Tae Hwy Lee
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Affiliations
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University of California-Riverside
/ Department of Economics
Research profile
author of:
- Using the Yield Curve in Forecasting Output Growth and In?flation (RePEc:aah:create:2012-17)
by Eric Hillebrand & Huiyu Huang & Tae-Hwy Lee & Canlin Li - Stein-Rule Estimation and Generalized Shrinkage Methods for Forecasting Using Many Predictors (RePEc:aah:create:2012-18)
by Eric Hillebrand & Tae-Hwy Lee - Let's Do It Again: Bagging Equity Premium Predictors (RePEc:aah:create:2012-41)
by Eric Hillebrand & Tae-Hwy Lee & Marcelo C. Medeiros - Optimal Portfolio Using Factor Graphical Lasso (RePEc:arx:papers:2011.00435)
by Tae-Hwy Lee & Ekaterina Seregina - Learning from Forecast Errors: A New Approach to Forecast Combinations (RePEc:arx:papers:2011.02077)
by Tae-Hwy Lee & Ekaterina Seregina - Inferential Theory for Granular Instrumental Variables in High Dimensions (RePEc:arx:papers:2201.06605)
by Saman Banafti & Tae-Hwy Lee - Combining Forecasts under Structural Breaks Using Graphical LASSO (RePEc:arx:papers:2209.01697)
by Tae-Hwy Lee & Ekaterina Seregina - Estimation and Testing of Forecast Rationality with Many Moments (RePEc:arx:papers:2309.09481)
by Tae-Hwy Lee & Tao Wang - RELATIVE POWER OF t TYPE TESTS FOR STATIONARY AND UNIT ROOT PROCESSES (RePEc:bla:jtsera:v:17:y:1996:i:1:p:37-47)
by Jesus Gonzalo & Tae‐Hwy Lee - Stock-Flow Relationships in U.S. Housing Construction (RePEc:bla:obuest:v:54:y:1992:i:3:p:419-30)
by Lee, Tae-Hwy - Maximum Entropy Analysis of Consumption-based Capital Asset Pricing Model and Volatility (RePEc:bpj:jecome:v:10:y:2021:i:1:p:1-19:n:2)
by Lee Tae-Hwy & Ullah Aman & Mao Millie Yi - Density Forecast of Financial Returns Using Decomposition and Maximum Entropy (RePEc:bpj:jecome:v:12:y:2023:i:1:p:57-83:n:8)
by Lee Tae-Hwy & Wang He & Xi Zhou & Zhang Ru - Testing for Neglected Nonlinearity Using Artificial Neural Networks with Many Randomized Hidden Unit Activations (RePEc:bpj:jtsmet:v:5:y:2013:i:1:p:61-68:n:3)
by Lee Tae-Hwy & Xi Zhou & Zhang Ru - Neural Network Test and Nonparametric Kernel Test for Neglected Nonlinearity in Regression Models (RePEc:bpj:sndecm:v:4:y:2001:i:4:n:1)
by Lee Tae-Hwy - Nonparametric Bootstrap Tests for Neglected Nonlinearity in Time Series Regression Models (RePEc:cde:cdewps:77)
by Aman Ullah & Tae-Hwy Lee - Uncertainty in Sales and Inventory Behaviour in the U.S. Trade Sectors (RePEc:cje:issued:v:27:y:1994:i:1:p:129-42)
by Tae-Hwy Lee & Faik Koray - Permanent and transitory components of GDP and stock prices: further analysis (RePEc:cte:werepe:we20070525)
by Gonzalo, Jesús & Lee, Tae-Hwy & Yang, Weiping - No lack of relative power of the Dickey-Fuller tests for unit roots (RePEc:cte:wsrepe:4512)
by Gonzalo, Jesús & Lee, Tae-Hwy - On the robustness of cointegration tests when series are fractionally integrated (RePEc:cte:wsrepe:4542)
by Gonzalo, Jesús & Lee, Tae-Hwy - Diagnostic Checking For The Adequacy Of Nonlinear Time Series Models (RePEc:cup:etheor:v:19:y:2003:i:06:p:1065-1121_19)
by Hong, Yongmiao & Lee, Tae-Hwy - Bagging Binary Predictors for Time Series (RePEc:ecm:feam04:512)
by Yang Yang & Tae-Hwy Lee - Jumps in Rank and Expected Returns. Introducing Varying Cross-sectional Risk (RePEc:ecm:nawm04:356)
by Santosh Mishra & Gloria Gonzalez-Rivera & Tae-Hwy Lee - Generalized (Cross) Spectral Tests for Optimal Forecasts and Conditional Predictive Ability Under Generalized Loss Functions (RePEc:ecm:nawm04:614)
by Tae-Hwy Lee & Yongmiao Hong - The second-order bias of quantile estimators (RePEc:eee:ecolet:v:173:y:2018:i:c:p:143-147)
by Lee, Tae-Hwy & Ullah, Aman & Wang, He - Disequilibrium and uncertainty in cointegrated systems: Some empirical evidence (RePEc:eee:ecolet:v:49:y:1995:i:2:p:157-161)
by Lee, Tae-Hwy - Bagging binary and quantile predictors for time series (RePEc:eee:econom:v:135:y:2006:i:1-2:p:465-497)
by Lee, Tae-Hwy & Yang, Yang - Copula-based multivariate GARCH model with uncorrelated dependent errors (RePEc:eee:econom:v:150:y:2009:i:2:p:207-218)
by Lee, Tae-Hwy & Long, Xiangdong - Nonparametric and semiparametric regressions subject to monotonicity constraints: Estimation and forecasting (RePEc:eee:econom:v:182:y:2014:i:1:p:196-210)
by Lee, Tae-Hwy & Tu, Yundong & Ullah, Aman - Time-varying model averaging (RePEc:eee:econom:v:222:y:2021:i:2:p:974-992)
by Sun, Yuying & Hong, Yongmiao & Lee, Tae-Hwy & Wang, Shouyang & Zhang, Xinyu - Testing for neglected nonlinearity in time series models : A comparison of neural network methods and alternative tests (RePEc:eee:econom:v:56:y:1993:i:3:p:269-290)
by Lee, Tae-Hwy & White, Halbert & Granger, Clive W. J. - Cointegration tests with conditional heteroskedasticity (RePEc:eee:econom:v:73:y:1996:i:2:p:401-410)
by Lee, Tae-Hwy & Tse, Yiuman - Pitfalls in testing for long run relationships (RePEc:eee:econom:v:86:y:1998:i:1:p:129-154)
by Gonzalo, Jesus & Lee, Tae-Hwy - Combined estimation of semiparametric panel data models (RePEc:eee:ecosta:v:15:y:2020:i:c:p:30-45)
by Huang, Bai & Lee, Tae-Hwy & Ullah, Aman - Predicting the long-term stock market volatility: A GARCH-MIDAS model with variable selection (RePEc:eee:empfin:v:58:y:2020:i:c:p:36-49)
by Fang, Tong & Lee, Tae-Hwy & Su, Zhi - Granger-causality in quantiles between financial markets: Using copula approach (RePEc:eee:finana:v:33:y:2014:i:c:p:70-78)
by Lee, Tae-Hwy & Yang, Weiping - Optimality of the RiskMetrics VaR model (RePEc:eee:finlet:v:4:y:2007:i:3:p:137-145)
by Gonzalez-Rivera, Gloria & Lee, Tae-Hwy & Yoldas, Emre - Forecasting volatility: A reality check based on option pricing, utility function, value-at-risk, and predictive likelihood (RePEc:eee:intfor:v:20:y:2004:i:4:p:629-645)
by Gonzalez-Rivera, Gloria & Lee, Tae-Hwy & Mishra, Santosh - Asymmetric loss in the Greenbook and the Survey of Professional Forecasters (RePEc:eee:intfor:v:30:y:2014:i:2:p:235-245)
by Wang, Yiyao & Lee, Tae-Hwy - Assessing the risk forecasts for Japanese stock market (RePEc:eee:japwor:v:14:y:2002:i:1:p:63-85)
by Lee, Tae-Hwy & Saltoglu, Burak - Spread and volatility in spot and forward exchange rates (RePEc:eee:jimfin:v:13:y:1994:i:3:p:375-383)
by Lee, Tae-Hwy - The international transmission of information in Eurodollar futures markets: a continuously trading market hypothesis (RePEc:eee:jimfin:v:15:y:1996:i:3:p:447-465)
by Tse, Yiuman & Lee, Tae-Hwy & Booth, G. Geoffrey - Unknown item RePEc:eme:aecopp:aeco.2016.36 (book)
- Asymmetric Predictive Abilities of Nonlinear Models for Stock Returns: Evidence from Density Forecast Comparison (RePEc:eme:aecozz:s0731-9053(05)20021-x)
by Yong Bao & Tae-Hwy Lee - Stein-Rule Estimation and Generalized Shrinkage Methods for Forecasting Using Many Predictors (RePEc:eme:aecozz:s0731-9053(2012)0000030011)
by Eric Hillebrand & Tae-Hwy Lee - Money–Income Granger-Causality in Quantiles (RePEc:eme:aecozz:s0731-9053(2012)0000030017)
by Tae-Hwy Lee & Weiping Yang - Stein-like Shrinkage Estimation of Panel Data Models with Common Correlated Effects (RePEc:eme:aecozz:s0731-90532019000040a011)
by Bai Huang & Tae-Hwy Lee & Aman Ullah - Variable Selection in Sparse Semiparametric Single Index Models (RePEc:eme:aecozz:s0731-90532019000040b005)
by Jianghao Chu & Tae-Hwy Lee & Aman Ullah - Efficient Combined Estimation under Structural Breaks (RePEc:eme:aecozz:s0731-90532021000043a007)
by Tae-Hwy Lee & Shahnaz Parsaeian & Aman Ullah - Chapter 13 Bagging Binary and Quantile Predictors for Time Series: Further Issues (RePEc:eme:fegzzz:s1574-8715(07)00213-8)
by Tae-Hwy Lee & Yang Yang - Relative Power of t Type Tests of Stationary and Unit Root Processes (RePEc:fth:bostec:36)
by Gonzalo, J. & Lee, T.H. - Pitfalls in Testing for Long Run Relationships (RePEc:fth:bostec:38)
by Gonzalo, J. & Lee, T.H. - On the Robustness of Cointegration Tests when Series Are Fractionally Integrated (RePEc:fth:caland:95-11)
by Lee, T.H. & Gonzalo, J. - Forecasting Value-at-Risk Using High-Frequency Information (RePEc:gam:jecnmx:v:1:y:2013:i:1:p:127-140:d:26621)
by Huiyu Huang & Tae-Hwy Lee - Using the Entire Yield Curve in Forecasting Output and Inflation (RePEc:gam:jecnmx:v:6:y:2018:i:3:p:40-:d:166513)
by Eric Hillebrand & Huiyu Huang & Tae-Hwy Lee & Canlin Li - Jumps in cross-sectional rank and expected returns: a mixture model (RePEc:jae:japmet:v:23:y:2008:i:5:p:585-606)
by Gloria González-Rivera & Tae-Hwy Lee & Santosh Mishra - Investigation of Production, Sales and Inventory Relationships Using Multicointegration and Non-symmetric Error Correction Models (RePEc:jae:japmet:v:4:y:1989:i:s:p:s145-59)
by Granger, C W J & Lee, T H - Evaluating predictive performance of value-at-risk models in emerging markets: a reality check (RePEc:jof:jforec:v:25:y:2006:i:2:p:101-128)
by Tae-Hwy Lee & Yong Bao & Burak Saltoglu - Comparing 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; (RePEc:jof:jforec:v:26:y:2007:i:3:p:203-225)
by Tae-Hwy Lee & Yong Bao & Burak Saltoğlu - Efficient Combined Estimation under Structural Breaks (RePEc:kan:wpaper:202107)
by Tae-Hwy Lee & Shahnaz Parsaeian & Aman Ullah - Optimal Forecast under Structural Breaks (RePEc:kan:wpaper:202207)
by Tae-Hwy Lee & Shahnaz Parsaeian & Aman Ullah - Forecasting under Structural Breaks Using Improved Weighted Estimation (RePEc:kan:wpaper:202212)
by Tae-Hwy Lee & Shahnaz Parsaeian & Aman Ullah - On the Predictive Power of the Spread Between Spot and Forward Exchange Rates for Volatility (RePEc:kea:keappr:ker-199206-8-1-07)
by Tae Hwy Lee - Let´s do it again: bagging equity premium predictors (RePEc:rio:texdis:604)
by Erik Hillebrand & Tae-Hwy Lee & Marcelo Cunha Medeiros - Stock Adjustment for Multicointegrated Series (RePEc:spr:empeco:v:21:y:1996:i:4:p:633-39)
by Lee, Tae-Hwy - A combined estimator of regression models with measurement errors (RePEc:spr:inecre:v:52:y:2017:i:1:d:10.1007_s41775-017-0003-x)
by Bai Huang & Tae-Hwy Lee & Aman Ullah - Evaluation of the Survey of Professional Forecasters in the Greenbook’s Loss Function (RePEc:spr:jqecon:v:17:y:2019:i:2:d:10.1007_s40953-018-0141-8)
by Tae-Hwy Lee & Yiyao Wang - The Second-Order Asymptotic Properties of Asymmetric Least Squares Estimation (RePEc:spr:sankhb:v:81:y:2019:i:1:d:10.1007_s13571-019-00189-8)
by Tae-Hwy Lee & Aman Ullah & He Wang - The effect of aggregation on nonlinearity (RePEc:taf:emetrv:v:18:y:1999:i:3:p:259-269)
by Clive Granger & Tae-Hwy Lee - To Combine Forecasts or to Combine Information? (RePEc:taf:emetrv:v:29:y:2010:i:5-6:p:534-570)
by Huiyu Huang & Tae-Hwy Lee - On the robustness of cointegration tests when series are fractionally intergrated (RePEc:taf:japsta:v:27:y:2000:i:7:p:821-827)
by Jesus Gonzalo & Tae-Hwy Lee - Forecasting Equity Premium: Global Historical Average Versus Local Historical Average and Constraints (RePEc:taf:jnlbes:v:33:y:2015:i:3:p:393-402)
by Tae-Hwy Lee & Yundong Tu & Aman Ullah - Permanent and transitory components of GDP and stock prices: further analysis (RePEc:taf:macfem:v:1:y:2008:i:1:p:105-120)
by Jesus Gonzalo & Tae-Hwy Lee & Weiping Yang - Inference on Predictability of Foreign Exchange Rates via Generalized Spectrum and Nonlinear Time Series Models (RePEc:tpr:restat:v:85:y:2003:i:4:p:1048-1062)
by Yongmiao Hong & Tae-Hwy Lee - ERRATUM: Inference on Predictability of Foreign Exchange Rates via Generalized Spectrum and Nonlinear Time Series Models (RePEc:tpr:restat:v:86:y:2004:i:3:p:840-840)
by Yongmiao Hong & Tae-Hwy Lee - Nonlinear Time Series in Financial Forecasting (RePEc:ucr:wpaper:200803)
by Gloria González-Rivera & Tae-Hwy Lee - To Combine Forecasts or to Combine Information? (RePEc:ucr:wpaper:200806)
by Huiyu Huang & Tae-Hwy Lee - Nonparametric and Semiparametric Regressions Subject to Monotonicity Constraints: Estimation and Forecasting (RePEc:ucr:wpaper:201404)
by Tae-Hwy Lee & Yundong Tu & Aman Ullah - Forecasting Equity Premium: Global Historical Average versus Local Historical Average and Constraints (RePEc:ucr:wpaper:201405)
by Tae-Hwy Lee & Yundong Tu & Aman Ullah - Granger-Causality in Quantiles between Financial Markets: Using Copula Approach (RePEc:ucr:wpaper:201406)
by Tae-Hwy Lee & Weiping Yang - Asymmetric Loss in the Greenbook and the Survey of Professional Forecasters (RePEc:ucr:wpaper:201407)
by Tae-Hwy Lee & Yiyao Wang - Forecasting Value-at-Risk Using High Frequency Information (RePEc:ucr:wpaper:201409)
by Tae-Hwy Lee & Huiyu Huang - Forecasting Realized Volatility Using Subsample Averaging (RePEc:ucr:wpaper:201410)
by Tae-Hwy Lee & Huiyu Huang - Testing for Neglected Nonlinearity Using Artificial Neural Networks with Many Randomized Hidden Unit Activations (RePEc:ucr:wpaper:201411)
by Tae-Hwy Lee & Zhou Xi & Ru Zhang - Bagging Constrained Equity Premium Predictors (RePEc:ucr:wpaper:201421)
by Tae-Hwy Lee & Eric Hillebrand & Marcelo Medeiros - Testing for Neglected Nonlinearity Using Regularized Artificial Neural Networks (RePEc:ucr:wpaper:201422)
by Tae-Hwy Lee & Zhou Xi & Ru Zhang - Money-Income Granger-Causality in Quantiles (RePEc:ucr:wpaper:201423)
by Tae-Hwy Lee & Weiping Yang - Finding SPF Percentiles Closest to Greenbook (RePEc:ucr:wpaper:201503)
by Tae-Hwy Lee & Yiyao Wang - A Combined Estimator of Regression Models with Measurement Errors (RePEc:ucr:wpaper:201902)
by Tae-Hwy Lee & Bai Huang & Aman Ullah - Using the Entire Yield Curve in Forecasting Output and Inflation (RePEc:ucr:wpaper:201903)
by Tae-Hwy Lee & Eric Hillebrand & Huiyu Huang & Canlin Li - Evaluation of the Survey of Professional Forecasters in the Greenbook’s Loss Function (RePEc:ucr:wpaper:201904)
by Tae-Hwy Lee & Yiyao Wang - Stein-like Shrinkage Estimation of Panel Data Models with Common Correlated Effects (RePEc:ucr:wpaper:201905)
by Tae-Hwy Lee & Bai Huang & Aman Ullah - A Combined Random Effect and Fixed Effect Forecast for Panel Data Models (RePEc:ucr:wpaper:201906)
by Tae-Hwy Lee & Bai Huang & Aman Ullah - Component-wise AdaBoost Algorithms for High-dimensional Binary Classi fication and Class Probability Prediction (RePEc:ucr:wpaper:201907)
by Tae-Hwy Lee & Jianghao Chu & Aman Ullah - Variable Selection in Sparse Semiparametric Single Index Models (RePEc:ucr:wpaper:201908)
by Tae-Hwy Lee & Jianghao Chu & Aman Ullah - Forecasting Using Supervised Factor Models (RePEc:ucr:wpaper:201909)
by Tae-Hwy Lee & Yundong Tu - The Second-order Asymptotic Properties of Asymmetric Least Squares Estimation (RePEc:ucr:wpaper:201910)
by Tae-Hwy Lee & Aman Ullah & He Wang - Combined Estimation of Semiparametric Panel Data Models (RePEc:ucr:wpaper:201915)
by Tae-Hwy Lee & Bai Huang & Aman Ullah - Boosting (RePEc:ucr:wpaper:201917)
by Tae-Hwy Lee & Jianghao Chu & Aman Ullah & Ran Wang - Bootstrap Aggregating and Random Forest (RePEc:ucr:wpaper:201918)
by Tae-Hwy Lee & Aman Ullah & Ran Wang - Time-varying Model Averaging (RePEc:ucr:wpaper:202001)
by Yongmiao Hong & Tae-Hwy Lee & Yuying Sun & Shouyang Wang & Xinyu Zhang - Predicting the Long-term Stock Market Volatility: A GARCH-MIDAS Model with Variable Selection (RePEc:ucr:wpaper:202009)
by Tong Fang & Tae-Hwy Lee & Zhi Su - Estimation of High-Dimensional Dynamic Conditional Precision Matrices with an Application to Forecast Combination (RePEc:ucr:wpaper:202012)
by Tae-Hwy Lee & Millie Yi Mao & Aman Ullah - Maximum Entropy Analysis of Consumption-based Capital Asset Pricing Model and Volatility (RePEc:ucr:wpaper:202015)
by Tae-Hwy Lee & Millie Yi Mao & Aman Ullah - Learning from Forecast Errors: A New Approach to Forecast Combination (RePEc:ucr:wpaper:202024)
by Tae-Hwy Lee & Ekaterina Seregina - Optimal Portfolio Using Factor Graphical Lasso (RePEc:ucr:wpaper:202025)
by Tae-Hwy Lee & Ekaterina Seregina - Exact Distribution of the F-statistic under Heteroskedasticity of Unknown Form for Improved Inference (RePEc:ucr:wpaper:202027)
by Jianghao Chu & Tae-Hwy Lee & Aman Ullah & Haifeng Xu - Efficient Combined Estimation under Structural Breaks (RePEc:ucr:wpaper:202101)
by Tae-Hwy Lee & Shahnaz Parsaeian & Aman Ullah - Density Forecast of Financial Returns Using Decomposition and Maximum Entropy (RePEc:ucr:wpaper:202115)
by Tae-Hwy Lee & He Wang & Zhou Xi & Ru Zhang - Inferential Theory for Granular Instrumental Variables in High Dimensions (RePEc:ucr:wpaper:202203)
by Saman Banafti & Tae-Hwy Lee - Optimal Forecast under Structural Breaks (RePEc:ucr:wpaper:202208)
by Tae-Hwy Lee & Shahnaz Parsaeian & Aman Ullah - Forecasting under Structural Breaks Using Improved Weighted Estimation (RePEc:ucr:wpaper:202210)
by Tae-Hwy Lee & Shahnaz Parsaeian & Aman Ullah - Model Averaging Estimation of Panel Data Models with Many Instruments and Boosting (RePEc:ucr:wpaper:202212)
by Hao Hao & Bai Huang & Tae-Hwy Lee - Combining Forecasts under Structural Breaks Using Graphical LASSO (RePEc:ucr:wpaper:202213)
by Tae-Hwy Lee & Ekaterina Seregina - Optimal Portfolio Using Factor Graphical Lasso (RePEc:ucr:wpaper:202302)
by Tae-Hwy Lee & Ekaterina Seregina - Asymmetric AdaBoost for High-dimensional Maximum Score Regression (RePEc:ucr:wpaper:202306)
by Jianghao Chu & Tae-Hwy Lee & Aman Ullah - Estimation and Testing of Forecast Rationality with Many Moments (RePEc:ucr:wpaper:202307)
by Tae-Hwy Lee & Tao Wang - Inferential Theory for Granular Instrumental Variables in High Dimensions (RePEc:ucr:wpaper:202308)
by Saman Banafti & Tae-Hwy Lee - Boosting GMM with Many Instruments When Some Are Invalid or Irrelevant (RePEc:ucr:wpaper:202309)
by Hao Hao & Tae-Hwy Lee - Combining Forecasts under Structural Breaks Using Graphical LASSO (RePEc:ucr:wpaper:202310)
by Tae-Hwy Lee & Ekaterina Seregina - Elicitability and Encompassing for Volatility Forecasts by Bregman Functions (RePEc:ucr:wpaper:202311)
by Tae-Hwy Lee & Ekaterina Seregina & Yaojue Xu - Optimal forecast under structural breaks (RePEc:wly:japmet:v:37:y:2022:i:5:p:965-987)
by Tae‐Hwy Lee & Shahnaz Parsaeian & Aman Ullah