| 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 | 839 | 1993 |
| 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 | 791 | 1989 |
| 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 | 354 | 2006 |
| Pitfalls in testing for long run relationships J Gonzalo, TH Lee Journal of Econometrics 86 (1), 129-154, 1998 | 302 | 1998 |
| 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 | 292 | 2004 |
| Multicointegration CWJ Granger, TH Lee Department of Economics, University of California at San Diego, 1988 | 244 | 1988 |
| Copula-based multivariate GARCH model with uncorrelated dependent errors TH Lee, X Long Journal of Econometrics 150 (2), 207-218, 2009 | 217 | 2009 |
| Comparing density forecast models Y Bao, TH Lee, B Saltoğlu Journal of Forecasting 26 (3), 203-225, 2007 | 200 | 2007 |
| Cointegration tests with conditional heteroskedasticity TH Lee, Y Tse Journal of Econometrics 73 (2), 401-410, 1996 | 195 | 1996 |
| 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 | 176 | 2003 |
| 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 | 167 | 2020 |
| Spread and volatility in spot and forward exchange rates TH Lee Journal of international money and finance 13 (3), 375-383, 1994 | 156 | 1994 |
| To combine forecasts or to combine information? H Huang, TH Lee Econometric Reviews 29 (5-6), 534-570, 2010 | 125 | 2010 |
| 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 | 104 | 2020 |
| International linkages in Nikkei stock index futures markets GG Booth, TH Lee, Y Tse Pacific-Basin Finance Journal 4 (1), 59-76, 1996 | 103 | 1996 |
| Diagnostic checking for the adequacy of nonlinear time series models Y Hong, TH Lee Econometric theory 19 (6), 1065-1121, 2003 | 91 | 2003 |
| The effect of aggregation on nonlinearity CWJ Granger, TH Lee Econometric reviews 18 (3), 259-269, 1999 | 90 | 1999 |
| Bagging binary and quantile predictors for time series TH Lee, Y Yang Journal of econometrics 135 (1-2), 465-497, 2006 | 88 | 2006 |
| Granger-causality in quantiles between financial markets: Using copula approach TH Lee, W Yang International Review of Financial Analysis 33, 70-78, 2014 | 66 | 2014 |
| 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 | 65 | 1996 |
Aman UllahProfessor of Economics , University of California, RiversideVerified email at ucr.edu
