Tae-Hwy Lee

Economics and Econometrics · Journal of Empirical Finance · 2003–2020

A researcher in the Science corpus: 8 papers; trusts 72 researchers and is trusted by 24 researchers here, as inferred from the citation graph.

Subfields

• Economics and Econometrics — 88 citations into it; #3,487 of 23,481 by trust here, #6,687 by citations
• Finance — 73 citations into it; #2,128 of 10,518 by trust here, #2,951 by citations
• Statistics and Probability — 38 citations into it
• Management Science and Operations Research — 37 citations into it
• Control and Systems Engineering — 7 citations into it
• Signal Processing — 7 citations into it
• Artificial Intelligence — 6 citations into it

Whom Tae-Hwy Lee trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Halbert White
2. Clive W. J. Granger
3. Xiaohong Chen
4. Huaiyu Zhu
5. Robert F. Engle
6. Tim Bollerslev
7. Ken West
8. P. R. Hansen
9. James H. Stock
10. Jushan Bai

Who trusts Tae-Hwy Lee overall

1. Andrew J. Patton
2. Juan-Carlos Escanciano
3. Drew D. Creal
4. M. Nieto
5. D. Almeida
6. Esther Ruiz
7. Pilar Abad
8. Fan Fang
9. S. J. Koopman
10. Dag Tjøstheim

Papers from Tae-Hwy Lee's perspective

Ordered by how strongly the researchers Tae-Hwy Lee trusts endorse each paper. Same corpus, a different order for every researcher.

1. Generalized autoregressive conditional heteroskedasticity
2. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation
3. A Reality Check for Data Snooping
4. Asymptotic Inference about Predictive Ability
5. Regression Shrinkage and Selection via the Lasso
6. CONDITIONAL HETEROSKEDASTICITY IN ASSET RETURNS: A NEW APPROACH
7. Extreme Correlation of International Equity Markets
8. LARGE SAMPLE PROPERTIES OF GENERALIZED METHOD OF
9. Estimating the Dimension of a Model
10. MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE a

Their papers

• Inference on Predictability of Foreign Exchange Rates via Generalized Spectrum and Nonlinear Time Series Models (2003) — 96 citations
• DIAGNOSTIC CHECKING FOR THE ADEQUACY OF NONLINEAR TIME SERIES MODELS (2003) — 79 citations
• Copula-based multivariate GARCH model with uncorrelated dependent errors (2009) — 172 citations
• Evaluating Predictive Performance of Value-at-Risk Models in Emerging Markets: A Reality Check (2006) — 225 citations
• To Combine Forecasts or to Combine Information? (2010) — 94 citations
• Granger-causality in quantiles between financial markets: Using copula approach ☆ (2014) — 56 citations
• Predicting the long-term stock market volatility: A GARCH-MIDAS model with variable selection (2020) — 107 citations
• Forecasting volatility: A reality check based on option pricing, utility function, value-at-risk, and predictive likelihood (2004) — 222 citations