← All authors Tae-Hwy Lee University of California, Riverside (from arXiv:2201.06605, 2022) · ORCID · OpenAlex
57 papers in scope · 55 published · 4 on the econ.EM arXiv · 2,826 citations · h-index 21 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Ekaterina Seregina E. A. Seregina Gokul Gopalan Ramachandran Wenyu Zhou Niu He Saman Banafti Xie Tian Zhipeng Liao Yuning Li Li Yu-ning Jia Chen Chen Jia Eric Qian Stéphane Surprenant Degui Li Philippe Goulet Coulombe Maxime Leroux Dalibor Stevanović Markus Pelger Graziano Moramarco Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (5 of 57)
published 2025 · International Journal of Forecasting · first circulated 2022
Boosting GMM With Many Instruments When Some Are Invalid And/Or Irrelevant
published 2025 · Oxford Bulletin of Economics and Statistics
with Hao Hao
Estimation and testing of forecast rationality with many moments
published 2025 · Macroeconomic Dynamics · first circulated 2023
with Tao Wang
The second-order bias and mean squared error of quantile regression estimators
published 2023 · Indian Economic Review
with Aman Ullah, He Wang
published 2023 · Journal of Financial Econometrics · 8 citations · first circulated 2020
Model averaging estimation of panel data models with many instruments and boosting
published 2022 · Journal of Applied Statistics · 4 citations
with Hao Hao, Bai Huang
Forecasting Under Structural Breaks Using Improved Weighted Estimation
published 2022 · Oxford Bulletin of Economics and Statistics · 2 citations
with Shahnaz Parsaeian, Aman Ullah
Optimal forecast under structural breaks
published 2022 · Journal of Applied Econometrics · 4 citations
with Shahnaz Parsaeian, Aman Ullah
working paper 2022 · arXiv · 2 citations
Density Forecast of Financial Returns Using Decomposition and Maximum Entropy
published 2021 · Journal of Econometric Methods
with He Wang, Zhou Xi, Ru Zhang
Estimation of high-dimensional dynamic conditional precision matrices with an application to forecast combination
published 2021 · Econometric Reviews
with Millie Yi Mao, Aman Ullah
Exact distribution of the F -statistic under heteroskedasticity of unknown form for improved inference
published 2021 · Journal of Statistical Computation and Simulation · 4 citations · first circulated 2020
with Jianghao Chu, Aman Ullah, Haifeng Xu
working paper 2020 · arXiv
published 2020 · Journal of Econometrics · 45 citations · first circulated 2017
Maximum Entropy Analysis of Consumption-based Capital Asset Pricing Model and Volatility
published 2020 · Journal of Econometric Methods · 4 citations
Predicting the long-term stock market volatility: A GARCH-MIDAS model with variable selection
published 2020 · Journal of Empirical Finance · 122 citations
with Tong Fang, Zhi Su, Fang Tong
Combined estimation of semiparametric panel data models
published 2019 · Econometrics and Statistics · 4 citations · first circulated 2018
with Bai Huang, Aman Ullah
Forecasting using supervised factor models
published 2019 · Journal of Management Science and Engineering · 19 citations · first circulated 2018
A combined random effect and fixed effect forecast for panel data models
published 2019 · Journal of Management Science and Engineering · 18 citations · first circulated 2018
with Bai Huang, Aman Ullah, Tae Hwy Lee
The Second-Order Asymptotic Properties of Asymmetric Least Squares Estimation
published 2019 · Sankhya B · 3 citations · first circulated 2018
with Aman Ullah, He Wang
The second-order bias of quantile estimators
published 2018 · Economics Letters · 6 citations
with Aman Ullah, He Wang
Evaluation of the Survey of Professional Forecasters in the Greenbook’s Loss Function
published 2018 · Journal of Quantitative Economics
with Yiyao Wang
Using the Entire Yield Curve in Forecasting Output and Inflation
published 2018 · Econometrics · 17 citations
A combined estimator of regression models with measurement errors
published 2017 · Indian Economic Review · 1 citations
Forecasting Equity Premium: Global Historical Average Versus Local Historical Average and Constraints
published 2014 · Journal of Business and Economic Statistics · 14 citations
Nonparametric and semiparametric regressions subject to monotonicity constraints: Estimation and forecasting
published 2014 · Journal of Econometrics · 19 citations
Asymmetric loss in the Greenbook and the Survey of Professional Forecasters
published 2013 · International Journal of Forecasting · 28 citations
with Yiyao Wang
Granger-causality in quantiles between financial markets: Using copula approach
published 2013 · International Review of Financial Analysis · 53 citations
with W. X. Yang
Forecasting Value-at-Risk Using High-Frequency Information
published 2013 · Econometrics · 15 citations
with Hui-Yu Huang
Testing for Neglected Nonlinearity Using Artificial Neural Networks with Many Randomized Hidden Unit Activations
published 2013 · Journal of Time Series Econometrics · 2 citations
with Xi Zhou, Ru Zhang
Forecasting Realized Volatility Using Subsample Averaging
published 2013 · Open Journal of Statistics · 2 citations
with Hui-Yu Huang
Using the Yield Curve in Forecasting Output Growth and In‡ation
published 2011 · CREATES Research Papers · 5 citations
with Eric HillebrandHuiyu Huang, Canlin Li
no link
To Combine Forecasts or to Combine Information?
published 2010 · Econometric Reviews · 107 citations
with Hui-Yu Huang
Copula-based multivariate GARCH model with uncorrelated dependent errors
published 2008 · Journal of Econometrics · 165 citations
with Xiangdong Long
Jumps in cross‐sectional rank and expected returns: a mixture model
published 2008 · Journal of Applied Econometrics · 8 citations
with Gloria González-Rivera, Santosh Mishra
Permanent and transitory components of GDP and stock prices: further analysis
published 2008 · Macroeconomics and Finance in Emerging Market Economies · 5 citations · first circulated 2007
Optimality of the RiskMetrics VaR model
published 2007 · Finance research letters · 24 citations
with Gloria González-Rivera, Emre Yoldaş
Comparing density forecast models
published 2007 · Journal of Forecasting · 161 citations
with Yong Bao, Burak Saltoğlu
Evaluating predictive performance of value-at-risk models in emerging markets: a reality check
published 2006 · Journal of Forecasting · 224 citations
with Yong Bao, Burak Saltoğlu
Bagging binary and quantile predictors for time series
published 2005 · Journal of Econometrics · 82 citations
with Yang Yang
Forecasting volatility: A reality check based on option pricing, utility function, value-at-risk, and predictive likelihood
published 2004 · International Journal of Forecasting · 234 citations
with Gloria González-Rivera, Santosh Mishra
Bagging Binary Predictors for Time Series
published 2004 · Econometric Society 2004 Far Eastern Meetings · 1 citations
with Yang Yang
no link
Generalized (Cross) Spectral Tests for Optimal Forecasts and Conditional Predictive Ability Under Generalized Loss Functions
published 2004 · Econometric Society 2004 North American Winter Meetings
no link
Jumps in Rank and Expected Returns. Introducing Varying Cross-sectional Risk
published 2004 · Econometric Society 2004 North American Winter Meetings · first circulated 2003
with Santosh Kumar Mishra, Gloria González-Rivera, Santosh Mishra
no link
Inference on Predictability of Foreign Exchange Rates via Generalized Spectrum and Nonlinear Time Series Models
published 2003 · The Review of Economics and Statistics · 172 citations
DIAGNOSTIC CHECKING FOR THE ADEQUACY OF NONLINEAR TIME SERIES MODELS
published 2003 · Econometric Theory · 99 citations
Nonparametric bootstrap tests for neglected nonlinearity in time series regression models ∗
published 2001 · Journal of nonparametric statistics · 27 citations
with Aman Ullah
Neural Network Test and Nonparametric Kernel Test for Neglected Nonlinearity in Regression Models
published 2001 · Studies in Nonlinear Dynamics and Econometrics · 14 citations · first circulated 2000
On the robustness of cointegration tests when series are fractionally intergrated
published 2000 · Journal of Applied Statistics · 29 citations
The effect of aggregation on nonlinearity
published 1999 · Econometric Reviews · 79 citations
with Clive W. J. Granger
Pitfalls in testing for long run relationships
published 1998 · Journal of Econometrics · 224 citations · first circulated 1995
Stock adjustment for multicointegrated series
published 1996 · Empirical Economics · 9 citations
Cointegration tests with conditional heteroskedasticity
published 1996 · Journal of Econometrics · 135 citations
with Yiuman Tse
International linkages in Nikkei Stock Index futures markets
published 1996 · Pacific-Basin Finance Journal · 43 citations
with G. Geoffrey Booth, Yiuman Tse
RELATIVE POWER OF t TYPE TESTS FOR STATIONARY AND UNIT ROOT PROCESSES
published 1996 · Journal of Time Series Analysis · 19 citations · first circulated 1995
Testing for neglected nonlinearity in time series models
published 1993 · Journal of Econometrics · 508 citations
with Halbert White, Clive W. J. Granger
STOCK‐FLOW RELATIONSHIPS IN US HOUSING CONSTRUCTION
published 1992 · Oxford Bulletin of Economics and Statistics · 56 citations
Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.
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