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VAR for VaR: measuring tail dependence using multivariate regression quantiles

White, Halbert; Kim, Tae-hwan; Manganelli, Simone - In: Journal of econometrics 187 (2015) 1, pp. 169-188

Persistent link: https://www.econbiz.de/10011498808

Quantile cointegration in the autoregressive distributed-lag modeling framework

Cho, Jin Seo; Kim, Tae-hwan; Shin, Yongcheol - In: Journal of econometrics 188 (2015) 1, pp. 281-300

Persistent link: https://www.econbiz.de/10011500352

Multi-dimensional portfolio risk and its diversification : a note

Kim, Woohwan; Kim, Youngmin; Kim, Tae-hwan; Bang, Seungbeom - In: Global finance journal 35 (2018), pp. 147-156

Persistent link: https://www.econbiz.de/10012124807

The instability of the Pearson correlation coefficient in the presence of coincidental outliers

Kim, Yunmi; Kim, Tae-hwan; Ergün, Tolga - In: Finance research letters 13 (2015), pp. 243-257

Persistent link: https://www.econbiz.de/10011552545

Detecting multiple changes in persistence

Leybourne, Stephen James; Kim, Tae-hwan; Taylor, Robert - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 11 (2007) 3, pp. 1-32

Persistent link: https://www.econbiz.de/10009513024

Impulse response analysis in conditional quantile models with an application to monetary policy

Lee, Dong Jin; Kim, Tae-hwan; Mizen, Paul - In: Journal of economic dynamics & control 127 (2021), pp. 1-21

Persistent link: https://www.econbiz.de/10012668504

Testing for structural breaks in return-based style regression models

Kim, Yunmi; Stone, Douglas; Kim, Tae-hwan - In: Financial markets and portfolio management 35 (2021) 1, pp. 61-76

Persistent link: https://www.econbiz.de/10012495896

Unit root tests in the presence of multiple breaks in variance

Jeong, Soo-Bin; Kim, Bong Hwan; Kim, Tae-hwan; Moon, … - In: The Singapore economic review : journal of the Economic … 62 (2017) 2, pp. 345-361

Persistent link: https://www.econbiz.de/10011702157

The relationship between R&D concentration and industry R&D intensity: a simple model and some evidence

Lee, Chang-Yang; Noh, Jaesun - In: Economics of Innovation and New Technology 18 (2009) 4, pp. 353-368

This study aims to demonstrate that the concentration (or distribution) of firm R&D intensities within an industry is closely related to the overall R&D intensity of the industry. Unlike the well-studied relationship between sales concentration, or market structure, and industry R&D intensity,...

Persistent link: https://www.econbiz.de/10004966683

Small sample properties of GARCH(1,1) estimator under non-normality

Noh, Jaesun - In: Economics Letters 55 (1997) 2, pp. 161-164

Persistent link: https://www.econbiz.de/10005270211