Tae Hwy Lee : Citation Profile

University of California-Riverside

18

H index

24

i10 index

1651

Citations

RESEARCH PRODUCTION:

47

Articles

56

Papers

7

Chapters

RESEARCH ACTIVITY:

   36 years (1989 - 2025). See details.
   Cites by year: 45
   Journals where Tae Hwy Lee has often published
   Relations with other researchers
   Recent citing documents: 96.    Total self citations: 30 (1.78 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ple784
   Updated: 2025-12-20    RAS profile: 2023-10-07    
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Relations with other researchers

Works with:

Ullah, Aman (11)

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:

GUPTA, RANGAN (27)

Kapetanios, George (25)

Pereira, Alfredo (19)

Manera, Matteo (14)

van Dijk, Dick (14)

Galeotti, Marzio (12)

Bouri, Elie (12)

Kouretas, Georgios (12)

Gómez Biscarri, Javier (11)

Milas, Costas (11)

Teräsvirta, Timo (11)

Cites to:

Diebold, Francis (39)

Engle, Robert (35)

Timmermann, Allan (34)

Bollerslev, Tim (31)

Watson, Mark (30)

Pesaran, Mohammad (29)

West, Kenneth (26)

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

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 (2025 and 2024)

YearTitle of citing document
2025Binary Choice with Asymmetric Loss in a Data-Rich Environment: Theory and an Application to Racial Justice. (2021). Babii, Andrii ; Chen, XI ; Kumar, Rohit ; Ghysels, Eric. In: Papers. RePEc:arx:papers:2010.08463.

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2024Hierarchical Regularizers for Reverse Unrestricted Mixed Data Sampling Regressions. (2024). Wilms, Ines ; Hecq, Alain ; Ternes, Marie. In: Papers. RePEc:arx:papers:2301.10592.

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2024Heterogeneity-robust granular instruments. (2024). Qian, Eric. In: Papers. RePEc:arx:papers:2304.01273.

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2024Navigating Market Turbulence: Insights from Causal Network Contagion Value at Risk. (2024). Cook, Samantha ; Rigana, Katerina ; Wit, Ernst C. In: Papers. RePEc:arx:papers:2402.06032.

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2024Quantile Granger Causality in the Presence of Instability. (2024). Wied, Dominik ; Troster, Victor ; Mayer, Alexander. In: Papers. RePEc:arx:papers:2402.09744.

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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, Yun-Shi. In: Papers. RePEc:arx:papers:2404.01641.

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2025Non-linear dependence and Granger causality: A vine copula approach. (2024). Rungi, Armando ; Crimaldi, Irene ; Fuentes, Roberto. In: Papers. RePEc:arx:papers:2409.15070.

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2025Time-Series Foundation Model for Value-at-Risk Forecasting. (2025). Kanniainen, Juho ; Pasricha, Puneet ; Goel, Anubha. In: Papers. RePEc:arx:papers:2410.11773.

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2024A GARCH model with two volatility components and two driving factors. (2024). Ballestra, Luca Vincenzo ; Tezza, Christian ; D'Innocenzo, Enzo. In: Papers. RePEc:arx:papers:2410.14585.

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2024New approaches of the DCC-GARCH residual: Application to foreign exchange rates. (2024). Yamakami, Tomohisa ; Shiraya, Kenichiro ; Suzuki, Kanji. In: Papers. RePEc:arx:papers:2411.08246.

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2025A multi-factor model for improved commodity pricing: Calibration and an application to the oil market. (2025). Ballestra, Luca Vincenzo ; Tezza, Christian. In: Papers. RePEc:arx:papers:2501.15596.

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2025Which Came First, The Chicken or the Egg? What about Ducks?: Granger Causality Using Philippine Poultry Data. (2025). Diaz, John Francis. In: Journal of Economic Statistics. RePEc:bba:j00005:v:3:y:2025:i:1:p:1-6:d:425.

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2024A new test of fiscal dominance and central bank independence. (2024). Hoddenbagh, Jonathan. In: French Stata Users' Group Meetings 2024. RePEc:boc:fsug24:20.

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2025Forecasting the Impact of Extreme Weather Events on Electricity Prices in Italy: A GARCH-MIDAS Approach with Enhanced Variable Selection. (2025). Riso, Luigi ; Zoia, Maria Grazia ; Guerzoni, Marco. In: DISCE - Working Papers del Dipartimento di Politica Economica. RePEc:ctc:serie5:dipe0043.

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2024Revisiting the relationship between Oil Price and Food Prices in the US: Evidence from Threshold Cointegration with Asymmetric Adjustment. (2024). ben Hamouda, Abderrazek. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2024-02-3.

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2024Benchmark Prices and Iraqi Oil Prices: The Asymmetric Effects of Benchmark Prices on Three Iraqi Oil Blends. (2024). Kahraman, Volkan ; Dogan, Nukhet ; Berument, Hakan. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2024-02-9.

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2024Tail risk connectedness in G7 stock markets: Understanding the impact of COVID-19 and related variants. (2024). HU, YANG ; Corbet, Shaen ; Hou, Yang ; Lang, Chunlin. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:41:y:2024:i:c:s2214635024000042.

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2025Penalized quadratic inference functions estimation of fixed effects partially linear varying coefficient spatial error model. (2025). Li, Fen ; Chen, Jianbao. In: Economic Modelling. RePEc:eee:ecmode:v:146:y:2025:i:c:s0264999325000173.

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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). Huang, Yirong ; Luo, YI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000731.

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2025Portfolio tail risk forecasting for international financial assets: A GARCH-MIDAS-R-Vine copula model. (2025). Yao, Yinhong ; Chen, Xiuwen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:77:y:2025:i:c:s1062940825000257.

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2025Inventory decisions under political violence. (2025). Mendes, Diogo ; Custdio, Cludia. In: Economics Letters. RePEc:eee:ecolet:v:247:y:2025:i:c:s0165176524006426.

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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) ; Yang, Yanrong ; Zhong, Wei ; 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). Hong, Yongmiao ; Chen, Qitong ; Li, Haiqi. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000393.

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2025Quantile Granger causality in the presence of instability. (2025). Wied, Dominik ; Troster, Victor ; Mayer, Alexander. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pb:s0304407625000466.

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2025Model averaging prediction for possibly nonstationary autoregressions. (2025). Liu, Chu-An ; Lin, Tzu-Chi. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pb:s030440762500048x.

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2025Quantile prediction with factor-augmented regression: Structural instability and model uncertainty. (2025). Wang, Siwei ; Tu, Yundong. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pb:s0304407625000533.

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2025An Automatic Portmanteau Test For Nonlinear Dependence. (2025). Grivas, Charisios. In: Econometrics and Statistics. RePEc:eee:ecosta:v:35:y:2025:i:c:p:71-83.

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2024Equity markets volatility clustering: A multiscale analysis of intraday and overnight returns. (2024). Zhang, Yali ; Zhao, Xiaojun ; Shang, Pengjian ; Xu, Chao. In: Journal of Empirical Finance. RePEc:eee:empfin:v:77:y:2024:i:c:s0927539824000227.

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2024Forecasting realized volatility: Does anything beat linear models?. (2024). Zevallos, Mauricio ; Rubesam, Alexandre ; Branco, Rafael R. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000598.

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2024Technological shocks and stock market volatility over a century. (2024). Salisu, Afees ; GUPTA, RANGAN ; Demirer, Riza. In: Journal of Empirical Finance. RePEc:eee:empfin:v:79:y:2024:i:c:s0927539824000951.

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2025Tail risk dynamics of banks with score-driven extreme value models. (2025). Herrera, Rodrigo ; Clements, Adam ; Fuentes, Fernanda. In: Journal of Empirical Finance. RePEc:eee:empfin:v:81:y:2025:i:c:s0927539825000155.

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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 ; Guo, Pengwei ; Oxley, Les ; Liu, Han. 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). Syuhada, Khreshna ; Suprijanto, Djoko ; Hakim, Arief. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s0140988323007594.

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2024Volatility dynamics of agricultural futures markets under uncertainties. (2024). Uddin, Gazi ; PARK, DONGHYUN ; Zhu, Xuening ; Sheng, Lin Wen ; Dutta, Anupam. In: Energy Economics. RePEc:eee:eneeco:v:136:y:2024:i:c:s0140988324004626.

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2025Environmental attention and the predictability of crude oil volatility: Evidence from a new MIDAS multifractal model. (2025). Dong, Xin ; Gong, Jinguo ; Wang, Qin. In: Energy Economics. RePEc:eee:eneeco:v:143:y:2025:i:c:s0140988325000507.

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2024Volatility prediction for the energy sector with economic determinants: Evidence from a hybrid model. (2024). Wang, Yuejing ; Jiang, Ying ; Liu, Xiaoquan ; Ye, Wuyi. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000267.

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2024Volatility spillovers and hedging strategies between impact investing and agricultural commodities. (2024). Sensoy, Ahmet ; Akhtaruzzaman, Md ; Goodell, John W ; Banerjee, Ameet Kumar. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924001698.

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2024The spillover and comovement of downside and upside tail risks among crude oil futures markets. (2024). Yang, Hao ; Feng, Yun. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005106.

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2024Macro-Driven Stock Market Volatility Prediction: Insights from a New Hybrid Machine Learning Approach. (2024). Lin, YU ; Xu, Jin ; Lu, Xinjie ; Zeng, Qing. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pb:s1057521924006434.

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2025A novel HAR-type realized volatility forecasting model using graph neural network. (2025). Yin, Xuebao ; Yao, Yuhang ; Hu, Nan. In: International Review of Financial Analysis. RePEc:eee:finana:v:98:y:2025:i:c:s1057521924008135.

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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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2024The uncertainty of fluctuation correlations in global stock markets. (2024). Rong, Xueyun ; Yin, Lei ; Wang, Faming. In: Finance Research Letters. RePEc:eee:finlet:v:66:y:2024:i:c:s1544612324007372.

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2025Forecasting crude oil price volatility with uncertainty: New modeling with multivariate selection. (2025). Zhang, Yunyi ; Hu, Ting ; Xiao, Shuang. In: Finance Research Letters. RePEc:eee:finlet:v:80:y:2025:i:c:s1544612325007020.

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2024Temporal networks and financial contagion. (2024). Nocciola, Luca ; Franch, Fabio ; Vouldis, Angelos. In: Journal of Financial Stability. RePEc:eee:finsta:v:71:y:2024:i:c:s1572308924000093.

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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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2024A False Discovery Rate approach to optimal volatility forecasting model selection. (2024). Baker, Paul L ; Platanakis, Emmanouil ; Hassanniakalager, Arman. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:3:p:881-902.

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2024Flight delay propagation inference in air transport networks using the multilayer perceptron. (2024). Okhrin, Ostap ; Rosenow, Judith ; Fricke, Hartmut ; Chen, Gong. In: Journal of Air Transport Management. RePEc:eee:jaitra:v:114:y:2024:i:c:s0969699723001539.

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2025Forecasting the realized variance in the presence of intraday periodicity. (2025). Hizmeri, Rodrigo ; Izzeldin, Marwan ; Maria, Ana. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:170:y:2025:i:c:s0378426624002565.

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2024More attention and better volatility forecast accuracy: How does war attention affect stock volatility predictability?. (2024). Wang, LU ; Duong, Duy ; Liang, Chao. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:218:y:2024:i:c:p:1-19.

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2024Autopsy of a futures market failure: Japan’s Dojima rice futures in the early 21st century. (2024). Yamamoto, Shuhei ; Janzen, Joseph P ; Serra, Teresa. In: Food Policy. RePEc:eee:jfpoli:v:128:y:2024:i:c:s0306919224001283.

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2024Money/asset ratio as a predictor of inflation. (2024). Do, Nguyen Duc. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:97:y:2024:i:c:s1062976924001029.

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2025Re-assessment of sustainability of current account deficit in India: Insights from threshold cointegration and NARDL analysis. (2025). Mallick, Lingaraj. In: Research in Economics. RePEc:eee:reecon:v:79:y:2025:i:2:s109094432500016x.

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2025Modelling the volatility dynamics of Chinas regional carbon markets: The heterogeneous effects of the fossil and clean energy electricity generation. (2025). Mo, Jianlei ; Wang, Huiyou ; Lu, Xunfa. In: Renewable Energy. RePEc:eee:renene:v:240:y:2025:i:c:s0960148124023206.

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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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2024Do dirty and clean energy investments react to infectious disease-induced uncertainty?. (2024). Uddin, Gazi ; PARK, DONGHYUN ; Ghosh, Sajal ; Kanjilal, Kakali ; Dutta, Anupam. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:205:y:2024:i:c:s0040162524003111.

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2024Forecasting VaR and ES through Markov-switching GARCH models: does the specication matter?. (2024). Valls Pereira, Pedro ; Hotta, Luiz ; Zevallos, Mauricio Henrique ; Trucios, Carlos Cesar. In: Textos para discussão. RePEc:fgv:eesptd:567.

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2025Linear and nonlinear econometric models against machine learning models: realized volatility prediction. (2025). Kili, Rehim. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2025-61.

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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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2025Estimating the Impact of ESG on Financial Forecast Predictability Using Machine Learning Models. (2025). Dinc, Marius Sorin ; Ciotlui, Vlad ; Akomeah, Frank. In: IJFS. RePEc:gam:jijfss:v:13:y:2025:i:3:p:166-:d:1741768.

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2024Do Consumption-Based Asset Pricing Models Explain the Dynamics of Stock Market Returns?. (2024). LINTON, OLIVER ; Ashby, Michael William. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:2:p:71-:d:1337388.

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2024An Age–Period–Cohort Framework for Profit and Profit Volatility Modeling. (2024). Breeden, Joseph L. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:10:p:1427-:d:1389720.

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2024Value-at-Risk Effectiveness: A High-Frequency Data Approach with Semi-Heavy Tails. (2024). Santillán-Salgado, Roberto ; Sahu, Sonal ; Santillan-Salgado, Roberto Joaquin ; Contreras-Valdez, Mario Ivan ; Nuez-Mora, Jose Antonio. In: Risks. RePEc:gam:jrisks:v:12:y:2024:i:3:p:50-:d:1356275.

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2025An IID Test for Functional Time Series with Applications to High-Frequency VIX Index Data. (2025). Siu, Tak Kuen ; Shang, Han Lin ; Huang, Xin. In: Risks. RePEc:gam:jrisks:v:13:y:2025:i:2:p:25-:d:1580573.

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2025Interaction Effects of Green Finance and Digital Platforms on China’s Economic Growth. (2025). Du, Xuyang ; Xie, Xiaojun ; Kader, Nurhafiza Abdul ; Li, HE. In: Sustainability. RePEc:gam:jsusta:v:17:y:2025:i:18:p:8171-:d:1746906.

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2025Modelling the dependence between recent changes in polar ice sheets: Implications for global sea-level projections. (2025). Martinez, Andrew ; Jackson, Luke P ; Pretis, Felix ; Juselius, Katarina. In: Working Papers. RePEc:gwc:wpaper:2025-002.

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2024Stein-like Common Correlated Effects Estimation Under Structural Breaks. (2024). Parsaeian, Shahnaz. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202409.

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2025State-Varying Model Averaging Prediction. (2025). Cai, Zongwu ; Hong, Shaoxin ; Sun, Yuying. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202507.

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2024Impact of tax changes on the risk premium of the WIG index. (2024). Radwaski, Pawe. In: Bank i Kredyt. RePEc:nbp:nbpbik:v:55:y:2024:i:3:p:333-356.

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2024Score-Driven Modeling with Jumps: An Application to S&P500 Returns and Options. (2024). Guizzardi, Andrea ; Ballestra, Luca Vincenzo ; Dinnocenzo, Enzo. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:22:y:2024:i:2:p:375-406..

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2025Analysing investor sentiment and stock market volatility of the JSE size-based indices: a GARCH-MIDAS approach. (2025). Isah, Kazeem ; Muzindutsi, Paul-Francois ; Moores-Pitt, Peter ; Naidoo, Thiasha. In: Risk Management. RePEc:pal:risman:v:27:y:2025:i:3:d:10.1057_s41283-025-00165-9.

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2024GARCHX-NoVaS: A Model-Free Approach to Incorporate Exogenous Variables. (2024). GUPTA, RANGAN ; Karmakar, Sayar ; Wu, Kejin. In: Working Papers. RePEc:pre:wpaper:202425.

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2024Influence of Local and Global Economic Policy Uncertainty on the Volatility of US State-Level Equity Returns: Evidence from a GARCH-MIDAS Approach with Shrinkage and Cluster Analysis. (2024). GUPTA, RANGAN ; Gallo, Giampiero ; Cepni, Oguzhan ; Candila, Vincenzo. In: Working Papers. RePEc:pre:wpaper:202437.

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2024Financial Uncertainty and Gold Market Volatility: Evidence from a GARCH-MIDAS Approach with Variable Selection. (2024). Pierdzioch, Christian ; GUPTA, RANGAN ; Cepni, Oguzhan ; Liu, Rui Peng ; Bouri, Elie ; Chuang, O-Chia. In: Working Papers. RePEc:pre:wpaper:202441.

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2025Deglobalization and Foreign Exchange Volatility: The Role of Supply Chain Pressures. (2025). GUPTA, RANGAN ; Demirer, Riza ; Schulte-Tillmann, Bjorn ; Segnon, Mawuli. In: Working Papers. RePEc:pre:wpaper:202506.

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2024Time series forecasting under structural breaks. (2024). Skrobotov, Anton. In: Applied Econometrics. RePEc:ris:apltrx:0512.

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2024Did Precious Metals Serve as Hedge and Safe-haven Alternatives to Equity During the COVID-19 Pandemic: New Insights Using a Copula-based Approach. (2024). Pradhan, H K ; Banerjee, Ameet Kumar. In: Journal of Emerging Market Finance. RePEc:sae:emffin:v:23:y:2024:i:4:p:399-423.

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2024Impact of Exchange Rate on Trade Balance of India: Evidence from Threshold Cointegration with Asymmetric Error Correction Approach. (2024). Behera, Smruti Ranjan ; Bhattacharya, Mita ; Mallick, Lingaraj. In: Foreign Trade Review. RePEc:sae:fortra:v:59:y:2024:i:2:p:279-308.

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2024Financialization and Militarization: An Empirical Investigation. (2024). Elveren, Adem ; 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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2024Macroeconomic attention and commodity market volatility. (2024). Skintzi, Vasiliki ; Stavroula, Fameliti. In: Empirical Economics. RePEc:spr:empeco:v:67:y:2024:i:5:d:10.1007_s00181-024-02613-z.

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2024The power of news data in forecasting tail risk: evidence from China. (2024). Ma, Yong ; Yan, LU ; Pan, Dongtao. In: Empirical Economics. RePEc:spr:empeco:v:67:y:2024:i:6:d:10.1007_s00181-024-02620-0.

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2024A novel robust method for estimating the covariance matrix of financial returns with applications to risk management. (2024). Toscano, Pietro ; Leccadito, Arturo ; Staino, Alessandro. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-024-00642-2.

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2025Environmental degradation on poverty reduction in Nigeria. (2025). Taiwo, Akinlo. In: Journal of Social and Economic Development. RePEc:spr:jsecdv:v:27:y:2025:i:2:d:10.1007_s40847-024-00348-2.

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2024Forecasting EUA futures volatility with geopolitical risk: evidence from GARCH-MIDAS models. (2024). Gao, Qiujin ; Xiao, Ling ; Lu, Hengzhen ; Dhesi, Gurjeet. In: Review of Managerial Science. RePEc:spr:rvmgts:v:18:y:2024:i:7:d:10.1007_s11846-023-00722-0.

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2025Modelling commodity market volatility with climate policy uncertainty: a GARCH-MIDAS approach. (2025). Lasisi, Lukman ; Ngwu, Franklin N ; Taliat, Mohammed K ; Olaniran, Abeeb O ; Nnamdi, Kelechi C. In: SN Business & Economics. RePEc:spr:snbeco:v:5:y:2025:i:3:d:10.1007_s43546-025-00792-0.

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2024A novel copula-based approach for parametric estimation of univariate time series through its covariance decay. (2024). , Slvia ; Prass, Taiane S ; Pumi, Guilherme. In: Statistical Papers. RePEc:spr:stpapr:v:65:y:2024:i:2:d:10.1007_s00362-023-01418-z.

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2024A weighted average limited information maximum likelihood estimator. (2024). Qasim, Muhammad. In: Statistical Papers. RePEc:spr:stpapr:v:65:y:2024:i:5:d:10.1007_s00362-023-01485-2.

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2025Exploiting News Analytics for Volatility Forecasting. (2025). Bodilsen, Simon Tranberg ; Lunde, Asger. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:40:y:2025:i:1:p:18-36.

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2024Big data financial transactions and GDP nowcasting: The case of Turkey. (2024). Ortiz, Alvaro ; Yazgan, Ege ; Isa, Berk Orkun ; Soybilgen, Baris ; Barlas, Ali B ; Rodrigo, Tomasa ; Mert, Seda Guler. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:2:p:227-248.

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2024Forecasting the high‐frequency volatility based on the LSTM‐HIT model. (2024). Wang, Min ; Zhuang, Ziyan ; Liu, Guangying. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:5:p:1356-1373.

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2024Forecasting realized volatility of crude oil futures prices based on machine learning. (2024). Walther, Thomas ; Ji, Qiang ; Klein, Tony ; Luo, Jiawen. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:5:p:1422-1446.

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2024Liquidity‐adjusted value‐at‐risk using extreme value theory and copula approach. (2024). Paul, Samit ; Kamal, Harish. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:6:p:1747-1769.

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2024Predicting tail risks by a Markov switching MGARCH model with varying copula regimes. (2024). Fulle, Markus J ; Herwartz, Helmut. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:6:p:2163-2186.

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2024Forecasting tail risk of skewed financial returns having exponential‐polynomial tails. (2024). Adam, Anokye M ; Gyamfi, Emmanuel N ; Antwi, Albert. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:7:p:2731-2748.

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2025Macroeconomic Drivers of Sustainable Tourism Development in Bangladesh: An ARDL Bounds Testing Approach. (2025). Dhar, Bablu Kumar ; Shabbir, Rubaiyat ; Karim, Rejaul ; Kuri, Bapon Chandra ; Nahiduzzaman, MD. In: Sustainable Development. RePEc:wly:sustdv:v:33:y:2025:i:3:p:3918-3940.

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2024Does a meta-combining method lead to more accurate forecasts in the decision-making process?. (2024). Aras, Serkan ; Gulay, Emrah. In: Operations Research and Decisions. RePEc:wut:journl:v:34:y:2024:i:3:p:101-124:id:6.

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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.
[Full Text][Citation analysis]		paper3
2012Stein-Rule Estimation and Generalized Shrinkage Methods for Forecasting Using Many Predictors In: CREATES Research Papers.
[Full Text][Citation analysis]		paper6
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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2023Optimal Portfolio Using Factor Graphical Lasso In: Papers.
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2024Optimal Portfolio Using Factor Graphical Lasso*.(2024) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		paper
2021Learning from Forecast Errors: A New Approach to Forecast Combinations In: Papers.
[Full Text][Citation analysis]		paper0
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.
[Full Text][Citation analysis]		paper1
2023Inferential Theory for Granular Instrumental Variables in High Dimensions.(2023) In: Working Papers.
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This paper has nother version. Agregated cites: 1		paper
2023Combining Forecasts under Structural Breaks Using Graphical LASSO In: Papers.
[Full Text][Citation analysis]		paper2
2022Combining Forecasts under Structural Breaks Using Graphical LASSO.(2022) In: Working Papers.
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This paper has nother version. Agregated cites: 2		paper
2023Combining Forecasts under Structural Breaks Using Graphical LASSO.(2023) In: Working Papers.
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This paper has nother version. Agregated cites: 2		paper
2025Estimation and Testing of Forecast Rationality with Many Moments In: Papers.
[Full Text][Citation analysis]		paper0
2023Estimation and Testing of Forecast Rationality with Many Moments.(2023) In: Working Papers.
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This paper has nother version. Agregated cites: 0		paper
1996RELATIVE POWER OF t TYPE TESTS FOR STATIONARY AND UNIT ROOT PROCESSES In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article8
1995Relative Power of t Type Tests of Stationary and Unit Root Processes..(1995) In: Boston University - Department of Economics.
[Citation analysis]
This paper has nother version. Agregated cites: 8		paper
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.
[Full Text][Citation analysis]		article2
2020Maximum Entropy Analysis of Consumption-based Capital Asset Pricing Model and Volatility.(2020) In: Working Papers.
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This paper has nother version. Agregated cites: 2		paper
2023Density Forecast of Financial Returns Using Decomposition and Maximum Entropy In: Journal of Econometric Methods.
[Full Text][Citation analysis]		article0
2021Density Forecast of Financial Returns Using Decomposition and Maximum Entropy.(2021) In: Working Papers.
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This paper has nother version. Agregated cites: 0		paper
2013Testing for Neglected Nonlinearity Using Artificial Neural Networks with Many Randomized Hidden Unit Activations In: Journal of Time Series Econometrics.
[Full Text][Citation analysis]		article0
2014Testing for Neglected Nonlinearity Using Artificial Neural Networks with Many Randomized Hidden Unit Activations.(2014) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2001Neural Network Test and Nonparametric Kernel Test for Neglected Nonlinearity in Regression Models In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article5
2000Nonparametric Bootstrap Tests for Neglected Nonlinearity in Time Series Regression Models In: Working papers.
[Full Text][Citation analysis]		paper5
1994Uncertainty in Sales and Inventory Behaviour in the U.S. Trade Sectors. In: Canadian Journal of Economics.
[Full Text][Citation analysis]		article6
2007Permanent and transitory components of GDP and stock prices: further analysis In: UC3M Working papers. Economics.
[Full Text][Citation analysis]		paper2
2008Permanent and transitory components of GDP and stock prices: further analysis.(2008) In: Macroeconomics and Finance in Emerging Market Economies.
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This paper has nother version. Agregated cites: 2		article
1995No lack of relative power of the Dickey-Fuller tests for unit roots In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper0
1996On the robustness of cointegration tests when series are fractionally integrated In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper11
1995On the Robustness of Cointegration Tests when Series Are Fractionally Integrated..(1995) In: The A. Gary Anderson Graduate School of Management.
[Citation analysis]
This paper has nother version. Agregated cites: 11		paper
2000On the robustness of cointegration tests when series are fractionally intergrated.(2000) In: Journal of Applied Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11		article
2003DIAGNOSTIC CHECKING FOR THE ADEQUACY OF NONLINEAR TIME SERIES MODELS In: Econometric Theory.
[Full Text][Citation analysis]		article29
2004Bagging Binary Predictors for Time Series In: Econometric Society 2004 Far Eastern Meetings.
[Full Text][Citation analysis]		paper2
2004Jumps in Rank and Expected Returns. Introducing Varying Cross-sectional Risk In: Econometric Society 2004 North American Winter Meetings.
[Full Text][Citation analysis]		paper0
2004Generalized (Cross) Spectral Tests for Optimal Forecasts and Conditional Predictive Ability Under Generalized Loss Functions In: Econometric Society 2004 North American Winter Meetings.
[Citation analysis]		paper0
2018The second-order bias of quantile estimators In: Economics Letters.
[Full Text][Citation analysis]		article3
1995Disequilibrium and uncertainty in cointegrated systems: Some empirical evidence In: Economics Letters.
[Full Text][Citation analysis]		article0
2006Bagging binary and quantile predictors for time series In: Journal of Econometrics.
[Full Text][Citation analysis]		article27
2009Copula-based multivariate GARCH model with uncorrelated dependent errors In: Journal of Econometrics.
[Full Text][Citation analysis]		article80
2014Nonparametric and semiparametric regressions subject to monotonicity constraints: Estimation and forecasting In: Journal of Econometrics.
[Full Text][Citation analysis]		article7
2014Nonparametric and Semiparametric Regressions Subject to Monotonicity Constraints: Estimation and Forecasting.(2014) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		paper
2021Time-varying model averaging In: Journal of Econometrics.
[Full Text][Citation analysis]		article15
2017Time-varying Model Averaging.(2017) In: Working Papers.
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This paper has nother version. Agregated cites: 15		paper
1993Testing for neglected nonlinearity in time series models : A comparison of neural network methods and alternative tests In: Journal of Econometrics.
[Full Text][Citation analysis]		article227
1996Cointegration tests with conditional heteroskedasticity In: Journal of Econometrics.
[Full Text][Citation analysis]		article82
1998Pitfalls in testing for long run relationships In: Journal of Econometrics.
[Full Text][Citation analysis]		article143
1995Pitfalls in Testing for Long Run Relationships..(1995) In: Boston University - Department of Economics.
[Citation analysis]
This paper has nother version. Agregated cites: 143		paper
2020Combined estimation of semiparametric panel data models In: Econometrics and Statistics.
[Full Text][Citation analysis]		article5
2020Predicting the long-term stock market volatility: A GARCH-MIDAS model with variable selection In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article60
2020Predicting the Long-term Stock Market Volatility: A GARCH-MIDAS Model with Variable Selection.(2020) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 60		paper
2014Granger-causality in quantiles between financial markets: Using copula approach In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article37
2014Granger-Causality in Quantiles between Financial Markets: Using Copula Approach.(2014) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 37		paper
2007Optimality of the RiskMetrics VaR model In: Finance Research Letters.
[Full Text][Citation analysis]		article3
2004Forecasting volatility: A reality check based on option pricing, utility function, value-at-risk, and predictive likelihood In: International Journal of Forecasting.
[Full Text][Citation analysis]		article123
2014Asymmetric loss in the Greenbook and the Survey of Professional Forecasters In: International Journal of Forecasting.
[Full Text][Citation analysis]		article18
2014Asymmetric Loss in the Greenbook and the Survey of Professional Forecasters.(2014) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 18		paper
2002Assessing the risk forecasts for Japanese stock market In: Japan and the World Economy.
[Full Text][Citation analysis]		article3
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
2012Money–Income Granger-Causality in Quantiles In: Advances in Econometrics.
[Full Text][Citation analysis]		chapter17
2012Money-Income Granger-Causality in Quantiles.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 17		paper
2019Stein-like Shrinkage Estimation of Panel Data Models with Common Correlated Effects In: Advances in Econometrics.
[Full Text][Citation analysis]		chapter0
2019Variable Selection in Sparse Semiparametric Single Index Models In: Advances in Econometrics.
[Full Text][Citation analysis]		chapter0
2022Efficient Combined Estimation under Structural Breaks In: Advances in Econometrics.
[Full Text][Citation analysis]		chapter1
2021Efficient Combined Estimation under Structural Breaks.(2021) In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2021Efficient Combined Estimation under Structural Breaks.(2021) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2008Chapter 13 Bagging Binary and Quantile Predictors for Time Series: Further Issues In: Frontiers of Economics and Globalization.
[Full Text][Citation analysis]		chapter0
2013Forecasting Value-at-Risk Using High-Frequency Information In: Econometrics.
[Full Text][Citation analysis]		article9
2014Forecasting Value-at-Risk Using High Frequency Information.(2014) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9		paper
2018Using the Entire Yield Curve in Forecasting Output and Inflation In: Econometrics.
[Full Text][Citation analysis]		article11
2008Jumps in cross-sectional rank and expected returns: a mixture model In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article3
1989Investigation of Production, Sales and Inventory Relationships Using Multicointegration and Non-symmetric Error Correction Models. In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article311
2006Evaluating predictive performance of value-at-risk models in emerging markets: a reality check In: Journal of Forecasting.
[Full Text][Citation analysis]		article97
2007Comparing density forecast models Previous versions of this paper have been circulated with the title, A Test for Density Forecast Comparison with Applications to Risk Management since October 2003; see Bao et al. (2004). In: Journal of Forecasting.
[Full Text][Citation analysis]		article19
2022Optimal Forecast under Structural Breaks In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS.
[Full Text][Citation analysis]		paper2
2022Optimal Forecast under Structural Breaks.(2022) In: Working Papers.
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2022Optimal forecast under structural breaks.(2022) In: Journal of Applied Econometrics.
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This paper has nother version. Agregated cites: 2		article
2022Forecasting under Structural Breaks Using Improved Weighted Estimation In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS.
[Full Text][Citation analysis]		paper4
2022Forecasting under Structural Breaks Using Improved Weighted Estimation.(2022) In: Working Papers.
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This paper has nother version. Agregated cites: 4		paper
1992On the Predictive Power of the Spread Between Spot and Forward Exchange Rates for Volatility In: Korean Economic Review.
[Full Text][Citation analysis]		article0
1996Stock Adjustment for Multicointegrated Series. In: Empirical Economics.
[Citation analysis]		article10
2017A combined estimator of regression models with measurement errors In: Indian Economic Review.
[Full Text][Citation analysis]		article0
2019Evaluation of the Survey of Professional Forecasters in the Greenbook’s Loss Function In: Journal of Quantitative Economics.
[Full Text][Citation analysis]		article0
2019The Second-Order Asymptotic Properties of Asymmetric Least Squares Estimation In: Sankhya B: The Indian Journal of Statistics.
[Full Text][Citation analysis]		article1
1999The effect of aggregation on nonlinearity In: Econometric Reviews.
[Full Text][Citation analysis]		article21
2010To Combine Forecasts or to Combine Information? In: Econometric Reviews.
[Full Text][Citation analysis]		article52
2009To Combine Forecasts or to Combine Information?.(2009) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 52		paper
2024Model averaging estimation of panel data models with many instruments and boosting In: Journal of Applied Statistics.
[Full Text][Citation analysis]		article0
2022Model Averaging Estimation of Panel Data Models with Many Instruments and Boosting.(2022) In: Working Papers.
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This paper has nother version. Agregated cites: 0		paper
2015Forecasting Equity Premium: Global Historical Average Versus Local Historical Average and Constraints In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article5
2014Forecasting Equity Premium: Global Historical Average versus Local Historical Average and Constraints.(2014) In: Working Papers.
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This paper has nother version. Agregated cites: 5		paper
2003Inference on Predictability of Foreign Exchange Rates via Generalized Spectrum and Nonlinear Time Series Models In: The Review of Economics and Statistics.
[Full Text][Citation analysis]		article86
2004ERRATUM: Inference on Predictability of Foreign Exchange Rates via Generalized Spectrum and Nonlinear Time Series Models.(2004) In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 86		article
2008Nonlinear Time Series in Financial Forecasting In: Working Papers.
[Full Text][Citation analysis]		paper1
2014Forecasting Realized Volatility Using Subsample Averaging In: Working Papers.
[Full Text][Citation analysis]		paper0
2013Bagging Constrained Equity Premium Predictors In: Working Papers.
[Full Text][Citation analysis]		paper3
2012Testing for Neglected Nonlinearity Using Regularized Artificial Neural Networks In: Working Papers.
[Full Text][Citation analysis]		paper0
2015Finding SPF Percentiles Closest to Greenbook In: Working Papers.
[Full Text][Citation analysis]		paper0
2020Estimation of High-Dimensional Dynamic Conditional Precision Matrices with an Application to Forecast Combination In: Working Papers.
[Full Text][Citation analysis]		paper0
2020Exact Distribution of the F-statistic under Heteroskedasticity of Unknown Form for Improved Inference In: Working Papers.
[Full Text][Citation analysis]		paper0
2023Asymmetric AdaBoost for High-dimensional Maximum Score Regression In: Working Papers.
[Full Text][Citation analysis]		paper0
2023Boosting GMM with Many Instruments When Some Are Invalid or Irrelevant In: Working Papers.
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2023Elicitability and Encompassing for Volatility Forecasts by Bregman Functions In: Working Papers.
[Full Text][Citation analysis]		paper0
2023The Second-order Bias and Mean Squared Error of Quantile Regression Estimators In: Working Papers.
[Full Text][Citation analysis]		paper0

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 20 2025. Contact: CitEc Team