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Neural network test and nonparametric Kernel test for neglected nonlinearity in regression models
Lee, Tae-hwy (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 4 (2000) 4, pp. 169-182
Persistent link: https://www.econbiz.de/10001773135
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Bagging constrained equity premium predictors
Hillebrand, Eric; Lee, Tae-hwy; Medeiros, Marcelo C. - In: Essays in nonlinear time series econometrics, (pp. 330-356). 2014
Persistent link: https://www.econbiz.de/10010385832
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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
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Bootstrap aggregating and random forest
Lee, Tae-hwy; Ullah, Aman; Wang, Ran - In: Macroeconomic forecasting in the era of big data : …, (pp. 389-429). 2020
Persistent link: https://www.econbiz.de/10012159994
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Nonparametric bootstrap specification testing in econometric models
Lee, Tae-Hwy; Ullah, Aman - In: Computer-aided econometrics, (pp. 451-477). 2003
Persistent link: https://www.econbiz.de/10002595534