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The effect of a variance shift on the Breusch-Godfrey's LM test

Hyun, Joo-Yeon; Mun, Hyeong Ho; Kim, Tae-hwan; Jeong, Jinook - In: Applied economics letters 17 (2010) 4/6, pp. 399-404

Persistent link: https://www.econbiz.de/10003979503

Forecasting changes in UK interest rates

Chevapatrakul, Thanaset (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003579838

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

Monetary information and monetary policy decisions : evidence from the euroarea and the UK

Chevapatrakul, Thanaset; Kim, Tae-hwan; Mizen, Paul - In: Journal of macroeconomics 34 (2012) 2, pp. 326-341

Persistent link: https://www.econbiz.de/10009689404

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

Effects of public and private school on academic achievement

Hahn, Sunku; Kim, Tae-hwan; Seo, Boyoung - In: Seoul journal of economics 27 (2014) 2, pp. 137-147

Persistent link: https://www.econbiz.de/10010387266

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

Detecting multiple changes in persistence

Leybourne, Stephen James; Kim, Tae-hwan; Taylor, Robert - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 11 (2007) 3, pp. 1-32

Persistent link: https://www.econbiz.de/10009513024

Modeling autoregressive conditional skewness and kurtosis with multi-quantile CAViaR

White, Halbert; Kim, Tae-hwan; Manganelli, Simone - 2008

Engle and Manganelli (2004) propose CAViaR, a class of models suitable for estimating conditional quantiles in dynamic settings. Engle and Manganelli apply their approach to the estimation of Value at Risk, but this is only one of many possible applications. Here we extend CAViaR models to...

Persistent link: https://www.econbiz.de/10003803300

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