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Maximum entropy analysis of consumption-based capital asset pricing model and volatility

Lee, Tae-hwy; Mao, Millie Yi; Ullah, Aman - In: Journal of econometric methods 10 (2021) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10012437809

Granger-causality in quantiles between financial markets : using copula approach

Lee, Tae-hwy; Yang, Weiping - In: International review of financial analysis 33 (2014), pp. 70-78

Persistent link: https://www.econbiz.de/10010520073

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

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

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