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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
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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
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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
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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
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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
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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
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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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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
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Two stage quantile regression when the first stage is based on quantile regression
Kim, Tae-hwan (contributor); Muller, Christophe (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001835514
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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