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Two-stage Huber estimation

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

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

On suboptimality of the Hodrick-Prescott filter at time series endpoints

Mise, Emi; Kim, Tae-hwan; Newbold, Paul - In: Journal of macroeconomics 27 (2005) 1, pp. 53-67

Persistent link: https://www.econbiz.de/10002647963

Spurious nonlinear regressions in econometrics

Yi, Yŏng-suk; Kim, Tae-hwan; Newbold, Paul - In: Economics letters 87 (2005) 3, pp. 301-306

Persistent link: https://www.econbiz.de/10002855976

Regression-based tests for a change in persistence

Leybourne, Stephen James; Kim, Tae-hwan; Taylor, Robert - 2004

Persistent link: https://www.econbiz.de/10002117501

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

Calendar effects in Eastern European financial markets : evidence from the Czech Republic, Slovakia and Slovenia

Tonchev, Dimitar; Kim, Tae-hwan - In: Applied financial economics 14 (2004) 14, pp. 1035-1043

Persistent link: https://www.econbiz.de/10002377763

An unbiased test for a change in persistence

Leybourne, Stephen James; Taylor, Robert; Kim, Tae-hwan - 2004

Persistent link: https://www.econbiz.de/10002379251

Two-stage quantile regression when the first stage is based on quantile regression

Kim, Tae-hwan (contributor); Muller, Christophe (contributor) - 2004 - [Elektronische Ressource], 1. ed.

Persistent link: https://www.econbiz.de/10002198695

More powerpul panel data unit root tests with an application to mean reversion in real exchange rates

Smith, L. Vanessa; Leybourne, Stephen James; Kim, Tae-hwan - In: Journal of applied econometrics 19 (2004) 2, pp. 147-170

Persistent link: https://www.econbiz.de/10002010349

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