Details about Tae Hwy Lee
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Short-id: ple784
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Working Papers
2023
- Asymmetric AdaBoost for High-dimensional Maximum Score Regression
Working Papers, University of California at Riverside, Department of Economics
- Boosting GMM with Many Instruments When Some Are Invalid or Irrelevant
Working Papers, University of California at Riverside, Department of Economics
- Combining Forecasts under Structural Breaks Using Graphical LASSO
Papers, arXiv.org
Also in Working Papers, University of California at Riverside, Department of Economics (2022) View citations (1) Working Papers, University of California at Riverside, Department of Economics (2023)
- Elicitability and Encompassing for Volatility Forecasts by Bregman Functions
Working Papers, University of California at Riverside, Department of Economics
- Estimation and Testing of Forecast Rationality with Many Moments
Papers, arXiv.org
Also in Working Papers, University of California at Riverside, Department of Economics (2023)
- Inferential Theory for Granular Instrumental Variables in High Dimensions
Papers, arXiv.org View citations (1)
Also in Working Papers, University of California at Riverside, Department of Economics (2022) Working Papers, University of California at Riverside, Department of Economics (2023)
- Optimal Portfolio Using Factor Graphical Lasso
Working Papers, University of California at Riverside, Department of Economics View citations (1)
Also in Working Papers, University of California at Riverside, Department of Economics (2020) View citations (6) Papers, arXiv.org (2023) View citations (1)
See also Journal Article Optimal Portfolio Using Factor Graphical Lasso*, Journal of Financial Econometrics, Oxford University Press (2024) (2024)
- The Second-order Bias and Mean Squared Error of Quantile Regression Estimators
Working Papers, University of California at Riverside, Department of Economics
2022
- Forecasting under Structural Breaks Using Improved Weighted Estimation
Working Papers, University of California at Riverside, Department of Economics View citations (2)
Also in WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics (2022) View citations (2)
- Model Averaging Estimation of Panel Data Models with Many Instruments and Boosting
Working Papers, University of California at Riverside, Department of Economics
See also Journal Article Model averaging estimation of panel data models with many instruments and boosting, Journal of Applied Statistics, Taylor & Francis Journals (2024) (2024)
- Optimal Forecast under Structural Breaks
WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics View citations (1)
Also in Working Papers, University of California at Riverside, Department of Economics (2022) View citations (1)
See also Journal Article Optimal forecast under structural breaks, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2022) View citations (1) (2022)
2021
- Density Forecast of Financial Returns Using Decomposition and Maximum Entropy
Working Papers, University of California at Riverside, Department of Economics
See also Journal Article Density Forecast of Financial Returns Using Decomposition and Maximum Entropy, Journal of Econometric Methods, De Gruyter (2023) (2023)
- Efficient Combined Estimation under Structural Breaks
Working Papers, University of California at Riverside, Department of Economics
Also in WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics (2021)
See also Chapter Efficient Combined Estimation under Structural Breaks, Advances in Econometrics, Emerald Group Publishing Limited (2022) View citations (1) (2022)
- Learning from Forecast Errors: A New Approach to Forecast Combinations
Papers, arXiv.org
Also in Working Papers, University of California at Riverside, Department of Economics (2020)
2020
- Estimation of High-Dimensional Dynamic Conditional Precision Matrices with an Application to Forecast Combination
Working Papers, University of California at Riverside, Department of Economics
- Exact Distribution of the F-statistic under Heteroskedasticity of Unknown Form for Improved Inference
Working Papers, University of California at Riverside, Department of Economics
- Maximum Entropy Analysis of Consumption-based Capital Asset Pricing Model and Volatility
Working Papers, University of California at Riverside, Department of Economics View citations (1)
See also Journal Article Maximum Entropy Analysis of Consumption-based Capital Asset Pricing Model and Volatility, Journal of Econometric Methods, De Gruyter (2021) View citations (1) (2021)
- Predicting the Long-term Stock Market Volatility: A GARCH-MIDAS Model with Variable Selection
Working Papers, University of California at Riverside, Department of Economics View citations (47)
See also Journal Article Predicting the long-term stock market volatility: A GARCH-MIDAS model with variable selection, Journal of Empirical Finance, Elsevier (2020) View citations (45) (2020)
2019
- Boosting
Working Papers, University of California at Riverside, Department of Economics
- Bootstrap Aggregating and Random Forest
Working Papers, University of California at Riverside, Department of Economics
2018
- A Combined Random Effect and Fixed Effect Forecast for Panel Data Models
Working Papers, University of California at Riverside, Department of Economics
- Combined Estimation of Semiparametric Panel Data Models
Working Papers, University of California at Riverside, Department of Economics
See also Journal Article Combined estimation of semiparametric panel data models, Econometrics and Statistics, Elsevier (2020) View citations (4) (2020)
- Component-wise AdaBoost Algorithms for High-dimensional Binary Classi fication and Class Probability Prediction
Working Papers, University of California at Riverside, Department of Economics
- Evaluation of the Survey of Professional Forecasters in the Greenbook’s Loss Function
Working Papers, University of California at Riverside, Department of Economics
- Forecasting Using Supervised Factor Models
Working Papers, University of California at Riverside, Department of Economics
- Stein-like Shrinkage Estimation of Panel Data Models with Common Correlated Effects
Working Papers, University of California at Riverside, Department of Economics
See also Chapter Stein-like Shrinkage Estimation of Panel Data Models with Common Correlated Effects, Advances in Econometrics, Emerald Group Publishing Limited (2019) (2019)
- The Second-order Asymptotic Properties of Asymmetric Least Squares Estimation
Working Papers, University of California at Riverside, Department of Economics
See also Journal Article The Second-Order Asymptotic Properties of Asymmetric Least Squares Estimation, Sankhya B: The Indian Journal of Statistics, Springer (2019) View citations (1) (2019)
- Using the Entire Yield Curve in Forecasting Output and Inflation
Working Papers, University of California at Riverside, Department of Economics
See also Journal Article Using the Entire Yield Curve in Forecasting Output and Inflation, Econometrics, MDPI (2018) View citations (10) (2018)
- Variable Selection in Sparse Semiparametric Single Index Models
Working Papers, University of California at Riverside, Department of Economics
See also Chapter Variable Selection in Sparse Semiparametric Single Index Models, Advances in Econometrics, Emerald Group Publishing Limited (2019) (2019)
2017
- A Combined Estimator of Regression Models with Measurement Errors
Working Papers, University of California at Riverside, Department of Economics
See also Journal Article A combined estimator of regression models with measurement errors, Indian Economic Review, Springer (2017) (2017)
- Time-varying Model Averaging
Working Papers, University of California at Riverside, Department of Economics
See also Journal Article Time-varying model averaging, Journal of Econometrics, Elsevier (2021) View citations (10) (2021)
2015
- Finding SPF Percentiles Closest to Greenbook
Working Papers, University of California at Riverside, Department of Economics
2014
- Asymmetric Loss in the Greenbook and the Survey of Professional Forecasters
Working Papers, University of California at Riverside, Department of Economics View citations (20)
See also Journal Article Asymmetric loss in the Greenbook and the Survey of Professional Forecasters, International Journal of Forecasting, Elsevier (2014) View citations (19) (2014)
- Forecasting Equity Premium: Global Historical Average versus Local Historical Average and Constraints
Working Papers, University of California at Riverside, Department of Economics
See also Journal Article Forecasting Equity Premium: Global Historical Average Versus Local Historical Average and Constraints, Journal of Business & Economic Statistics, Taylor & Francis Journals (2015) View citations (6) (2015)
- Forecasting Realized Volatility Using Subsample Averaging
Working Papers, University of California at Riverside, Department of Economics
- Forecasting Value-at-Risk Using High Frequency Information
Working Papers, University of California at Riverside, Department of Economics
See also Journal Article Forecasting Value-at-Risk Using High-Frequency Information, Econometrics, MDPI (2013) View citations (9) (2013)
- Granger-Causality in Quantiles between Financial Markets: Using Copula Approach
Working Papers, University of California at Riverside, Department of Economics View citations (36)
See also Journal Article Granger-causality in quantiles between financial markets: Using copula approach, International Review of Financial Analysis, Elsevier (2014) View citations (32) (2014)
- Nonparametric and Semiparametric Regressions Subject to Monotonicity Constraints: Estimation and Forecasting
Working Papers, University of California at Riverside, Department of Economics View citations (8)
See also Journal Article Nonparametric and semiparametric regressions subject to monotonicity constraints: Estimation and forecasting, Journal of Econometrics, Elsevier (2014) View citations (7) (2014)
- Testing for Neglected Nonlinearity Using Artificial Neural Networks with Many Randomized Hidden Unit Activations
Working Papers, University of California at Riverside, Department of Economics
See also Journal Article Testing for Neglected Nonlinearity Using Artificial Neural Networks with Many Randomized Hidden Unit Activations, Journal of Time Series Econometrics, De Gruyter (2013) (2013)
2013
- Bagging Constrained Equity Premium Predictors
Working Papers, University of California at Riverside, Department of Economics View citations (3)
2012
- Let's Do It Again: Bagging Equity Premium Predictors
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)
Also in Textos para discussão, Department of Economics PUC-Rio (Brazil) (2012)
- Money-Income Granger-Causality in Quantiles
Working Papers, University of California at Riverside, Department of Economics View citations (17)
See also Chapter Money–Income Granger-Causality in Quantiles, Advances in Econometrics, Emerald Group Publishing Limited (2012) View citations (2) (2012)
- Stein-Rule Estimation and Generalized Shrinkage Methods for Forecasting Using Many Predictors
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (6)
See also Chapter Stein-Rule Estimation and Generalized Shrinkage Methods for Forecasting Using Many Predictors, Advances in Econometrics, Emerald Group Publishing Limited (2012) (2012)
- Testing for Neglected Nonlinearity Using Regularized Artificial Neural Networks
Working Papers, University of California at Riverside, Department of Economics
2011
- Using the Yield Curve in Forecasting Output Growth and In?flation
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (4)
2009
- To Combine Forecasts or to Combine Information?
Working Papers, University of California at Riverside, Department of Economics
See also Journal Article To Combine Forecasts or to Combine Information?, Econometric Reviews, Taylor & Francis Journals (2010) View citations (58) (2010)
2008
- Nonlinear Time Series in Financial Forecasting
Working Papers, University of California at Riverside, Department of Economics View citations (1)
2007
- Permanent and transitory components of GDP and stock prices: further analysis
UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de EconomÃa
See also Journal Article Permanent and transitory components of GDP and stock prices: further analysis, Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals (2008) View citations (2) (2008)
2004
- Bagging Binary Predictors for Time Series
Econometric Society 2004 Far Eastern Meetings, Econometric Society View citations (2)
- Generalized (Cross) Spectral Tests for Optimal Forecasts and Conditional Predictive Ability Under Generalized Loss Functions
Econometric Society 2004 North American Winter Meetings, Econometric Society
- Jumps in Rank and Expected Returns. Introducing Varying Cross-sectional Risk
Econometric Society 2004 North American Winter Meetings, Econometric Society
2000
- Nonparametric Bootstrap Tests for Neglected Nonlinearity in Time Series Regression Models
Working papers, Centre for Development Economics, Delhi School of Economics View citations (5)
1996
- On the robustness of cointegration tests when series are fractionally integrated
DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica
Also in The A. Gary Anderson Graduate School of Management, The A. Gary Anderson Graduate School of Management. University of California Riverside (1995) View citations (1)
See also Journal Article On the robustness of cointegration tests when series are fractionally intergrated, Journal of Applied Statistics, Taylor & Francis Journals (2000) View citations (10) (2000)
1995
- No lack of relative power of the Dickey-Fuller tests for unit roots
DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica
- Pitfalls in Testing for Long Run Relationships
Working Papers, Boston University - Department of Economics View citations (20)
See also Journal Article Pitfalls in testing for long run relationships, Journal of Econometrics, Elsevier (1998) View citations (132) (1998)
- Relative Power of t Type Tests of Stationary and Unit Root Processes
Working Papers, Boston University - Department of Economics View citations (1)
See also Journal Article RELATIVE POWER OF t TYPE TESTS FOR STATIONARY AND UNIT ROOT PROCESSES, Journal of Time Series Analysis, Wiley Blackwell (1996) View citations (9) (1996)
Journal Articles
2024
- Model averaging estimation of panel data models with many instruments and boosting
Journal of Applied Statistics, 2024, 51, (1), 53-69
See also Working Paper Model Averaging Estimation of Panel Data Models with Many Instruments and Boosting, Working Papers (2022) (2022)
- Optimal Portfolio Using Factor Graphical Lasso*
Journal of Financial Econometrics, 2024, 22, (3), 670-695
See also Working Paper Optimal Portfolio Using Factor Graphical Lasso, Working Papers (2023) View citations (1) (2023)
2023
- Density Forecast of Financial Returns Using Decomposition and Maximum Entropy
Journal of Econometric Methods, 2023, 12, (1), 57-83
See also Working Paper Density Forecast of Financial Returns Using Decomposition and Maximum Entropy, Working Papers (2021) (2021)
2022
- Optimal forecast under structural breaks
Journal of Applied Econometrics, 2022, 37, (5), 965-987 View citations (1)
See also Working Paper Optimal Forecast under Structural Breaks, WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS (2022) View citations (1) (2022)
2021
- Maximum Entropy Analysis of Consumption-based Capital Asset Pricing Model and Volatility
Journal of Econometric Methods, 2021, 10, (1), 1-19 View citations (1)
See also Working Paper Maximum Entropy Analysis of Consumption-based Capital Asset Pricing Model and Volatility, Working Papers (2020) View citations (1) (2020)
- Time-varying model averaging
Journal of Econometrics, 2021, 222, (2), 974-992 View citations (10)
See also Working Paper Time-varying Model Averaging, Working Papers (2017) (2017)
2020
- Combined estimation of semiparametric panel data models
Econometrics and Statistics, 2020, 15, (C), 30-45 View citations (4)
See also Working Paper Combined Estimation of Semiparametric Panel Data Models, Working Papers (2018) (2018)
- Predicting the long-term stock market volatility: A GARCH-MIDAS model with variable selection
Journal of Empirical Finance, 2020, 58, (C), 36-49 View citations (45)
See also Working Paper Predicting the Long-term Stock Market Volatility: A GARCH-MIDAS Model with Variable Selection, Working Papers (2020) View citations (47) (2020)
2019
- Evaluation of the Survey of Professional Forecasters in the Greenbook’s Loss Function
Journal of Quantitative Economics, 2019, 17, (2), 345-360
- The Second-Order Asymptotic Properties of Asymmetric Least Squares Estimation
Sankhya B: The Indian Journal of Statistics, 2019, 81, (1), 201-233 View citations (1)
See also Working Paper The Second-order Asymptotic Properties of Asymmetric Least Squares Estimation, Working Papers (2018) (2018)
2018
- The second-order bias of quantile estimators
Economics Letters, 2018, 173, (C), 143-147 View citations (3)
- Using the Entire Yield Curve in Forecasting Output and Inflation
Econometrics, 2018, 6, (3), 1-27 View citations (10)
See also Working Paper Using the Entire Yield Curve in Forecasting Output and Inflation, Working Papers (2018) (2018)
2017
- A combined estimator of regression models with measurement errors
Indian Economic Review, 2017, 52, (1), 73-91
See also Working Paper A Combined Estimator of Regression Models with Measurement Errors, Working Papers (2017) (2017)
2015
- Forecasting Equity Premium: Global Historical Average Versus Local Historical Average and Constraints
Journal of Business & Economic Statistics, 2015, 33, (3), 393-402 View citations (6)
See also Working Paper Forecasting Equity Premium: Global Historical Average versus Local Historical Average and Constraints, Working Papers (2014) (2014)
2014
- Asymmetric loss in the Greenbook and the Survey of Professional Forecasters
International Journal of Forecasting, 2014, 30, (2), 235-245 View citations (19)
See also Working Paper Asymmetric Loss in the Greenbook and the Survey of Professional Forecasters, Working Papers (2014) View citations (20) (2014)
- Granger-causality in quantiles between financial markets: Using copula approach
International Review of Financial Analysis, 2014, 33, (C), 70-78 View citations (32)
See also Working Paper Granger-Causality in Quantiles between Financial Markets: Using Copula Approach, Working Papers (2014) View citations (36) (2014)
- Nonparametric and semiparametric regressions subject to monotonicity constraints: Estimation and forecasting
Journal of Econometrics, 2014, 182, (1), 196-210 View citations (7)
See also Working Paper Nonparametric and Semiparametric Regressions Subject to Monotonicity Constraints: Estimation and Forecasting, Working Papers (2014) View citations (8) (2014)
2013
- Forecasting Value-at-Risk Using High-Frequency Information
Econometrics, 2013, 1, (1), 1-14 View citations (9)
See also Working Paper Forecasting Value-at-Risk Using High Frequency Information, Working Papers (2014) (2014)
- Testing for Neglected Nonlinearity Using Artificial Neural Networks with Many Randomized Hidden Unit Activations
Journal of Time Series Econometrics, 2013, 5, (1), 61-68
See also Working Paper Testing for Neglected Nonlinearity Using Artificial Neural Networks with Many Randomized Hidden Unit Activations, Working Papers (2014) (2014)
2010
- To Combine Forecasts or to Combine Information?
Econometric Reviews, 2010, 29, (5-6), 534-570 View citations (58)
See also Working Paper To Combine Forecasts or to Combine Information?, Working Papers (2009) (2009)
2009
- Copula-based multivariate GARCH model with uncorrelated dependent errors
Journal of Econometrics, 2009, 150, (2), 207-218 View citations (75)
2008
- Jumps in cross-sectional rank and expected returns: a mixture model
Journal of Applied Econometrics, 2008, 23, (5), 585-606 View citations (4)
- Permanent and transitory components of GDP and stock prices: further analysis
Macroeconomics and Finance in Emerging Market Economies, 2008, 1, (1), 105-120 View citations (2)
See also Working Paper Permanent and transitory components of GDP and stock prices: further analysis, UC3M Working papers. Economics (2007) (2007)
2007
- 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; see Bao et al. (2004)
Journal of Forecasting, 2007, 26, (3), 203-225 View citations (21)
- Optimality of the RiskMetrics VaR model
Finance Research Letters, 2007, 4, (3), 137-145 View citations (4)
2006
- Bagging binary and quantile predictors for time series
Journal of Econometrics, 2006, 135, (1-2), 465-497 View citations (33)
- Evaluating predictive performance of value-at-risk models in emerging markets: a reality check
Journal of Forecasting, 2006, 25, (2), 101-128 View citations (97)
2004
- ERRATUM: Inference on Predictability of Foreign Exchange Rates via Generalized Spectrum and Nonlinear Time Series Models
The Review of Economics and Statistics, 2004, 86, (3), 840-840
- Forecasting volatility: A reality check based on option pricing, utility function, value-at-risk, and predictive likelihood
International Journal of Forecasting, 2004, 20, (4), 629-645 View citations (118)
2003
- DIAGNOSTIC CHECKING FOR THE ADEQUACY OF NONLINEAR TIME SERIES MODELS
Econometric Theory, 2003, 19, (6), 1065-1121 View citations (32)
- Inference on Predictability of Foreign Exchange Rates via Generalized Spectrum and Nonlinear Time Series Models
The Review of Economics and Statistics, 2003, 85, (4), 1048-1062 View citations (86)
2002
- Assessing the risk forecasts for Japanese stock market
Japan and the World Economy, 2002, 14, (1), 63-85 View citations (3)
2001
- Neural Network Test and Nonparametric Kernel Test for Neglected Nonlinearity in Regression Models
Studies in Nonlinear Dynamics & Econometrics, 2001, 4, (4), 15 View citations (7)
2000
- On the robustness of cointegration tests when series are fractionally intergrated
Journal of Applied Statistics, 2000, 27, (7), 821-827 View citations (10)
See also Working Paper On the robustness of cointegration tests when series are fractionally integrated, DES - Working Papers. Statistics and Econometrics. WS (1996) (1996)
1999
- The effect of aggregation on nonlinearity
Econometric Reviews, 1999, 18, (3), 259-269 View citations (22)
1998
- Pitfalls in testing for long run relationships
Journal of Econometrics, 1998, 86, (1), 129-154 View citations (132)
See also Working Paper Pitfalls in Testing for Long Run Relationships, Working Papers (1995) View citations (20) (1995)
1996
- Cointegration tests with conditional heteroskedasticity
Journal of Econometrics, 1996, 73, (2), 401-410 View citations (81)
- RELATIVE POWER OF t TYPE TESTS FOR STATIONARY AND UNIT ROOT PROCESSES
Journal of Time Series Analysis, 1996, 17, (1), 37-47 View citations (9)
See also Working Paper Relative Power of t Type Tests of Stationary and Unit Root Processes, Working Papers (1995) View citations (1) (1995)
- Stock Adjustment for Multicointegrated Series
Empirical Economics, 1996, 21, (4), 633-39 View citations (10)
- The international transmission of information in Eurodollar futures markets: a continuously trading market hypothesis
Journal of International Money and Finance, 1996, 15, (3), 447-465 View citations (25)
1995
- Disequilibrium and uncertainty in cointegrated systems: Some empirical evidence
Economics Letters, 1995, 49, (2), 157-161
1994
- Spread and volatility in spot and forward exchange rates
Journal of International Money and Finance, 1994, 13, (3), 375-383 View citations (35)
- Uncertainty in Sales and Inventory Behaviour in the U.S. Trade Sectors
Canadian Journal of Economics, 1994, 27, (1), 129-42 View citations (5)
1993
- Testing for neglected nonlinearity in time series models: A comparison of neural network methods and alternative tests
Journal of Econometrics, 1993, 56, (3), 269-290 View citations (226)
1992
- On the Predictive Power of the Spread Between Spot and Forward Exchange Rates for Volatility
Korean Economic Review, 1992, 8, 99-115
- Stock-Flow Relationships in U.S. Housing Construction
Oxford Bulletin of Economics and Statistics, 1992, 54, (3), 419-30 View citations (17)
1989
- Investigation of Production, Sales and Inventory Relationships Using Multicointegration and Non-symmetric Error Correction Models
Journal of Applied Econometrics, 1989, 4, (S), S145-59 View citations (305)
Chapters
2022
- Efficient Combined Estimation under Structural Breaks
A chapter in Essays in Honor of M. Hashem Pesaran: Prediction and Macro Modeling, 2022, vol. 43A, pp 119-142 View citations (1)
See also Working Paper Efficient Combined Estimation under Structural Breaks, University of California at Riverside, Department of Economics (2021) (2021)
2019
- Stein-like Shrinkage Estimation of Panel Data Models with Common Correlated Effects
A chapter in Topics in Identification, Limited Dependent Variables, Partial Observability, Experimentation, and Flexible Modeling: Part A, 2019, vol. 40A, pp 249-274
See also Working Paper Stein-like Shrinkage Estimation of Panel Data Models with Common Correlated Effects, University of California at Riverside, Department of Economics (2018) (2018)
- Variable Selection in Sparse Semiparametric Single Index Models
A chapter in Topics in Identification, Limited Dependent Variables, Partial Observability, Experimentation, and Flexible Modeling: Part B, 2019, vol. 40B, pp 65-88
See also Working Paper Variable Selection in Sparse Semiparametric Single Index Models, University of California at Riverside, Department of Economics (2018) (2018)
2012
- Money–Income Granger-Causality in Quantiles
A chapter in 30th Anniversary Edition, 2012, pp 385-409 View citations (2)
See also Working Paper Money-Income Granger-Causality in Quantiles, University of California at Riverside, Department of Economics (2012) View citations (17) (2012)
- Stein-Rule Estimation and Generalized Shrinkage Methods for Forecasting Using Many Predictors
A chapter in 30th Anniversary Edition, 2012, pp 171-196
See also Working Paper Stein-Rule Estimation and Generalized Shrinkage Methods for Forecasting Using Many Predictors, Department of Economics and Business Economics, Aarhus University (2012) View citations (6) (2012)
2008
- Chapter 13 Bagging Binary and Quantile Predictors for Time Series: Further Issues
A chapter in Forecasting in the Presence of Structural Breaks and Model Uncertainty, 2008, pp 477-534
2006
- Asymmetric Predictive Abilities of Nonlinear Models for Stock Returns: Evidence from Density Forecast Comparison
A chapter in Econometric Analysis of Financial and Economic Time Series, 2006, pp 41-62
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