2006.01191. Full description at Econpapers || Download paper |
2023 | Asymptotic Theory for Moderate Deviations from the Unit Boundary in Quantile Autoregressive Time Series. (2022). Katsouris, Christis. In: Papers. RePEc:arx:papers:2204.02073. Full description at Econpapers || Download paper |
2024 | On LASSO for High Dimensional Predictive Regression. (2022). Shi, Zhentao ; Mei, Ziwei. In: Papers. RePEc:arx:papers:2212.07052. Full description at Econpapers || Download paper |
2023 | Measuring tail risk at high-frequency: An $L_1$-regularized extreme value regression approach with unit-root predictors. (2023). Trapin, Luca ; Sun, LI ; Hambuckers, Julien. In: Papers. RePEc:arx:papers:2301.01362. Full description at Econpapers || Download paper |
2023 | Testing for Coefficient Randomness in Local-to-Unity Autoregressions. (2023). Nishi, Mikihito. In: Papers. RePEc:arx:papers:2301.04853. Full description at Econpapers || Download paper |
2023 | Robust M-Estimation for Additive Single-Index Cointegrating Time Series Models. (2023). GAO, Jiti ; Peng, Bin ; Tu, Yundong ; Dong, Chaohua. In: Papers. RePEc:arx:papers:2301.06631. Full description at Econpapers || Download paper |
2023 | Structural Break Detection in Quantile Predictive Regression Models with Persistent Covariates. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2302.05193. Full description at Econpapers || Download paper |
2024 | Inference in Predictive Quantile Regressions. (2023). Kuriyama, Nina ; Shimotsu, Katsumi ; Maynard, Alex. In: Papers. RePEc:arx:papers:2306.00296. Full description at Econpapers || Download paper |
2023 | Large sample properties of GMM estimators under second-order identification. (2023). Kruiniger, Hugo. In: Papers. RePEc:arx:papers:2307.13475. Full description at Econpapers || Download paper |
2023 | Bootstrapping Nonstationary Autoregressive Processes with Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2307.14463. Full description at Econpapers || Download paper |
2023 | Predictability Tests Robust against Parameter Instability. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2307.15151. Full description at Econpapers || Download paper |
2023 | Quantile Time Series Regression Models Revisited. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.06617. Full description at Econpapers || Download paper |
2023 | Break-Point Date Estimation for Nonstationary Autoregressive and Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.13915. Full description at Econpapers || Download paper |
2023 | High Dimensional Time Series Regression Models: Applications to Statistical Learning Methods. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.16192. Full description at Econpapers || Download paper |
2024 | Testing for Stationary or Persistent Coefficient Randomness in Predictive Regressions. (2023). Nishi, Mikihito. In: Papers. RePEc:arx:papers:2309.04926. Full description at Econpapers || Download paper |
2023 | Unified Inference for Dynamic Quantile Predictive Regression. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2309.14160. Full description at Econpapers || Download paper |
2024 | Estimating Conditional Value-at-Risk with Nonstationary Quantile Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2311.08218. Full description at Econpapers || Download paper |
2023 | Diagnosing housing fever with an econometric thermometer. (2023). Phillips, Peter ; Shi, Shuping. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:37:y:2023:i:1:p:159-186. Full description at Econpapers || Download paper |
2023 | Noncausal affine processes with applications to derivative pricing. (2023). Lu, Yang ; Gourieroux, Christian. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:3:p:766-796. Full description at Econpapers || Download paper |
2023 | Seemingly Unrelated Regression Estimation for VAR Models with Explosive Roots. (2023). Li, Qiyuan ; Chen, YE. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:85:y:2023:i:4:p:910-937. Full description at Econpapers || Download paper |
2024 | A simple theory of Pareto-distributed earnings. (2024). Harmenberg, Karl. In: Economics Letters. RePEc:eee:ecolet:v:234:y:2024:i:c:s0165176523005189. Full description at Econpapers || Download paper |
2023 | A new robust inference for predictive quantile regression. (2023). Liao, Xiaosai ; Chen, Haiqiang ; Cai, Zongwu. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:227-250. Full description at Econpapers || Download paper |
2023 | Robust inference with stochastic local unit root regressors in predictive regressions. (2023). Phillips, Peter ; Liu, Yanbo. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:563-591. Full description at Econpapers || Download paper |
2023 | Penetrating sporadic return predictability. (2023). Xie, Xinling ; Tu, Yundong. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:1:s0304407623002257. Full description at Econpapers || Download paper |
2023 | Extensions to IVX methods of inference for return predictability. (2023). Taylor, Robert ; Rodrigues, Paulo ; Demetrescu, Matei ; Robert, A M ; Georgiev, Iliyan. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407622000586. Full description at Econpapers || Download paper |
2023 | Transformed regression-based long-horizon predictability tests. (2023). Taylor, Robert ; Rodrigues, Paulo ; Demetrescu, Matei ; Robert, A M. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407622001294. Full description at Econpapers || Download paper |
2024 | Detecting identification failure in moment condition models. (2024). Forneron, Jean-Jacques. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:1:s0304407623002683. Full description at Econpapers || Download paper |
2024 | Semi-parametric single-index predictive regression models with cointegrated regressors. (2024). GAO, Jiti ; Zhou, Weilun ; Kew, Hsein ; Harris, David. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:1:s0304407623002932. Full description at Econpapers || Download paper |
2024 | Role models and revealed gender-specific costs of STEM in an extended Roy model of major choice. (2024). Mourifie, Ismael ; Meango, Romuald ; Henry, Marc. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623002877. Full description at Econpapers || Download paper |
2023 | Investing in wine, precious metals and G-7 stock markets – A co-occurrence analysis for price bubbles. (2023). Potrykus, Marcin. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001539. Full description at Econpapers || Download paper |
2023 | Complete subset averaging methods in corporate bond return prediction. (2023). Jia, Zhimin ; Bo, Albert ; Jiang, Shan ; Cheng, Tingting. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001010. Full description at Econpapers || Download paper |
2023 | Market 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. Full description at Econpapers || Download paper |
2023 | Can a house resale restriction policy curb speculation? Evidence from a quasi-natural experiment in China. (2023). Zhao, Sheng ; Moreira, Fernando ; Lan, Hao. In: International Review of Economics & Finance. RePEc:eee:reveco:v:83:y:2023:i:c:p:841-859. Full description at Econpapers || Download paper |
2023 | Robust M-Estimation for Additive Single-Index Cointegrating Time Series Models. (2023). Tu, Yundong ; Peng, Bin ; Gao, Jiti ; Dong, Chaohua. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2023-2. Full description at Econpapers || Download paper |
2023 | Penalized leads-and-lags cointegrating regression: a simulation study and two empirical applications. (2023). Neto, David. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:2:d:10.1007_s00181-023-02362-5. Full description at Econpapers || Download paper |
2023 | Consistency and asymptotic normality in a class of nearly unstable processes. (2023). Proia, Frederic ; Badreau, Marie. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:26:y:2023:i:3:d:10.1007_s11203-023-09290-2. Full description at Econpapers || Download paper |
2023 | A PANEL CLUSTERING APPROACH TO ANALYZING BUBBLE BEHAVIOR. (2023). Yu, Jun ; Liu, Yanbo. In: International Economic Review. RePEc:wly:iecrev:v:64:y:2023:i:4:p:1347-1395. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2021 | On LASSO for Predictive Regression In: Papers. [Full Text][Citation analysis] | paper | 13 |
2022 | On LASSO for predictive regression.(2022) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | article | |
2021 | Complete Subset Averaging for Quantile Regressions In: Papers. [Full Text][Citation analysis] | paper | 3 |
2020 | Complete Subset Averaging for Quantile Regressions.(2020) In: Department of Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
2022 | Predictive Quantile Regression with Mixed Roots and Increasing Dimensions: The ALQR Approach In: Papers. [Full Text][Citation analysis] | paper | 0 |
2023 | Predictive quantile regression with mixed roots and increasing dimensions: The ALQR approach.(2023) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
2022 | Fixed-k Tail Regression: New Evidence on Tax and Wealth Inequality from Forbes 400 In: Papers. [Full Text][Citation analysis] | paper | 0 |
2023 | Tuning Parameter-Free Nonparametric Density Estimation from Tabulated Summary Data In: Papers. [Full Text][Citation analysis] | paper | 0 |
2024 | Tuning parameter-free nonparametric density estimation from tabulated summary data.(2024) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
2022 | Capital and Labor Income Pareto Exponents in the United States, 1916-2019 In: Papers. [Full Text][Citation analysis] | paper | 1 |
2018 | ON STANDARD INFERENCE FOR GMM WITH LOCAL IDENTIFICATION FAILURE OF KNOWN FORMS In: Econometric Theory. [Full Text][Citation analysis] | article | 8 |
2020 | QUANTILOGRAMS UNDER STRONG DEPENDENCE In: Econometric Theory. [Full Text][Citation analysis] | article | 0 |
2018 | Quantilograms under Strong Dependence.(2018) In: Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2012 | VARs with Mixed Roots Near Unity In: Cowles Foundation Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2013 | Predictive regression under various degrees of persistence and robust long-horizon regression In: Journal of Econometrics. [Full Text][Citation analysis] | article | 59 |
2016 | Predictive quantile regression with persistent covariates: IVX-QR approach In: Journal of Econometrics. [Full Text][Citation analysis] | article | 36 |
2015 | Predictive quantile regression with persistent covariates: IVX-QR approach.(2015) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 36 | paper | |
2016 | Robust econometric inference with mixed integrated and mildly explosive regressors In: Journal of Econometrics. [Full Text][Citation analysis] | article | 26 |
2019 | Predictive quantile regressions under persistence and conditional heteroskedasticity In: Journal of Econometrics. [Full Text][Citation analysis] | article | 20 |
2023 | Nonparametric identification and estimation of the extended Roy model In: Journal of Econometrics. [Full Text][Citation analysis] | article | 1 |
2016 | Asset pricing with financial bubble risk In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 22 |
2019 | Martingale decomposition and approximations for nonlinearly dependent processes In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 0 |
2023 | Quantile Impulse Response Analysis with Applications in Macroeconomics and Finance In: Advances in Econometrics. [Full Text][Citation analysis] | chapter | 0 |
2024 | Estimation and Inference of Quantile Impulse Response Functions by Local Projections: With Applications to VaR Dynamics* In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 0 |
2015 | Limit Theory for VARs with Mixed Roots Near Unity In: Econometric Reviews. [Full Text][Citation analysis] | article | 5 |
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