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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

Asymmetric loss in the Greenbook and the Survey of Professional Forecasters

Wang, Yiyao; Lee, Tae-hwy - In: International journal of forecasting 30 (2014) 2, pp. 235-245

Persistent link: https://www.econbiz.de/10010510947

Nonparametric and semiparametric regressions subject to monotonicity constraints : estimation and forecasting

Lee, Tae-hwy; Tu, Yundong; Ullah, Aman - In: Journal of econometrics 182 (2014) 1, pp. 196-210

Persistent link: https://www.econbiz.de/10010497090

Excess holding yields and risk premia in the term structure of interest rates

Lee, Tae-hwy - In: Journal of quantitative economics : official journal of … 15 (1999) 1, pp. 145-153

Persistent link: https://www.econbiz.de/10001488728

Inference on via generalized spectrum and non-linear time series models

Hong, Yongmiao; Lee, Tae-hwy - In: The review of economics and statistics 85 (2003) 4, pp. 1048-1062

Persistent link: https://www.econbiz.de/10001832972

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