Concepedia

Tae‐Hwy Lee

TL

33

Publications

2.8K

Citations

21

H-Index

1992

Active since

Affiliations

University of California, Riverside(Current)

Cornell University

Marmara University

Peking University

The University of Texas at San Antonio

Tae‐Hwy Lee is an author at University of California, Riverside specializing in statistics, business, and econometrics.

Top concepts

StatisticsBusinessFinanceEconometricsEngineeringEconomicsForecastingPredictive AnalyticsTime Series EconometricsAsset Pricing

Publications per year

1992–2020

33

Publications

33

Testing for neglected nonlinearity in time series models

Tae‐Hwy Lee, Halbert White, Clive W. J. Granger · Journal of Econometrics · 1993 · 507 citations

Engineering, Econometrics, Nonlinear Process +4

Forecasting volatility: A reality check based on option pricing, utility function, value-at-risk, and predictive likelihood

Gloria González‐Rivera, Tae‐Hwy Lee, Santosh Mishra · International Journal of Forecasting · 2004 · 232 citations

Volatility Modeling, Multivariate Stochastic Volatility, Option Pricing +11

Evaluating predictive performance of value-at-risk models in emerging markets: a reality check

Yong Bao, Tae‐Hwy Lee, Burak Saltoğlu · Journal of Forecasting · 2006 · 221 citations

Pitfalls in testing for long run relationships

Jesús Gonzalo, Tae‐Hwy Lee · Journal of Econometrics · 1998 · 220 citations · Full text

Reliability, Engineering, Test-driven Development +5

Inference on Predictability of Foreign Exchange Rates via Generalized Spectrum and Nonlinear Time Series Models

Yongmiao Hong, Tae‐Hwy Lee · The Review of Economics and Statistics · 2003 · 172 citations

Volatility Modeling, Engineering, Macroeconomic Forecasting +21

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