Ji Hyung Lee : Citation Profile

Are you Ji Hyung Lee?

University of Illinois at Urbana-Champaign

7

H index

6

i10 index

209

Citations

RESEARCH PRODUCTION:

15

Articles

10

Papers

1

Chapters

RESEARCH ACTIVITY:

   12 years (2012 - 2024). See details.
   Cites by year: 17
   Journals where Ji Hyung Lee has often published
   Relations with other researchers
   Recent citing documents: 62.    Total self citations: 11 (5 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ple807
   Updated: 2024-11-04    RAS profile: 2024-05-06    
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Relations with other researchers

Works with:

Shin, Youngki (5)

Toda, Alexis Akira (4)

Sasaki, Yuya (4)

Wang, Yulong (4)

Shi, Zhentao (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Ji Hyung Lee.

Is cited by:

Demetrescu, Matei (13)

Rodrigues, Paulo (12)

GAO, Jiti (12)

Phillips, Peter (12)

Taylor, Robert (7)

Inoue, Atsushi (6)

Kilian, Lutz (6)

Yu, Jun (5)

Andersen, Torben (5)

Cho, Dooyeon (5)

Peng, Bin (4)

Cites to:

Phillips, Peter (56)

Heckman, James (17)

Toda, Alexis Akira (15)

Campbell, John (15)

Saez, Emmanuel (11)

Chernozhukov, Victor (11)

Piketty, Thomas (10)

Yu, Jun (10)

Yogo, Motohiro (8)

Elliott, Graham (8)

Vytlacil, Edward (7)

Main data

Where Ji Hyung Lee has published?

Journals with more than one article published# docs
Journal of Econometrics8
Econometric Theory3

Working Papers Series with more than one paper published# docs
Papers / arXiv.org6

Recent works citing Ji Hyung Lee (2024 and 2023)

YearTitle of citing document
2023Risk Aversion and Changes in Regime. (2023). Sola, Martin ; Kenc, Turalay ; Driffill, John ; Caravello, Tomas E. In: Working Papers. RePEc:aoz:wpaper:237.

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2023The Cointegrated VAR without Unit Roots: Representation Theory and Asymptotics. (2020). Simons, Jerome R ; Duffy, James A. In: Papers. RePEc:arx:papers:2002.08092.

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2023New robust inference for predictive regressions. (2020). Skrobotov, Anton ; Kim, Jihyun ; Ibragimov, Rustam. In: Papers. RePEc:arx:papers:2006.01191.

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2023Asymptotic Theory for Moderate Deviations from the Unit Boundary in Quantile Autoregressive Time Series. (2022). Katsouris, Christis. In: Papers. RePEc:arx:papers:2204.02073.

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2024On LASSO for High Dimensional Predictive Regression. (2022). Shi, Zhentao ; Mei, Ziwei. In: Papers. RePEc:arx:papers:2212.07052.

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2023Measuring 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.

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2023Testing for Coefficient Randomness in Local-to-Unity Autoregressions. (2023). Nishi, Mikihito. In: Papers. RePEc:arx:papers:2301.04853.

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2023Robust 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.

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2023Structural Break Detection in Quantile Predictive Regression Models with Persistent Covariates. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2302.05193.

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2024Inference in Predictive Quantile Regressions. (2023). Kuriyama, Nina ; Shimotsu, Katsumi ; Maynard, Alex. In: Papers. RePEc:arx:papers:2306.00296.

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2023Large sample properties of GMM estimators under second-order identification. (2023). Kruiniger, Hugo. In: Papers. RePEc:arx:papers:2307.13475.

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2023Bootstrapping Nonstationary Autoregressive Processes with Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2307.14463.

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2023Predictability Tests Robust against Parameter Instability. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2307.15151.

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2023Quantile Time Series Regression Models Revisited. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.06617.

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2023Break-Point Date Estimation for Nonstationary Autoregressive and Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.13915.

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2023High Dimensional Time Series Regression Models: Applications to Statistical Learning Methods. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.16192.

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2024Testing for Stationary or Persistent Coefficient Randomness in Predictive Regressions. (2023). Nishi, Mikihito. In: Papers. RePEc:arx:papers:2309.04926.

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2023Unified Inference for Dynamic Quantile Predictive Regression. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2309.14160.

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2024Estimating Conditional Value-at-Risk with Nonstationary Quantile Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2311.08218.

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2023Diagnosing 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.

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2023Noncausal 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.

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2023Seemingly 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.

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2024A simple theory of Pareto-distributed earnings. (2024). Harmenberg, Karl. In: Economics Letters. RePEc:eee:ecolet:v:234:y:2024:i:c:s0165176523005189.

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2023A 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.

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2023Robust 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.

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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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2023Extensions 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.

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2023Transformed 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.

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2024Detecting identification failure in moment condition models. (2024). Forneron, Jean-Jacques. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:1:s0304407623002683.

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2024Semi-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.

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2024Role 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.

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2024Finite underidentification. (2024). Sentana, Enrique. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000381.

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2023Investing 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.

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2023Complete 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.

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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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2024Household willingness to take financial risk: Stockmarket movements and life?cycle effects. (2023). Martin, Vance L ; Cardak, Buly A. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:149:y:2023:i:c:s0378426622003326.

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2023Can 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.

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2023Robust 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.

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2023Penalized 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.

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2023Consistency 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.

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2023A 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.

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2023Long?run predictability tests are even worse than you thought. (2022). Hjalmarsson, Erik ; Kiss, Tamas. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:37:y:2022:i:7:p:1334-1355.

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Works by Ji Hyung Lee:

YearTitleTypeCited
2021On LASSO for Predictive Regression In: Papers.
[Full Text][Citation analysis]		paper13
2022On LASSO for predictive regression.(2022) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13		article
2021Complete Subset Averaging for Quantile Regressions In: Papers.
[Full Text][Citation analysis]		paper3
2023COMPLETE SUBSET AVERAGING FOR QUANTILE REGRESSIONS.(2023) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		article
2020Complete 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
2022Predictive Quantile Regression with Mixed Roots and Increasing Dimensions: The ALQR Approach In: Papers.
[Full Text][Citation analysis]		paper1
2023Predictive 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: 1		article
2022Fixed-k Tail Regression: New Evidence on Tax and Wealth Inequality from Forbes 400 In: Papers.
[Full Text][Citation analysis]		paper0
2023Tuning Parameter-Free Nonparametric Density Estimation from Tabulated Summary Data In: Papers.
[Full Text][Citation analysis]		paper0
2024Tuning parameter-free nonparametric density estimation from tabulated summary data.(2024) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 0		article
2022Capital and Labor Income Pareto Exponents in the United States, 1916-2019 In: Papers.
[Full Text][Citation analysis]		paper1
2018ON STANDARD INFERENCE FOR GMM WITH LOCAL IDENTIFICATION FAILURE OF KNOWN FORMS In: Econometric Theory.
[Full Text][Citation analysis]		article9
2020QUANTILOGRAMS UNDER STRONG DEPENDENCE In: Econometric Theory.
[Full Text][Citation analysis]		article0
2018Quantilograms under Strong Dependence.(2018) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2012VARs with Mixed Roots Near Unity In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper0
2013Predictive regression under various degrees of persistence and robust long-horizon regression In: Journal of Econometrics.
[Full Text][Citation analysis]		article62
2016Predictive quantile regression with persistent covariates: IVX-QR approach In: Journal of Econometrics.
[Full Text][Citation analysis]		article39
2015Predictive quantile regression with persistent covariates: IVX-QR approach.(2015) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 39		paper
2016Robust econometric inference with mixed integrated and mildly explosive regressors In: Journal of Econometrics.
[Full Text][Citation analysis]		article30
2019Predictive quantile regressions under persistence and conditional heteroskedasticity In: Journal of Econometrics.
[Full Text][Citation analysis]		article23
2023Nonparametric identification and estimation of the extended Roy model In: Journal of Econometrics.
[Full Text][Citation analysis]		article1
2016Asset pricing with financial bubble risk In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article22
2019Martingale decomposition and approximations for nonlinearly dependent processes In: Statistics & Probability Letters.
[Full Text][Citation analysis]		article0
2023Quantile Impulse Response Analysis with Applications in Macroeconomics and Finance In: Advances in Econometrics.
[Full Text][Citation analysis]		chapter0
2024Estimation and Inference of Quantile Impulse Response Functions by Local Projections: With Applications to VaR Dynamics* In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article0
2015Limit Theory for VARs with Mixed Roots Near Unity In: Econometric Reviews.
[Full Text][Citation analysis]		article5

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