Similar Search Results - EconBiz

Spurious Regressions with Processes Around Linear Trends or Drifts

Kim, Tae-Hwan; Lee, Young-Sook; Newbold, Paul - 2004

In this paper we consider the situation where the deterministic components of the processes generating individual series are linear trends and the individual series are independent I(0) or I(1) processes. We show that when those time series are used in ordinary least square regression, the...

Persistent link: https://www.econbiz.de/10014076785

On more robust estimation of skewness and kurtosis : simulation and application to the S&P500 index

Kim, Tae-hwan; White, Halbert - 2003

Persistent link: https://www.econbiz.de/10002118385

On more robust estimation of skewness and kurtosis

Kim, Tae-hwan; White, Halbert - In: Finance research letters 1 (2004) 1, pp. 56-73

Persistent link: https://www.econbiz.de/10003307251

VAR for VaR : measuring tail dependence using multivariate regression quantiles

White, Halbert; Kim, Tae-hwan; Manganelli, Simone - 2015

Persistent link: https://www.econbiz.de/10011288642

Robust estimation of covariance and its application to portfolio optimization

Huo, Lijuan; Kim, Tae-hwan; Kim, Yunmi - In: Finance research letters 9 (2012) 3, pp. 121-134

Persistent link: https://www.econbiz.de/10009628116

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

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

Two-stage Huber estimation

Kim, Tae-hwan (contributor); Muller, Christophe (contributor) - 2005 - 1. ed.

Persistent link: https://www.econbiz.de/10002816264

Estimation, inference, and specification testing for possibly misspecified quantile regression

Kim, Tae-hwan; White, Halbert - In: Maximum likelihood estimation of misspecified models : …, (pp. 107-132). 2003

Persistent link: https://www.econbiz.de/10001916288

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