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Tae-Hwy Lee
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Year
Testing for neglected nonlinearity in time series models: A comparison of neural network methods and alternative tests
TH Lee, H White, CWJ Granger
Journal of econometrics 56 (3), 269-290, 1993
8391993
Investigation of production, sales and inventory relationships using multicointegration and non‐symmetric error correction models
CWJ Granger, TH Lee
Journal of applied econometrics 4 (S1), S145-S159, 1989
7911989
Evaluating predictive performance of value‐at‐risk models in emerging markets: a reality check
Y Bao, TH Lee, B Saltoglu
Journal of forecasting 25 (2), 101-128, 2006
3542006
Pitfalls in testing for long run relationships
J Gonzalo, TH Lee
Journal of Econometrics 86 (1), 129-154, 1998
3021998
Forecasting volatility: A reality check based on option pricing, utility function, value-at-risk, and predictive likelihood
G González-Rivera, TH Lee, S Mishra
International Journal of forecasting 20 (4), 629-645, 2004
2922004
Multicointegration
CWJ Granger, TH Lee
Department of Economics, University of California at San Diego, 1988
2441988
Copula-based multivariate GARCH model with uncorrelated dependent errors
TH Lee, X Long
Journal of Econometrics 150 (2), 207-218, 2009
2172009
Comparing density forecast models
Y Bao, TH Lee, B Saltoğlu
Journal of Forecasting 26 (3), 203-225, 2007
2002007
Cointegration tests with conditional heteroskedasticity
TH Lee, Y Tse
Journal of Econometrics 73 (2), 401-410, 1996
1951996
Inference on predictability of foreign exchange rates via generalized spectrum and nonlinear time series models
Y Hong, TH Lee
Review of Economics and Statistics 85 (4), 1048-1062, 2003
1762003
Bootstrap aggregating and random forest
TH Lee, A Ullah, R Wang
Macroeconomic forecasting in the era of big data: Theory and practice, 389-429, 2020
1672020
Spread and volatility in spot and forward exchange rates
TH Lee
Journal of international money and finance 13 (3), 375-383, 1994
1561994
To combine forecasts or to combine information?
H Huang, TH Lee
Econometric Reviews 29 (5-6), 534-570, 2010
1252010
Predicting the long-term stock market volatility: A GARCH-MIDAS model with variable selection
T Fang, TH Lee, Z Su
Journal of Empirical Finance 58, 36-49, 2020
1042020
International linkages in Nikkei stock index futures markets
GG Booth, TH Lee, Y Tse
Pacific-Basin Finance Journal 4 (1), 59-76, 1996
1031996
Diagnostic checking for the adequacy of nonlinear time series models
Y Hong, TH Lee
Econometric theory 19 (6), 1065-1121, 2003
912003
The effect of aggregation on nonlinearity
CWJ Granger, TH Lee
Econometric reviews 18 (3), 259-269, 1999
901999
Bagging binary and quantile predictors for time series
TH Lee, Y Yang
Journal of econometrics 135 (1-2), 465-497, 2006
882006
Granger-causality in quantiles between financial markets: Using copula approach
TH Lee, W Yang
International Review of Financial Analysis 33, 70-78, 2014
662014
The international transmission of information in Eurodollar futures markets: a continuously trading market hypothesis
Y Tse, TH Lee, GG Booth
Journal of International Money and Finance 15 (3), 447-465, 1996
651996
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Articles 1–20