Similar Search Results - EconBiz

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

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

Revisiting growth empirics based on IV panel quantile regression

Huo, Lijuan; Kim, Tae-hwan; Kim, Yunmi - In: Applied economics 47 (2015) 34/36, pp. 3859-3873

Persistent link: https://www.econbiz.de/10011294309

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

Forecasting volatility of futures market : the S&P 500 and FTSE 100 futures using high frequency returns and implied volatility

Noh, Jaesun; Kim, Tae-hwan - In: Applied economics 38 (2006) 4, pp. 395-413

Persistent link: https://www.econbiz.de/10003298646

Two-stage Huber estimation

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

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

Asymptotic and Bayesian confidence intervals for sharpe-style weights

Kim, Tae-hwan; White, Halbert; Stone, Douglas - In: Journal of financial econometrics : official journal of … 3 (2005) 3, pp. 315-343

Persistent link: https://www.econbiz.de/10002989025

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