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Tae Hwy Lee

Global rank #3736 95%

Institution: University of California-Riverside

Primary Field: Econometrics (weighted toward more recent publications)

Homepage: https://faculty.ucr.edu/~taelee/

First Publication: 1992

Most Recent: 2022

RePEc ID: ple784 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.01: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total
Last 5 Years 0.00 0.40 0.67 0.00 1.47
Last 10 Years 0.00 0.40 0.67 0.00 1.81
All Time 0.00 8.45 8.04 0.00 26.28

Publication Statistics

Raw Publications 19
Coauthorship-Adjusted Count 19.25

Publications (19)

Year Article Journal Tier Authors
2022 Optimal forecast under structural breaks Journal of Applied Econometrics B 3
2021 Time-varying model averaging Journal of Econometrics A 5
2018 The second-order bias of quantile estimators Economics Letters C 3
2015 Forecasting Equity Premium: Global Historical Average Versus Local Historical Average and Constraints Journal of Business & Economic Statistics A 3
2014 Nonparametric and semiparametric regressions subject to monotonicity constraints: Estimation and forecasting Journal of Econometrics A 3
2014 Asymmetric loss in the Greenbook and the Survey of Professional Forecasters International Journal of Forecasting B 2
2009 Copula-based multivariate GARCH model with uncorrelated dependent errors Journal of Econometrics A 2
2006 Bagging binary and quantile predictors for time series Journal of Econometrics A 2
2004 Forecasting volatility: A reality check based on option pricing, utility function, value-at-risk, and predictive likelihood International Journal of Forecasting B 3
2004 ERRATUM: Inference on Predictability of Foreign Exchange Rates via Generalized Spectrum and Nonlinear Time Series Models Review of Economics and Statistics A 2
2003 DIAGNOSTIC CHECKING FOR THE ADEQUACY OF NONLINEAR TIME SERIES MODELS Econometric Theory B 2
2003 Inference on Predictability of Foreign Exchange Rates via Generalized Spectrum and Nonlinear Time Series Models Review of Economics and Statistics A 2
1998 Pitfalls in testing for long run relationships Journal of Econometrics A 2
1996 Cointegration tests with conditional heteroskedasticity Journal of Econometrics A 2
1996 The international transmission of information in Eurodollar futures markets: a continuously trading market hypothesis Journal of International Money and Finance B 3
1995 Disequilibrium and uncertainty in cointegrated systems: Some empirical evidence Economics Letters C 1
1994 Spread and volatility in spot and forward exchange rates Journal of International Money and Finance B 1
1993 Testing for neglected nonlinearity in time series models : A comparison of neural network methods and alternative tests Journal of Econometrics A 3
1992 Stock-Flow Relationships in U.S. Housing Construction. Oxford Bulletin of Economics and Statistics B 1