Halbert L. White, Jr.

University of California, San Diego (UCSD) - Department of Economics

Professor

9500 Gilman Drive

La Jolla, CA 92093-0508

United States

http://www.econ.ucsd.edu/~mbacci/white/

  • University of California, San Diego (UCSD) - Department of Economics

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    • Tel: 858-534-3502
    • Fax: 858-534-7040
SCHOLARLY PAPERS

25

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5,247

SSRN CITATIONS
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Top 6,543

in Total Papers Citations

155

CROSSREF CITATIONS

46

Scholarly Papers (25)

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1.

Can Mutual Fund 'Stars' Really Pick Stocks? New Evidence from a Bootstrap Analysis

Downloads 1,310 ( 21,680)

Can Mutual Fund 'Stars' Really Pick Stocks? New Evidence from a Bootstrap Analysis

Number of pages: 56 Posted: 28 Nov 2005 Last Revised: 17 Oct 2013
Robert Kosowski, Allan Timmermann, Russ Wermers and Halbert L. White Jr.
Imperial College Business School, UCSD, University of Maryland - Robert H. Smith School of Business and University of California, San Diego (UCSD) - Department of Economics
Downloads 1,310 (21,319)
Citation 93

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mutual funds, performance evaluation, bootstrap

Can Mutual Fund 'Stars' Really Pick Stocks? New Evidence from a Bootstrap Analysis

Journal of Finance, Vol. 61, No. 6, December 2006
Posted: 19 Dec 2011
Robert Kosowski, Allan Timmermann, Russ Wermers and Halbert L. White Jr.
Imperial College Business School, UCSD, University of Maryland - Robert H. Smith School of Business and University of California, San Diego (UCSD) - Department of Economics

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mutual funds, performance evaluation, bootstrap

2.

A Three Line Proof that OLS is BLUE

Number of pages: 2 Posted: 04 May 2012
Halbert L. White Jr. and Jin Seo Cho
University of California, San Diego (UCSD) - Department of Economics and Yonsei University - Department of Economics
Downloads 1,096 (28,225)
Citation 1

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efficiency, Gauss-Markov, OLS estimator

3.

Plus Factors and Agreement in Antitrust Law

Michigan Law Review, Vol. 110, No. 3, p. 393-436, 2011, GWU Legal Studies Research Paper No. 2012-1, GWU Law School Public Law Research Paper No. 2012-1
Number of pages: 45 Posted: 06 Jan 2012 Last Revised: 03 Nov 2014
William E. Kovacic, Robert C. Marshall, Leslie M. Marx and Halbert L. White Jr.
George Washington University - Law School, Pennsylvania State University, College of the Liberal Arts - Department of Economic, Duke University - Fuqua School of Business, Economics Group and University of California, San Diego (UCSD) - Department of Economics
Downloads 708 (51,567)
Citation 3

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Horizontal price restraints, Horizontal output restraints, Cartels, Collusion, Concerted Action, Sherman Act, Plus Factors, Buyer Actions

4.

Modeling Autoregressive Conditional Skewness and Kurtosis with Multi-Quantile CAViaR

ECB Working Paper No. 957
Number of pages: 40 Posted: 20 Nov 2008
Halbert L. White Jr., Tae-Hwan Kim and Simone Manganelli
University of California, San Diego (UCSD) - Department of Economics, University of Nottingham - School of Economics and European Central Bank (ECB)
Downloads 308 (138,633)
Citation 1

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Asset returns, CAViaR, Conditional quantiles, Dynamic quantiles, Kurtosis, Skewness

5.

Asymptotic and Bayesian Confidence Intervals for Sharpe Style Weights

Downloads 229 (186,303)

Asymptotic and Bayesian Confidence Intervals for Sharpe Style Weights

UCSD Economics Discussion Paper 2000-27
Number of pages: 42 Posted: 12 Jan 2001
Tae-Hwan Kim, Douglas Stone and Halbert L. White Jr.
University of Nottingham - School of Economics, Nicholas Applegate Capital Management and University of California, San Diego (UCSD) - Department of Economics
Downloads 229 (185,896)
Citation 8

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Sharpe Style Regression, Non-negativity, Linear-Quadratic Optimization, Prior Density, Bayesian Highest Posterior Density Interval

Asymptotic and Bayesian Confidence Intervals for Sharpe-Style Weights

Journal of Financial Econometrics, Vol. 3, pp. 315-343, 2005
Posted: 29 Feb 2008
Tae-Hwan Kim, Halbert L. White Jr. and Douglas Stone
University of Nottingham - School of Economics, University of California, San Diego (UCSD) - Department of Economics and Nicholas Applegate Capital Management

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Bayesian highest posterior density interval, linear-quadratic optimization, nonnegativity, Sharpe-style regression

6.

Estimation, Inference, and Specification Testing for Possibly Misspecified Quantile Regression

U of California San Diego, Economics Discussion Paper No. 2002-09
Number of pages: 33 Posted: 30 Jul 2002
Halbert L. White Jr. and Tae-Hwan Kim
University of California, San Diego (UCSD) - Department of Economics and University of Nottingham - School of Economics
Downloads 209 (203,016)
Citation 8

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Quantile Estimation, Misspecification, Asymptotic Normality, Aysmptotic Covariance Matrix

7.

A Subsampling Approach to Estimating the Distribution of Diversing Statistics with Application to Assessing Financial Market Risks

UPF, Economics and Business Working Paper No. 599
Number of pages: 39 Posted: 24 Oct 2002
Patrice Bertail, Christian Haefke, Dimitris N. Politis and Halbert L. White Jr.
University Paris-Ouest and CREST-Insee, Institute for Advanced Studies (IHS), University of California, San Diego (UCSD) - Department of Mathematics and University of California, San Diego (UCSD) - Department of Economics
Downloads 205 (206,728)
Citation 2

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Resampling methods, extreme value statistics, value at risk, portofolio selection

8.

Bootstrapping the Information Matrix Test

UCSD Economics Working Paper No. 2000-04
Number of pages: 103 Posted: 22 Nov 2000
Christopher Stomberg and Halbert L. White Jr.
University of California, San Diego (UCSD) - Department of Economics and University of California, San Diego (UCSD) - Department of Economics
Downloads 177 (235,214)
Citation 2

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Information Matrix Testing, Specification Testing, Misspecification, QMLE, Nonparametric Bootstrap, Parametric Bootstrap, Monte Carlo, White Test, Probit Model, Linear Regression Model

9.

Maximum Likelihood and the Bootstrap for Nonlinear Dynamic Models

UCSD Department of Economics Working paper 2000-32R
Number of pages: 45 Posted: 17 Jan 2001
Sílvia Gonçalves and Halbert L. White Jr.
University of Montreal - Department of Economics and University of California, San Diego (UCSD) - Department of Economics
Downloads 167 (246,998)
Citation 12

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Block bootstrap, Quasi-Maximum Likelihood Estimator, Nonlinear Dynamic Model, Near Epoch Dependence, Wald Test

10.

Central Limit and Functional Central Limit Theorems for Hilbert-Valued Dependent Heterogeneous Arrays with Applications

UCSD Economics Discussion Paper 92-35R
Number of pages: 35 Posted: 06 Jan 1998
Xiaohong Chen and Halbert L. White Jr.
Yale University - Cowles Foundation and University of California, San Diego (UCSD) - Department of Economics
Downloads 167 (246,998)

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11.

James-Stein Type Estimators in Large Samples with Application to the Least Absolute Deviations Estimator

UCSD Economics Discussion Paper 99-04R
Number of pages: 26 Posted: 17 Jan 2001
Tae-Hwan Kim and Halbert L. White Jr.
University of Nottingham - School of Economics and University of California, San Diego (UCSD) - Department of Economics
Downloads 162 (253,490)
Citation 1

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12.

VAR for VaR: Measuring Tail Dependence Using Multivariate Regression Quantiles

ECB Working Paper No. 1814
Number of pages: 50 Posted: 23 Jun 2015
Halbert L. White Jr., Tae-Hwan Kim and Simone Manganelli
University of California, San Diego (UCSD) - Department of Economics, University of Nottingham - School of Economics and European Central Bank (ECB)
Downloads 111 (337,937)
Citation 18

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CAViaR; codependence; quantile impulse-responses; spillover

13.

Hypernormal Densities

UCSD, Economics Working Paper No. 2002-14, Universitat Pompeu Fabra Working Paper No
Number of pages: 42 Posted: 17 Dec 2002
Raffaella Giacomini, Andreas Gottschling, Christian Haefke and Halbert L. White Jr.
University College London - Department of Economics, Banking Consultants and Systems GmbH, Institute for Advanced Studies (IHS) and University of California, San Diego (UCSD) - Department of Economics
Downloads 106 (348,642)
Citation 3

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ARMA-GARCH models, Neutral Networks, Nonparametric Density Estimation, Forecast Accuracy

14.

Asymptotic Properties of Some Projection-Based Robbins-Monro Procedures in a Hilbert Space

U of California, Economics Working Paper No. 2002-07
Number of pages: 77 Posted: 05 Jun 2002
Xiaohong Chen and Halbert L. White Jr.
Yale University - Cowles Foundation and University of California, San Diego (UCSD) - Department of Economics
Downloads 105 (350,885)
Citation 2

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Recursive Estimation, Non-Parametric Estimation, Hilbert Space, Generalized Method of Moments

15.

A Flexible Nonparametric Test for Conditional Independence

Number of pages: 40 Posted: 11 Jun 2013
Meng Huang, Yixiao Sun and Halbert L. White Jr.
Freddie Mac, University of California, San Diego (UCSD) - Department of Economics and University of California, San Diego (UCSD) - Department of Economics
Downloads 62 (475,386)
Citation 6

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Conditional Independence, Generically Comprehensively Revealing, Nonparametric Test

16.

Granger Causality, Exogeneity, Cointegration, and Economic Policy Analysis

Number of pages: 36 Posted: 30 Nov 2012
Davide Pettenuzzo and Halbert L. White Jr.
Brandeis University - International Business School and University of California, San Diego (UCSD) - Department of Economics
Downloads 50 (524,283)
Citation 1

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17.

Testing for Monotonicity in Unobservables Under Unconfoundedness

Number of pages: 50 Posted: 13 Jun 2014
Stefan Hoderlein, Liangjun Su, Halbert L. White Jr. and Thomas Yang
Boston College, Singapore Management University, University of California, San Diego (UCSD) - Department of Economics and Boston College
Downloads 44 (552,092)
Citation 3

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Control variables, Covariates, Endogenous variables, Exogeneity, Monotonicity, Nonparametric, Nonseparable, Specification test, Unobserved heterogeneity

18.

Forecast Evaluation with Shared Data Sets

Number of pages: 24 Posted: 02 Dec 2001
Ryan Sullivan, Allan Timmermann and Halbert L. White Jr.
Bates White & Ballentine, UCSD and University of California, San Diego (UCSD) - Department of Economics
Downloads 27 (649,215)
Citation 1
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Forecast evaluation, bootstrap, data sharing, calendar effects, technical trading

19.

Viewpoint: An Extended Class of Instrumental Variables for the Estimation of Causal Effects (Une Classe Tendue De Variables Instrumentales Pour L'Estimation Des Effets De Causalit)

Canadian Journal of Economics/Revue canadienne d'economique, Vol. 44, Issue 1, pp. 1-51, 2011
Number of pages: 51 Posted: 14 Mar 2011
Karim Chalak and Halbert L. White Jr.
affiliation not provided to SSRN and University of California, San Diego (UCSD) - Department of Economics
Downloads 4 (851,100)

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20.

Granger Causality and Dynamic Structural Systems

Journal of Financial Econometrics, Vol. 8, Issue 2, pp. 193-243, 2010
Posted: 29 Mar 2010
Halbert L. White Jr. and Xun Lu
University of California, San Diego (UCSD) - Department of Economics and affiliation not provided to SSRN

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C30, C32, C45, C51, E65, causality, conditional exogeneity, exogeneity, natural experiments, structural equations, vector autoregression

21.

Inference on Risk-Neutral Measures for Incomplete Markets

Journal of Financial Econometrics, Vol. 7, Issue 3, pp. 199-246, 2009
Posted: 30 Jun 2009
Hiroaki Kaido and Halbert L. White Jr.
Boston University - Department of Economics and University of California, San Diego (UCSD) - Department of Economics

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C12, C13, G12, incomplete markets, partial identification, risk-neutral measure, set estimation

22.

A Comparison of Complementary Automatic Modeling Methods: Retina and Pcgets

Econometric Theory, Vol. 21, No. 1, pp. 262-277, February 1, 2005
Posted: 26 Mar 2006
Teodosio Perez Amaral, Giampiero M. Gallo and Halbert L. White Jr.
Complutense University of Madrid - Facultad de Económicas y Empresariales, Corte dei Conti - Italian Court of Audits and University of California, San Diego (UCSD) - Department of Economics

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23.

Dangers of Data-Driven Inference: The Case of Calendar Effects in Stock Returns

UCSD Economics Discussion Paper 98-16
Posted: 20 Aug 1998
Ryan Sullivan, Allan Timmermann and Halbert L. White Jr.
Bates White & Ballentine, UCSD and University of California, San Diego (UCSD) - Department of Economics

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24.

A Model Selection Approach to Real-Time Macroeconomic Forecasting Using Linear Models and Artificial Neural Networks

Review of Economics and Statistics, Vol. 79, No. 4, November 1997
Posted: 22 Mar 1998
Norman R. Swanson, Norman R. Swanson and Halbert L. White Jr.
Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics and University of California, San Diego (UCSD) - Department of Economics

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25.

Data-Snooping, Technical Trading Rule Performance, and the Bootstrap

Downloads 0 (906,676)

Data-Snooping, Technical Trading Rule Performance, and the Bootstrap

Posted: 18 May 1999
Ryan Sullivan, Allan Timmermann and Halbert L. White Jr.
Bates White & Ballentine, UCSD and University of California, San Diego (UCSD) - Department of Economics

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Data-Snooping, Technical Trading Rule Performance, and the Bootstrap

University of California at San Diego, Department of Economics, Discussion Paper No. 97-31
Posted: 08 Mar 1998
Ryan Sullivan, Allan Timmermann and Halbert L. White Jr.
Bates White & Ballentine, UCSD and University of California, San Diego (UCSD) - Department of Economics

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