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Details about Tae-Hwan Kim

E-mail:
Homepage:http://web.yonsei.ac.kr/thkim/
Phone:+82-2-2123-5461
Postal address:School of Economics College of Business and Economics Yonsei University 134 Shinchon-dong, Seodaemun-gu Seoul, 120-749 Korea
Workplace:School of Economics, College of Business and Economics, Yonsei University, (more information at EDIRC)

Access statistics for papers by Tae-Hwan Kim.

Last updated 2016-06-25. Update your information in the RePEc Author Service.

Short-id: pki53


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Working Papers

2017

  1. Heterogeneity and Non-Constant Effect in Two-Stage Quantile Regression
    Working Papers, HAL Downloads

2015

  1. A Particular Form of Non-Constant Effect in Two-Stage Quantile Regression
    Working papers, Yonsei University, Yonsei Economics Research Institute Downloads
    Also in AMSE Working Papers, Aix-Marseille School of Economics, Marseille, France (2015) Downloads
  2. Multi-dimensional Risk and its Diversification
    Working papers, Yonsei University, Yonsei Economics Research Institute Downloads
  3. Revisiting the Effect of FDI on Economic Growth using Quantile Regression
    Working papers, Yonsei University, Yonsei Economics Research Institute Downloads
  4. The Instability of the Pearson Correlation Coefficient in the Presence of Coincidental Outliers
    Working papers, Yonsei University, Yonsei Economics Research Institute Downloads
    Also in Working papers, Yonsei University, Yonsei Economics Research Institute (2014) Downloads

    See also Journal Article in Finance Research Letters (2015)
  5. VAR for VaR: measuring tail dependence using multivariate regression quantiles
    Working Paper Series, European Central Bank Downloads View citations (10)
    Also in Working papers, Yonsei University, Yonsei Economics Research Institute (2012) Downloads View citations (11)

    See also Journal Article in Journal of Econometrics (2015)

2014

  1. Quantile Cointegration in the Autoregressive Distributed-Lag Modelling Framework
    Working papers, Yonsei University, Yonsei Economics Research Institute Downloads
    See also Journal Article in Journal of Econometrics (2015)
  2. Revisiting Growth Empirics Based on IV Panel Quantile Regression
    Working papers, Yonsei University, Yonsei Economics Research Institute Downloads
    See also Journal Article in Applied Economics (2015)
  3. Testing for Autocorrelation in Quantile Regression Models
    Working papers, Yonsei University, Yonsei Economics Research Institute Downloads
    Also in Working papers, Yonsei University, Yonsei Economics Research Institute (2013) Downloads
  4. UNIT ROOT TESTS IN THE PRESENCE OF MULTIPLE BREAKS IN VARIANCE
    Working papers, Yonsei University, Yonsei Economics Research Institute Downloads

2013

  1. A Test for Endogeneity in Conditional Quantiles
    Working Papers, HAL Downloads
    Also in AMSE Working Papers, Aix-Marseille School of Economics, Marseille, France (2013) Downloads

2012

  1. A test for endogeneity in conditional quantile models
    Working papers, Yonsei University, Yonsei Economics Research Institute Downloads
  2. Bias Transmission and Variance Reduction in Two-Stage Quantile Regression
    AMSE Working Papers, Aix-Marseille School of Economics, Marseille, France Downloads View citations (1)
    Also in Working Papers, HAL (2012) Downloads View citations (9)
  3. On measuring the nonlinear effect of interest rates on inflation and output
    Working papers, Yonsei University, Yonsei Economics Research Institute Downloads

2010

  1. VAR for VaR: measuring systemic risk using multivariate regression quantiles
    MPRA Paper, University Library of Munich, Germany Downloads View citations (8)

2008

  1. Modeling autoregressive conditional skewness and kurtosis with multi-quantile CAViaR
    Working Paper Series, European Central Bank Downloads View citations (12)

2007

  1. Evaluating the Taylor Principle Over the Distribution of the Interest Rate: Evidence from the US, UK and Japan
    Money Macro and Finance (MMF) Research Group Conference 2006, Money Macro and Finance Research Group Downloads
    Also in Discussion Papers, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM) Downloads
  2. Forecasting Changes in UK Interest Rates
    Discussion Paper Series, Department of Economics, Loughborough University Downloads
    Also in Discussion Papers, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM) Downloads
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics (2006) Downloads

    See also Journal Article in Journal of Forecasting (2008)

2005

  1. TWO-STAGE HUBER ESTIMATION
    Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) Downloads View citations (2)

2004

  1. Bias Transmission In Two-Stage Estimation
    Royal Economic Society Annual Conference 2004, Royal Economic Society Downloads
  2. Spurious Nonlinear Regressions In Econometrics
    Royal Economic Society Annual Conference 2004, Royal Economic Society Downloads View citations (1)
    See also Journal Article in Economics Letters (2005)
  3. TWO-STAGE QUANTILE REGRESSION WHEN THE FIRST STAGE IS BASED ON QUANTILE REGRESSION
    Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) Downloads View citations (32)
    See also Journal Article in Econometrics Journal (2004)

2003

  1. Behaviour of Dickey-Fuller Unit Root Tests Under Trend Misspecification
    Econometrics, EconWPA Downloads View citations (3)
    See also Journal Article in Journal of Time Series Analysis (2004)
  2. EXAMINATION OF SOME MORE POWERFUL MODIFICATIONS OF THE DICKEY- FULLER TEST
    Econometrics, EconWPA Downloads View citations (11)
    See also Journal Article in Journal of Time Series Analysis (2005)
  3. On More Robust Estimation of Skewness and Kurtosis: Simulation and Application to the S&P500 Index
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads View citations (1)
  4. Predicting Changes in the Interest Rate: The Performance of Taylor Rules Versus Alternatives for the United Kingdom
    Royal Economic Society Annual Conference 2003, Royal Economic Society Downloads

2002

  1. Estimation, Inference, and Specification Testing for Possibly Misspecified Quantile Regression
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads View citations (3)

2000

  1. Asymptotic and Bayesian Confidence Intervals for Sharpe Style Weights
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads View citations (4)
    See also Journal Article in Journal of Financial Econometrics (2005)
  2. James-Stein Type Estimator in Large Samples with Application to the Least Absolute Deviations Estimator
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads
    Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (1999) Downloads
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (2000) Downloads

    See also Journal Article in Journal of the American Statistical Association (2001)

Journal Articles

2015

  1. Quantile cointegration in the autoregressive distributed-lag modeling framework
    Journal of Econometrics, 2015, 188, (1), 281-300 Downloads View citations (3)
    See also Working Paper (2014)
  2. Revisiting growth empirics based on IV panel quantile regression
    Applied Economics, 2015, 47, (36), 3859-3873 Downloads
    See also Working Paper (2014)
  3. The instability of the Pearson correlation coefficient in the presence of coincidental outliers
    Finance Research Letters, 2015, 13, (C), 243-257 Downloads
    See also Working Paper (2015)
  4. VAR for VaR: Measuring tail dependence using multivariate regression quantiles
    Journal of Econometrics, 2015, 187, (1), 169-188 Downloads View citations (10)
    See also Working Paper (2015)

2012

  1. Monetary information and monetary policy decisions: Evidence from the euroarea and the UK
    Journal of Macroeconomics, 2012, 34, (2), 326-341 Downloads
  2. Robust estimation of covariance and its application to portfolio optimization
    Finance Research Letters, 2012, 9, (3), 121-134 Downloads View citations (6)
  3. The influence of school quality on housing prices in Korea
    Applied Economics, 2012, 44, (8), 1021-1023 Downloads

2010

  1. Estimating monetary reaction functions at near zero interest rates
    Economics Letters, 2010, 106, (1), 57-60 Downloads View citations (4)
  2. The effect of a variance shift on the Breusch-Godfrey's LM test
    Applied Economics Letters, 2010, 17, (4), 399-404 Downloads View citations (1)

2009

  1. The Taylor Principle and Monetary Policy Approaching a Zero Bound on Nominal Rates: Quantile Regression Results for the United States and Japan
    Journal of Money, Credit and Banking, 2009, 41, (8), 1705-1723 Downloads View citations (25)

2008

  1. A more powerful modification of Johansen's cointegration tests
    Applied Economics, 2008, 40, (6), 725-729 Downloads
  2. Forecasting changes in UK interest rates
    Journal of Forecasting, 2008, 27, (1), 53-74 Downloads View citations (8)
    See also Working Paper (2007)

2007

  1. CUSUM of Squares-Based Tests for a Change in Persistence
    Journal of Time Series Analysis, 2007, 28, (3), 408-433 Downloads View citations (27)
  2. Detecting Multiple Changes in Persistence
    Studies in Nonlinear Dynamics & Econometrics, 2007, 11, (3), 1-34 Downloads View citations (13)

2006

  1. Forecasting volatility of futures market: the S&P 500 and FTSE 100 futures using high frequency returns and implied volatility
    Applied Economics, 2006, 38, (4), 395-413 Downloads View citations (3)
  2. Regression-based Tests for a Change in Persistence
    Oxford Bulletin of Economics and Statistics, 2006, 68, (5), 595-621 Downloads View citations (9)

2005

  1. Asymptotic and Bayesian Confidence Intervals for Sharpe-Style Weights
    Journal of Financial Econometrics, 2005, 3, (3), 315-343 Downloads View citations (4)
    See also Working Paper (2000)
  2. Examination of Some More Powerful Modifications of the Dickey-Fuller Test
    Journal of Time Series Analysis, 2005, 26, (3), 355-369 Downloads View citations (17)
    See also Working Paper (2003)
  3. On suboptimality of the Hodrick-Prescott filter at time series endpoints
    Journal of Macroeconomics, 2005, 27, (1), 53-67 Downloads View citations (51)
  4. Spurious nonlinear regressions in econometrics
    Economics Letters, 2005, 87, (3), 301-306 Downloads View citations (6)
    See also Working Paper (2004)

2004

  1. Asymptotic mean-squared forecast error when an autoregression with linear trend is fitted to data generated by an I(0) or I(1) process
    Journal of Time Series Analysis, 2004, 25, (4), 583-602 Downloads View citations (1)
  2. Behaviour of Dickey-Fuller Unit-Root Tests Under Trend Misspecification
    Journal of Time Series Analysis, 2004, 25, (5), 755-764 Downloads View citations (6)
    See also Working Paper (2003)
  3. Calendar effects in Eastern European financial markets: evidence from the Czech Republic, Slovakia and Slovenia
    Applied Financial Economics, 2004, 14, (14), 1035-1043 Downloads View citations (15)
  4. More powerful panel data unit root tests with an application to mean reversion in real exchange rates
    Journal of Applied Econometrics, 2004, 19, (2), 147-170 Downloads View citations (79)
  5. On more robust estimation of skewness and kurtosis
    Finance Research Letters, 2004, 1, (1), 56-73 Downloads View citations (61)
  6. Spurious regressions with stationary processes around linear trends
    Economics Letters, 2004, 83, (2), 257-262 Downloads View citations (19)
  7. Two-stage quantile regression when the first stage is based on quantile regression
    Econometrics Journal, 2004, 7, (1), 218-231 Downloads View citations (35)
    See also Working Paper (2004)

2003

  1. Behaviour of cointegration tests in the presence of structural breaks in variance
    Applied Economics Letters, 2003, 10, (15), 999-1002 Downloads View citations (3)
  2. Testing for Linear Trend with Application to Relative Primary Commodity Prices
    Journal of Time Series Analysis, 2003, 24, (5), 539-551 Downloads View citations (32)
  3. Tests for a change in persistence against the null of difference-stationarity
    Econometrics Journal, 2003, 6, (2), 291-311 Downloads View citations (40)

2002

  1. Unit root tests with a break in innovation variance
    Journal of Econometrics, 2002, 109, (2), 365-387 Downloads View citations (53)

2001

  1. James-Stein-Type Estimators in Large Samples With Application to the Least Absolute Deviations Estimator
    Journal of the American Statistical Association, 2001, 96, 697-705 Downloads View citations (5)
    See also Working Paper (2000)
  2. Unit root tests based on inequality-restricted estimators
    Applied Economics Letters, 2001, 8, (12), 793-797 Downloads View citations (1)

2000

  1. Spurious Rejections by Perron Tests in the Presence of a Break
    Oxford Bulletin of Economics and Statistics, 2000, 62, (3), 433-44 Downloads View citations (13)
 
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