Details about Tae-Hwan Kim

Access statistics for papers by Tae-Hwan Kim.

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Short-id: pki53

Working Papers

2023

1. Generalized Impulse and Its Measure
   Working papers, Yonsei University, Yonsei Economics Research Institute

2020

2. Dealing with Markov-Switching Parameters in Quantile Regression Models
   Working papers, Yonsei University, Yonsei Economics Research Institute
3. Does Political Orientation Affect Happiness? The Case of South Korea
   Working papers, Yonsei University, Yonsei Economics Research Institute
   See also Journal Article Does political orientation affect happiness? The case of South Korea, Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA) (2020) (2020)
4. Impulse Response Analysis in Conditional Quantile Models and an Application to Monetary Policy
   Working papers, Yonsei University, Yonsei Economics Research Institute
5. Impulse response analysis in conditional quantile models with an application to monetary policy
   Discussion Papers, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM)
   See also Journal Article Impulse response analysis in conditional quantile models with an application to monetary policy, Journal of Economic Dynamics and Control, Elsevier (2021) View citations (5) (2021)
6. Inconsistency transmission and variance reduction in two-stage quantile regression
   Post-Print, HAL View citations (2)
7. Testing for Structural Breaks in Return-Based Style Regression Models
   Working papers, Yonsei University, Yonsei Economics Research Institute
   See also Journal Article Testing for structural breaks in return-based style regression models, Financial Markets and Portfolio Management, Springer (2021) (2021)

2017

8. A Robust Test of Exogeneity Based on Quantile Regressions
   AMSE Working Papers, Aix-Marseille School of Economics, France View citations (3)
   Also in Post-Print, HAL (2017) View citations (3)
   Working Papers, HAL (2017) View citations (3)
9. Heterogeneity and Non-Constant Effect in Two-Stage Quantile Regression
   Working Papers, HAL
10. Statistical Estimation of the Casual Effect of Scoial Economy on Subjective Well-Being
    Working papers, Yonsei University, Yonsei Economics Research Institute

2015

11. A Particular Form of Non-Constant Effect in Two-Stage Quantile Regression
    Working papers, Yonsei University, Yonsei Economics Research Institute
    Also in AMSE Working Papers, Aix-Marseille School of Economics, France (2015)
12. Multi-dimensional Risk and its Diversification
    Working papers, Yonsei University, Yonsei Economics Research Institute
13. Revisiting the Effect of FDI on Economic Growth using Quantile Regression
    Working papers, Yonsei University, Yonsei Economics Research Institute View citations (1)
14. The Instability of the Pearson Correlation Coefficient in the Presence of Coincidental Outliers
    Working papers, Yonsei University, Yonsei Economics Research Institute View citations (10)
    Also in Working papers, Yonsei University, Yonsei Economics Research Institute (2014)
    See also Journal Article The instability of the Pearson correlation coefficient in the presence of coincidental outliers, Finance Research Letters, Elsevier (2015) View citations (8) (2015)
15. VAR for VaR: measuring tail dependence using multivariate regression quantiles
    Working Paper Series, European Central Bank View citations (171)
    Also in Working papers, Yonsei University, Yonsei Economics Research Institute (2012) View citations (13)
    See also Journal Article VAR for VaR: Measuring tail dependence using multivariate regression quantiles, Journal of Econometrics, Elsevier (2015) View citations (149) (2015)

2014

16. Quantile Cointegration in the Autoregressive Distributed-Lag Modelling Framework
    Working papers, Yonsei University, Yonsei Economics Research Institute View citations (1)
    See also Journal Article Quantile cointegration in the autoregressive distributed-lag modeling framework, Journal of Econometrics, Elsevier (2015) View citations (153) (2015)
17. Revisiting Growth Empirics Based on IV Panel Quantile Regression
    Working papers, Yonsei University, Yonsei Economics Research Institute
    See also Journal Article Revisiting growth empirics based on IV panel quantile regression, Applied Economics, Taylor & Francis Journals (2015) (2015)
18. Testing for Autocorrelation in Quantile Regression Models
    Working papers, Yonsei University, Yonsei Economics Research Institute
    Also in Working papers, Yonsei University, Yonsei Economics Research Institute (2013)
19. UNIT ROOT TESTS IN THE PRESENCE OF MULTIPLE BREAKS IN VARIANCE
    Working papers, Yonsei University, Yonsei Economics Research Institute
    See also Journal Article UNIT ROOT TESTS IN THE PRESENCE OF MULTIPLE BREAKS IN VARIANCE, The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd. (2017) (2017)

2013

20. A Test for Endogeneity in Conditional Quantiles
    Working Papers, HAL View citations (4)
    Also in AMSE Working Papers, Aix-Marseille School of Economics, France (2013) View citations (4)

2012

21. A test for endogeneity in conditional quantile models
    Working papers, Yonsei University, Yonsei Economics Research Institute
22. Bias Transmission and Variance Reduction in Two-Stage Quantile Regression
    Working Papers, HAL View citations (11)
    Also in AMSE Working Papers, Aix-Marseille School of Economics, France (2012) View citations (8)
23. On measuring the nonlinear effect of interest rates on inflation and output
    Working papers, Yonsei University, Yonsei Economics Research Institute

2010

24. VAR for VaR: measuring systemic risk using multivariate regression quantiles
    MPRA Paper, University Library of Munich, Germany View citations (16)

2008

25. Modeling autoregressive conditional skewness and kurtosis with multi-quantile CAViaR
    Working Paper Series, European Central Bank View citations (32)

2007

26. Evaluating the Taylor Principle Over the Distribution of the Interest Rate: Evidence from the US, UK and Japan
    Discussion Papers, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM)
    Also in Money Macro and Finance (MMF) Research Group Conference 2006, Money Macro and Finance Research Group (2007)
27. Forecasting Changes in UK Interest Rates
    Discussion Papers, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM)
    Also in Discussion Paper Series, Department of Economics, Loughborough University (2007)
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics (2006)
    See also Journal Article Forecasting changes in UK interest rates, Journal of Forecasting, John Wiley & Sons, Ltd. (2008) View citations (14) (2008)

2005

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

2004

29. Bias Transmission In Two-Stage Estimation
    Royal Economic Society Annual Conference 2004, Royal Economic Society
30. Spurious Nonlinear Regressions In Econometrics
    Royal Economic Society Annual Conference 2004, Royal Economic Society View citations (1)
    See also Journal Article Spurious nonlinear regressions in econometrics, Economics Letters, Elsevier (2005) View citations (8) (2005)
31. 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) View citations (80)
    See also Journal Article Two-stage quantile regression when the first stage is based on quantile regression, Econometrics Journal, Royal Economic Society (2004) View citations (87) (2004)

2003

32. Behaviour of Dickey-Fuller Unit Root Tests Under Trend Misspecification
    Econometrics, University Library of Munich, Germany View citations (4)
    See also Journal Article Behaviour of Dickey–Fuller Unit‐Root Tests Under Trend Misspecification, Journal of Time Series Analysis, Wiley Blackwell (2004) View citations (9) (2004)
33. EXAMINATION OF SOME MORE POWERFUL MODIFICATIONS OF THE DICKEY- FULLER TEST
    Econometrics, University Library of Munich, Germany View citations (11)
    See also Journal Article Examination of Some More Powerful Modifications of the Dickey–Fuller Test, Journal of Time Series Analysis, Wiley Blackwell (2005) View citations (38) (2005)
34. 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 View citations (5)
35. 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

2002

36. 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 View citations (9)
    See also Chapter ESTIMATION, INFERENCE, AND SPECIFICATION TESTING FOR POSSIBLY MISSPECIFIED QUANTILE REGRESSION, Advances in Econometrics, Emerald Group Publishing Limited (2003) View citations (11) (2003)

2000

37. 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 View citations (4)
    See also Journal Article Asymptotic and Bayesian Confidence Intervals for Sharpe-Style Weights, Journal of Financial Econometrics, Oxford University Press (2005) View citations (10) (2005)
38. 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
    Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (1999)
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (2000)
    See also Journal Article James-Stein-Type Estimators in Large Samples With Application to the Least Absolute Deviations Estimator, Journal of the American Statistical Association, American Statistical Association (2001) View citations (12) (2001)

Journal Articles

2021

1. Impulse response analysis in conditional quantile models with an application to monetary policy
   Journal of Economic Dynamics and Control, 2021, 127, (C) View citations (5)
   See also Working Paper Impulse response analysis in conditional quantile models with an application to monetary policy, Discussion Papers (2020) (2020)
2. Testing for structural breaks in return-based style regression models
   Financial Markets and Portfolio Management, 2021, 35, (1), 61-76
   See also Working Paper Testing for Structural Breaks in Return-Based Style Regression Models, Working papers (2020) (2020)

2020

3. Does political orientation affect happiness? The case of South Korea
   Applied Econometrics, 2020, 57, 102-118
   See also Working Paper Does Political Orientation Affect Happiness? The Case of South Korea, Working papers (2020) (2020)

2018

4. Multi-dimensional portfolio risk and its diversification: A note
   Global Finance Journal, 2018, 35, (C), 147-156 View citations (1)

2017

5. UNIT ROOT TESTS IN THE PRESENCE OF MULTIPLE BREAKS IN VARIANCE
   The Singapore Economic Review (SER), 2017, 62, (02), 345-361
   See also Working Paper UNIT ROOT TESTS IN THE PRESENCE OF MULTIPLE BREAKS IN VARIANCE, Working papers (2014) (2014)

2015

6. Quantile cointegration in the autoregressive distributed-lag modeling framework
   Journal of Econometrics, 2015, 188, (1), 281-300 View citations (153)
   See also Working Paper Quantile Cointegration in the Autoregressive Distributed-Lag Modelling Framework, Working papers (2014) View citations (1) (2014)
7. Revisiting growth empirics based on IV panel quantile regression
   Applied Economics, 2015, 47, (36), 3859-3873
   See also Working Paper Revisiting Growth Empirics Based on IV Panel Quantile Regression, Working papers (2014) (2014)
8. The instability of the Pearson correlation coefficient in the presence of coincidental outliers
   Finance Research Letters, 2015, 13, (C), 243-257 View citations (8)
   See also Working Paper The Instability of the Pearson Correlation Coefficient in the Presence of Coincidental Outliers, Working papers (2015) View citations (10) (2015)
9. VAR for VaR: Measuring tail dependence using multivariate regression quantiles
   Journal of Econometrics, 2015, 187, (1), 169-188 View citations (149)
   See also Working Paper VAR for VaR: measuring tail dependence using multivariate regression quantiles, Working Paper Series (2015) View citations (171) (2015)

2012

10. Monetary information and monetary policy decisions: Evidence from the euroarea and the UK
    Journal of Macroeconomics, 2012, 34, (2), 326-341 View citations (1)
11. Robust estimation of covariance and its application to portfolio optimization
    Finance Research Letters, 2012, 9, (3), 121-134 View citations (11)
12. The influence of school quality on housing prices in Korea
    Applied Economics, 2012, 44, (8), 1021-1023 View citations (2)

2010

13. Estimating monetary reaction functions at near zero interest rates
    Economics Letters, 2010, 106, (1), 57-60 View citations (7)
14. The effect of a variance shift on the Breusch-Godfrey's LM test
    Applied Economics Letters, 2010, 17, (4), 399-404 View citations (3)

2009

15. 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 View citations (49)
    Also in Journal of Money, Credit and Banking, 2009, 41, (8), 1705-1723 (2009) View citations (5)

2008

16. A more powerful modification of Johansen's cointegration tests
    Applied Economics, 2008, 40, (6), 725-729
17. Forecasting changes in UK interest rates
    Journal of Forecasting, 2008, 27, (1), 53-74 View citations (14)
    See also Working Paper Forecasting Changes in UK Interest Rates, Discussion Papers (2007) (2007)

2007

18. CUSUM of Squares‐Based Tests for a Change in Persistence
    Journal of Time Series Analysis, 2007, 28, (3), 408-433 View citations (43)
19. Detecting Multiple Changes in Persistence
    Studies in Nonlinear Dynamics & Econometrics, 2007, 11, (3), 34 View citations (55)

2006

20. 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 View citations (6)
21. Regression‐based Tests for a Change in Persistence*
    Oxford Bulletin of Economics and Statistics, 2006, 68, (5), 595-621 View citations (17)

2005

22. Asymptotic and Bayesian Confidence Intervals for Sharpe-Style Weights
    Journal of Financial Econometrics, 2005, 3, (3), 315-343 View citations (10)
    See also Working Paper Asymptotic and Bayesian Confidence Intervals for Sharpe Style Weights, University of California at San Diego, Economics Working Paper Series (2000) View citations (4) (2000)
23. Examination of Some More Powerful Modifications of the Dickey–Fuller Test
    Journal of Time Series Analysis, 2005, 26, (3), 355-369 View citations (38)
    See also Working Paper EXAMINATION OF SOME MORE POWERFUL MODIFICATIONS OF THE DICKEY- FULLER TEST, Econometrics (2003) View citations (11) (2003)
24. On suboptimality of the Hodrick-Prescott filter at time series endpoints
    Journal of Macroeconomics, 2005, 27, (1), 53-67 View citations (108)
25. Spurious nonlinear regressions in econometrics
    Economics Letters, 2005, 87, (3), 301-306 View citations (8)
    See also Working Paper Spurious Nonlinear Regressions In Econometrics, Royal Economic Society Annual Conference 2004 (2004) View citations (1) (2004)

2004

26. 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 View citations (4)
27. Behaviour of Dickey–Fuller Unit‐Root Tests Under Trend Misspecification
    Journal of Time Series Analysis, 2004, 25, (5), 755-764 View citations (9)
    See also Working Paper Behaviour of Dickey-Fuller Unit Root Tests Under Trend Misspecification, Econometrics (2003) View citations (4) (2003)
28. Calendar effects in Eastern European financial markets: evidence from the Czech Republic, Slovakia and Slovenia
    Applied Financial Economics, 2004, 14, (14), 1035-1043 View citations (25)
29. 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 View citations (169)
30. On more robust estimation of skewness and kurtosis
    Finance Research Letters, 2004, 1, (1), 56-73 View citations (157)
31. Spurious regressions with stationary processes around linear trends
    Economics Letters, 2004, 83, (2), 257-262 View citations (24)
32. Two-stage quantile regression when the first stage is based on quantile regression
    Econometrics Journal, 2004, 7, (1), 218-231 View citations (87)
    See also Working Paper TWO-STAGE QUANTILE REGRESSION WHEN THE FIRST STAGE IS BASED ON QUANTILE REGRESSION, Working Papers. Serie AD (2004) View citations (80) (2004)

2003

33. Behaviour of cointegration tests in the presence of structural breaks in variance
    Applied Economics Letters, 2003, 10, (15), 999-1002 View citations (5)
34. Testing for Linear Trend with Application to Relative Primary Commodity Prices
    Journal of Time Series Analysis, 2003, 24, (5), 539-551 View citations (53)
35. Tests for a change in persistence against the null of difference-stationarity
    Econometrics Journal, 2003, 6, (2), 291-311 View citations (57)

2002

36. A Direct Test for Cointegration Between a Pair of Time Series
    Journal of Time Series Analysis, 2002, 23, (2), 173-191
37. Unit root tests with a break in innovation variance
    Journal of Econometrics, 2002, 109, (2), 365-387 View citations (81)

2001

38. 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 View citations (12)
    See also Working Paper 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 (2000) (2000)
39. Unit root tests based on inequality-restricted estimators
    Applied Economics Letters, 2001, 8, (12), 793-797 View citations (1)

2000

40. Spurious Rejections by Perron Tests in the Presence of a Break
    Oxford Bulletin of Economics and Statistics, 2000, 62, (3), 433-444 View citations (18)

Chapters

2003

1. ESTIMATION, INFERENCE, AND SPECIFICATION TESTING FOR POSSIBLY MISSPECIFIED QUANTILE REGRESSION
   A chapter in Maximum Likelihood Estimation of Misspecified Models: Twenty Years Later, 2003, pp 107-132 View citations (11)
   See also Working Paper Estimation, Inference, and Specification Testing for Possibly Misspecified Quantile Regression, Department of Economics, UC San Diego (2002) View citations (9) (2002)