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Bao, Yong; Lee, Tae-hwy; Saltoǧlu, Burak - In: Journal of forecasting 26 (2007) 3, pp. 203-225

Persistent link: https://www.econbiz.de/10003454467

Forecasting equity premium : global historical average versus local historical average and constraints

Lee, Tae-hwy; Tu, Yundong; Ullah, Aman - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 3, pp. 393-402

Persistent link: https://www.econbiz.de/10011390401

Jumps in cross-sectional rank and expected returns : a mixture model

González-Rivera, Gloria; Lee, Tae-hwy; Mishra, Santosh - In: Journal of applied econometrics 23 (2008) 5, pp. 585-606

Persistent link: https://www.econbiz.de/10003760414

Asymmetric predictive abilities of nonlinear modes for stock returns : evidence from density forecast comparison

Bao, Yong; Lee, Tae-hwy - 2006

Persistent link: https://www.econbiz.de/10003350084

Inference on predictability of foreign exchange rates via generalized spectrum and nonlinear time series models

Hong, Yongmiao; Lee, Tae-hwy - In: The review of economics and statistics 86 (2004) 3, pp. 840

Persistent link: https://www.econbiz.de/10002223498

Estimation of high-dimensional dynamic conditional precision matrices with an application to forecast combination

Lee, Tae-hwy; Mao, Millie Yi; Ullah, Aman - In: Econometric reviews 40 (2021) 10, pp. 905-918

Persistent link: https://www.econbiz.de/10012624564

Time-varying model averaging

Sun, Yuying; Hong, Yongmiao; Lee, Tae-hwy; Wang, Shouyang; … - In: Journal of econometrics 222 (2021) 2, pp. 974-992

Persistent link: https://www.econbiz.de/10012619810

Forecasting value-at-risk using high-frequency information

Huang, Huiyu; Lee, Tae-hwy - In: Econometrics : open access journal 1 (2013) 1, pp. 127-140

In the prediction of quantiles of daily Standard&Poor’s 500 (S&P 500) returns we consider how to use high-frequency 5-minute data. We examine methods that incorporate the high frequency information either indirectly, through combining forecasts (using forecasts generated from returns sampled...

Persistent link: https://www.econbiz.de/10009776365

Predicting the long-term stock market volatility : a GARCH-MIDAS model with variable selection

Fang, Tong; Lee, Tae-hwy; Su, Zhi - In: Journal of empirical finance 58 (2020), pp. 36-49

Persistent link: https://www.econbiz.de/10012430452

Density forecast of financial returns using decomposition and maximum entropy

Lee, Tae-hwy; Wang, He; Xi, Zhou; Zhang, Ru - In: Journal of econometric methods 12 (2023) 1, pp. 57-83

Persistent link: https://www.econbiz.de/10013554704