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Tae-Hwy Lee
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Year
Testing for neglected nonlinearity in time series models: A comparison of neural network methods and alternative tests
TH Lee, H White, CWJ Granger
Journal of Econometrics 56 (3), 269-290, 1993
7751993
Investigation of production, sales and inventory relationships using multicointegration and non‐symmetric error correction models
CWJ Granger, TH Lee
Journal of applied econometrics 4 (S1), S145-S159, 1989
7331989
Evaluating predictive performance of value‐at‐risk models in emerging markets: a reality check
Y Bao, TH Lee, B Saltoglu
Journal of forecasting 25 (2), 101-128, 2006
2992006
Pitfalls in testing for long run relationships
J Gonzalo, TH Lee
Journal of Econometrics 86 (1), 129-154, 1998
2801998
Multicointegration
CWJ Granger, TH Lee
Department of Economics, University of California at San Diego, 1988
2351988
Forecasting volatility: A reality check based on option pricing, utility function, value-at-risk, and predictive likelihood
G González-Rivera, TH Lee, S Mishra
International Journal of forecasting 20 (4), 629-645, 2004
2132004
Copula-based multivariate GARCH model with uncorrelated dependent errors
TH Lee, X Long
Journal of Econometrics 150 (2), 207-218, 2009
1932009
Comparing density forecast models
Y Bao, TH Lee, B Saltoğlu
Journal of Forecasting 26 (3), 203-225, 2007
1832007
Cointegration tests with conditional heteroskedasticity
TH Lee, Y Tse
Journal of Econometrics 73 (2), 401-410, 1996
1801996
Inference on predictability of foreign exchange rates via generalized spectrum and nonlinear time series models
Y Hong, TH Lee
Review of Economics and Statistics 85 (4), 1048-1062, 2003
1612003
Spread and volatility in spot and forward exchange rates
TH Lee
Journal of International Money and Finance 13 (3), 375-383, 1994
1451994
To combine forecasts or to combine information?
H Huang, TH Lee
Econometric Reviews 29 (5-6), 534-570, 2010
1092010
International linkages in Nikkei stock index futures markets
GG Booth, TH Lee, Y Tse
Pacific-Basin Finance Journal 4 (1), 59-76, 1996
951996
Diagnostic checking for the adequacy of nonlinear time series models
Y Hong, TH Lee
Econometric theory 19 (6), 1065-1121, 2003
912003
The effect of aggregation on nonlinearity
CWJ Granger, TH Lee
Econometric reviews 18 (3), 259-269, 1999
851999
Bagging binary and quantile predictors for time series
TH Lee, Y Yang
Journal of econometrics 135 (1-2), 465-497, 2006
782006
The international transmission of information in Eurodollar futures markets: a continuously trading market hypothesis
Y Tse, TH Lee, GG Booth
Journal of International Money and Finance 15 (3), 447-465, 1996
651996
Stock‐flow relationships in US housing construction
TH Lee
Oxford Bulletin of Economics and Statistics 54 (3), 419-430, 1992
561992
A test for density forecast comparison with applications to risk management
Y Bao, TH Lee, B Saltoglu
Department of Economics, UC Riverside, 2004
502004
Granger-causality in quantiles between financial markets: Using copula approach
TH Lee, W Yang
International Review of Financial Analysis 33, 70-78, 2014
462014
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Articles 1–20