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Tae‐Hwy Lee · Study
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Author
Tae‐Hwy Lee
21 works
· latest 2020
· 3 institutions
cluster: provisional
ORCID 0000-0002-4994-4382
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21
Citations
2,720
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Most cited in this library
Testing for neglected nonlinearity in time series models
1993 · 498 citations
Pitfalls in testing for long run relationships
1998 · 226 citations
Forecasting volatility: A reality check based on option pricing, utility function, value-at-risk, and predictive likelihood
2004 · 224 citations
Evaluating predictive performance of value-at-risk models in emerging markets: a reality check
2006 · 218 citations
Inference on Predictability of Foreign Exchange Rates via Generalized Spectrum and Nonlinear Time Series Models
2003 · 171 citations
Works
21 shown
Predicting the long-term stock market volatility: A GARCH-MIDAS model with variable selection
Journal of Empirical Finance
·
2020
·
2 authors
126
citations
Bootstrap Aggregating and Random Forest
Advanced studies in theoretical and applied econometrics
·
2019
·
3 authors
·
chapter
167
citations
Granger-causality in quantiles between financial markets: Using copula approach
International Review of Financial Analysis
·
2013
·
1 author
·
Open access
53
citations
Money–Income Granger-Causality in Quantiles
Advances in econometrics
·
2012
·
2 authors
·
chapter
52
citations
To Combine Forecasts or to Combine Information?
Econometric Reviews
·
2010
·
1 author
107
citations
Copula-based multivariate GARCH model with uncorrelated dependent errors
Journal of Econometrics
·
2008
·
2 authors
163
citations
Comparing density forecast models
Journal of Forecasting
·
2007
·
3 authors
·
Open access
154
citations
Evaluating predictive performance of value-at-risk models in emerging markets: a reality check
Journal of Forecasting
·
2006
·
3 authors
·
Open access
218
citations
Bagging binary and quantile predictors for time series
Journal of Econometrics
·
2005
·
2 authors
77
citations
Forecasting volatility: A reality check based on option pricing, utility function, value-at-risk, and predictive likelihood
International Journal of Forecasting
·
2004
·
3 authors
224
citations
Inference on Predictability of Foreign Exchange Rates via Generalized Spectrum and Nonlinear Time Series Models
The Review of Economics and Statistics
·
2003
·
2 authors
171
citations
DIAGNOSTIC CHECKING FOR THE ADEQUACY OF NONLINEAR TIME SERIES MODELS
Econometric Theory
·
2003
·
2 authors
94
citations
On the robustness of cointegration tests when series are fractionally intergrated
Journal of Applied Statistics
·
2000
·
2 authors
28
citations
The effect of aggregation on nonlinearity
Econometric Reviews
·
1999
·
2 authors
77
citations
Pitfalls in testing for long run relationships
Journal of Econometrics
·
1998
·
2 authors
·
Open access
226
citations
Cointegration tests with conditional heteroskedasticity
Journal of Econometrics
·
1996
·
2 authors
130
citations
The international transmission of information in Eurodollar futures markets: a continuously trading market hypothesis
Journal of International Money and Finance
·
1996
·
3 authors
39
citations
International linkages in Nikkei Stock Index futures markets
Pacific-Basin Finance Journal
·
1996
·
3 authors
41
citations
RELATIVE POWER OF t TYPE TESTS FOR STATIONARY AND UNIT ROOT PROCESSES
Journal of Time Series Analysis
·
1996
·
2 authors
19
citations
Testing for neglected nonlinearity in time series models
Journal of Econometrics
·
1993
·
3 authors
498
citations
Multicointegration
·
1991
·
2 authors
·
chapter
56
citations