Ji Hyung Lee : Citation Profile

University of Illinois at Urbana-Champaign

7

H index

7

i10 index

253

Citations

RESEARCH PRODUCTION:

16

Articles

14

Papers

1

Chapters

RESEARCH ACTIVITY:

   13 years (2012 - 2025). See details.
   Cites by year: 19
   Journals where Ji Hyung Lee has often published
   Relations with other researchers
   Recent citing documents: 48.    Total self citations: 13 (4.89 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ple807
   Updated: 2026-01-17    RAS profile: 2025-07-07    
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Relations with other researchers

Works with:

Shin, Youngki (5)

Sasaki, Yuya (4)

Wang, Yulong (4)

Toda, Alexis Akira (4)

Gao, Zhan (3)

Park, Woong Yong (2)

Doh, Taeyoung (2)

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 (15)

Phillips, Peter (15)

Rodrigues, Paulo (14)

GAO, Jiti (12)

Taylor, Robert (9)

Kilian, Lutz (6)

Inoue, Atsushi (6)

Andersen, Torben (5)

Maynard, Alex (5)

Yu, Jun (5)

Cho, Dooyeon (5)

Cites to:

Phillips, Peter (62)

Heckman, James (18)

Campbell, John (17)

Chernozhukov, Victor (16)

Toda, Alexis Akira (12)

Saez, Emmanuel (12)

Piketty, Thomas (11)

Yogo, Motohiro (10)

Yu, Jun (10)

Giannone, Domenico (9)

Elliott, Graham (8)

Main data

Where Ji Hyung Lee has published?

Journals with more than one article published# docs
Journal of Econometrics8
Econometric Theory3
Journal of Financial Econometrics2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org9

Recent works citing Ji Hyung Lee (2025 and 2024)

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

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

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2025Large sample properties of GMM estimators under second-order identification. (2023). Kruiniger, Hugo. In: Papers. RePEc:arx:papers:2307.13475.

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

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

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2024Robust Inference for Multiple Predictive Regressions with an Application on Bond Risk Premia. (2024). Li, Xinjue ; Liao, Xiaosai ; Fan, Qingliang. In: Papers. RePEc:arx:papers:2401.01064.

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2024Robust Estimation in Network Vector Autoregression with Nonstationary Regressors. (2024). Katsouris, Christis. In: Papers. RePEc:arx:papers:2401.04050.

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2024Robust Bond Risk Premia Predictability Test in the Quantiles. (2024). Fan, Qingliang ; Li, Xinjue ; Liao, Xiaosai. In: Papers. RePEc:arx:papers:2410.03557.

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2024Persistence-Robust Break Detection in Predictive Quantile and CoVaR Regressions. (2024). Hoga, Yannick. In: Papers. RePEc:arx:papers:2410.05861.

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2024Nickell Meets Stambaugh: A Tale of Two Biases in Panel Predictive Regressions. (2024). Shi, Zhentao ; Mei, Ziwei ; Liao, Chengwang. In: Papers. RePEc:arx:papers:2410.09825.

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2025Estimating Nonseparable Selection Models: A Functional Contraction Approach. (2025). Xin, YI ; Wu, Fan. In: Papers. RePEc:arx:papers:2411.01799.

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2025Self-Normalized Inference in (Quantile, Expected Shortfall) Regressions for Time Series. (2025). Schulz, Christian ; Hoga, Yannick. In: Papers. RePEc:arx:papers:2502.10065.

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2025Sino-US S and T Frictions and Transnational Knowledge Flows: Evidence from machine learning and cross-national patent data. (2025). Xu, Yan ; Ge, Jinfeng ; Zhang, Nan ; Yang, Yanqing. In: Papers. RePEc:arx:papers:2503.21822.

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2025Quantile Predictions for Equity Premium using Penalized Quantile Regression with Consistent Variable Selection across Multiple Quantiles. (2025). Sherwood, Ben ; Li, Shaobo. In: Papers. RePEc:arx:papers:2505.16019.

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2025Beyond the Oracle Property: Adaptive LASSO in Cointegrating Regressions. (2025). Schneider, Ulrike ; Reichold, Karsten. In: Papers. RePEc:arx:papers:2510.07204.

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2024Penalisation Methods in Fitting High‐Dimensional Cointegrated Vector Autoregressive Models: A Review. (2024). Ditlevsen, Susanne ; Levakova, Marie. In: International Statistical Review. RePEc:bla:istatr:v:92:y:2024:i:2:p:160-193.

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2024Testing Predictability in the Presence of Persistent Errors. (2024). Yu, Jun ; Lui, Yiu Lim ; Fei, Yijie. In: Working Papers. RePEc:boa:wpaper:202401.

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2025Households Medium- to Long-Term Inflation Expectations Formation: The Role of Past Experience and Inflation Regimes. (2025). Fujii, GO ; Nakano, Shogo ; Takatomi, Kosuke. In: Bank of Japan Working Paper Series. RePEc:boj:bojwps:wp25e06.

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2025Robust Inference for Time Varying Predictability: A Sieve-IVX Approach. (2025). Phillips, Peter ; Liu, Yanbo ; Zhang, Yajie. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2431.

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2024On the sources of the aggregate risk premium: Risk aversion, bubbles or regime-switching?. (2024). Sola, Martin ; Kenc, Turalay ; Caravello, Tomas E ; Driffill, John. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:166:y:2024:i:c:s0165188924001118.

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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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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). Meango, Romuald ; Henry, Marc ; Mourifie, Ismael. 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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2024Robust inference of panel data models with interactive fixed effects under long memory: A frequency domain approach. (2024). Su, Liangjun ; Phillips, Peter ; Ke, Shuyao. In: Journal of Econometrics. RePEc:eee:econom:v:241:y:2024:i:2:s0304407624001076.

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2024On LASSO for high dimensional predictive regression. (2024). Mei, Ziwei ; Shi, Zhentao. In: Journal of Econometrics. RePEc:eee:econom:v:242:y:2024:i:2:s0304407624001556.

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2024Inference in predictive quantile regressions. (2024). Maynard, Alex ; Shimotsu, Katsumi ; Kuriyama, Nina. In: Journal of Econometrics. RePEc:eee:econom:v:245:y:2024:i:1:s0304407624002203.

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2025Uniform inference for cointegrated vector autoregressive processes. (2025). Holberg, Christian ; Ditlevsen, Susanne. In: Journal of Econometrics. RePEc:eee:econom:v:247:y:2025:i:c:s0304407624002951.

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2025Reprint of: Finite underidentification. (2025). Sentana, Enrique. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s0304407625000016.

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2025Predictive quantile regressions with persistent and heteroskedastic predictors: A powerful 2SLS testing approach. (2025). Taylor, Robert ; Rodrigues, Paulo ; Demetrescu, Matei ; Robert, A M. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pb:s0304407625000569.

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2025Testing the Predictive Ability of Possibly Persistent Variables under Asymmetric Loss. (2025). Demetrescu, Matei ; Roling, Christoph. In: Econometrics and Statistics. RePEc:eee:ecosta:v:33:y:2025:i:c:p:80-104.

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2024The asymmetric effects of monetary policy on stock price bubbles. (2024). Labondance, Fabien ; Hubert, Paul ; Blot, Christophe. In: European Economic Review. RePEc:eee:eecrev:v:168:y:2024:i:c:s0014292124001533.

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2025Do global COVOL and geopolitical risks affect clean energy prices? Evidence from explainable artificial intelligence models. (2025). Cepni, Oguzhan ; Bakkar, Yassine ; ben Jabeur, Sami. In: Energy Economics. RePEc:eee:eneeco:v:141:y:2025:i:c:s0140988324008211.

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2025Predictive power of oil prices on CDS spread dynamics of oil-producing countries. (2025). Nguyen, Tam Huu ; Maiani, Stefano ; Wegener, Christoph ; Basse, Tobias. In: Energy Economics. RePEc:eee:eneeco:v:145:y:2025:i:c:s0140988325001999.

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2024Price exuberance episodes in private real estate. (2024). Urga, Giovanni ; Tsolacos, Sotiris ; Cincinelli, Peter. In: Journal of Financial Stability. RePEc:eee:finsta:v:74:y:2024:i:c:s1572308924000858.

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2025Asset class liquidity risk indicators. Timing the risk in the European and US equity and bond markets. (2025). Urga, Giovanni ; Varaldo, Alessandro ; Coppola, Anna. In: Journal of Financial Stability. RePEc:eee:finsta:v:76:y:2025:i:c:s1572308924001542.

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2024The asymmetric effect of G7 stock market volatility on predicting oil price volatility: Evidence from quantile autoregression model. (2024). Gao, Hongfu ; Zhang, Feipeng ; Yuan, DI. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:35:y:2024:i:c:s240585132400028x.

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2025Corporate bond market distress. (2025). Crump, Richard ; Shachar, OR ; Kovner, Anna ; Boyarchenko, Nina. In: Journal of Monetary Economics. RePEc:eee:moneco:v:152:y:2025:i:c:s0304393225000364.

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2025Informational efficiency and rational bubbles. (2025). Ardakani, Omid M. In: International Review of Economics & Finance. RePEc:eee:reveco:v:103:y:2025:i:c:s1059056025006495.

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2025A simplified condition for quantile regression. (2025). Qi, Yongcheng ; Peng, Liang. In: Statistics & Probability Letters. RePEc:eee:stapro:v:224:y:2025:i:c:s0167715225000896.

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2024Corporate Bond Market Distress. (2024). Shachar, Or ; Kovner, Anna ; Crump, Richard ; Boyarchenko, Nina. In: Working Paper. RePEc:fip:fedrwp:98841.

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2025Maternal plasma cell-free RNA as a predictor of early and late-onset preeclampsia throughout pregnancy. (2025). Volkov, Petr ; Palacios-Marqus, Ana Mara ; Monfort-Ortiz, Rogelio ; Marcos-Puig, Beatriz ; Vives, Alba ; Perales-Marn, Alfredo ; Ortiz-Domingo, Rika ; Plasencia, Walter ; Gaspar-Domnech, Ngela ; Ortega-Sanchs, Sheila ; Gonzalez-Gonzalez, Nieves Luisa ; Bernat-Gonzlez, Neus ; Muoz-Blat, Irene ; Santacruz, Beln ; Igual, Marina ; Garrido-Gmez, Tamara ; del Mar, Maria ; Cordero, Teresa ; Simn, Carlos ; Canovas, Esther ; Castillo-Marco, Nerea ; Benitez-Delgado, Taysa ; Hernandez-Hernandez, Laura ; Gmez-Lvarez, Carla ; Martin-Martinez, Alicia ; Melchor, Igo. In: Nature Communications. RePEc:nat:natcom:v:16:y:2025:i:1:d:10.1038_s41467-025-64215-2.

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2024A joint test of predictability and structural break in predictive regressions. (2024). Fei, Yijie. In: Empirical Economics. RePEc:spr:empeco:v:67:y:2024:i:3:d:10.1007_s00181-024-02572-5.

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2025Spatial analysis of speculation in the US housing market. (2025). Mamkhezri, Jamal ; Amani, Ramin ; Manochehri, Salaheddin. In: Future Business Journal. RePEc:spr:futbus:v:11:y:2025:i:1:d:10.1186_s43093-025-00439-4.

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2024Reassessing growth vulnerability. (2024). Cho, Dooyeon ; Rho, Seunghwa. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:39:y:2024:i:1:p:225-234.

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2025Tail Risks Everywhere and Crude Oil Returns: New Insights From Predictive Quantile Approaches. (2025). Zhang, Yuejun ; Zhao, Wen. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:7:p:685-704.

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2024Specification testing for conditional moment restrictions under local identification failure. (2024). Gospodinov, Nikolay ; Dovonon, Prosper. In: Quantitative Economics. RePEc:wly:quante:v:15:y:2024:i:3:p:849-891.

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Works by Ji Hyung Lee:

YearTitleTypeCited
2021On LASSO for Predictive Regression In: Papers.
[Full Text][Citation analysis]		paper20
2022On LASSO for predictive regression.(2022) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 20		article
2021Complete Subset Averaging for Quantile Regressions In: Papers.
[Full Text][Citation analysis]		paper5
2023COMPLETE SUBSET AVERAGING FOR QUANTILE REGRESSIONS.(2023) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		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: 5		paper
2022Predictive Quantile Regression with Mixed Roots and Increasing Dimensions: The ALQR Approach In: Papers.
[Full Text][Citation analysis]		paper7
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: 7		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.
[Full Text][Citation analysis]
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
2024Econometric Inference for High Dimensional Predictive Regressions In: Papers.
[Full Text][Citation analysis]		paper0
2024Predictive Quantile Regression with High-Dimensional Predictors: The Variable Screening Approach In: Papers.
[Full Text][Citation analysis]		paper0
2025Machine-learning Growth at Risk In: Papers.
[Full Text][Citation analysis]		paper0
2018ON STANDARD INFERENCE FOR GMM WITH LOCAL IDENTIFICATION FAILURE OF KNOWN FORMS In: Econometric Theory.
[Full Text][Citation analysis]		article11
2020QUANTILOGRAMS UNDER STRONG DEPENDENCE In: Econometric Theory.
[Full Text][Citation analysis]		article1
2018Quantilograms under Strong Dependence.(2018) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		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]		article66
2016Predictive quantile regression with persistent covariates: IVX-QR approach In: Journal of Econometrics.
[Full Text][Citation analysis]		article49
2015Predictive quantile regression with persistent covariates: IVX-QR approach.(2015) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 49		paper
2016Robust econometric inference with mixed integrated and mildly explosive regressors In: Journal of Econometrics.
[Full Text][Citation analysis]		article29
2019Predictive quantile regressions under persistence and conditional heteroskedasticity In: Journal of Econometrics.
[Full Text][Citation analysis]		article27
2023Nonparametric identification and estimation of the extended Roy model In: Journal of Econometrics.
[Full Text][Citation analysis]		article2
2016Asset pricing with financial bubble risk In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article28
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
2024Heterogeneity in Household Inflation Expectations: Policy Implications In: Research Working Paper.
[Full Text][Citation analysis]		paper0
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
2025Heterogeneity in Household Inflation Expectations and Monetary Policy In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article1
2015Limit Theory for VARs with Mixed Roots Near Unity In: Econometric Reviews.
[Full Text][Citation analysis]		article6

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