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/

SCHOLARLY PAPERS

25

DOWNLOADS
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CITATIONS
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SSRN RANKINGS

Top 2,798

in Total Papers Citations

200

Scholarly Papers (25)

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 G. Timmermann, Russ Wermers and Halbert L. White, Jr.
Imperial College Business School, University of California, San Diego (UCSD) - Department of Economics, University of Maryland - Robert H. Smith School of Business and University of California, San Diego (UCSD) - Department of Economics
Downloads 1,141 (14,123)
Citation 133

Abstract:

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 G. Timmermann, Russ Wermers and Halbert L. White, Jr.
Imperial College Business School, University of California, San Diego (UCSD) - Department of Economics, University of Maryland - Robert H. Smith School of Business and University of California, San Diego (UCSD) - Department of Economics

Abstract:

mutual funds, performance evaluation, bootstrap

2.

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
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 395 (39,295)

Abstract:

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

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 213 (120,690)
Citation 5

Abstract:

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

Abstract:

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

4.

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 198 (64,260)

Abstract:

efficiency, Gauss-Markov, OLS estimator

5.

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
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 182 (133,458)
Citation 1

Abstract:

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

6.

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 156 (130,299)
Citation 4

Abstract:

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

7.

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 150 (158,850)

Abstract:

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

8.

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 148 (163,316)
Citation 22

Abstract:

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

9.

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 141 (170,870)
Citation 2

Abstract:

10.

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 126 (171,859)
Citation 21

Abstract:

Quantile Estimation, Misspecification, Asymptotic Normality, Aysmptotic Covariance Matrix

11.

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 123 (174,778)
Citation 3

Abstract:

12.

Hypernormal Densities

UCSD, Economics Working Paper No. 2002-14, Universitat Pompeu Fabra Working Paper No
Number of pages: 42 Posted: 17 Dec 2002
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 91 (231,087)

Abstract:

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

13.

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 61 (284,399)
Citation 2

Abstract:

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

14.

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 37 (345,731)

Abstract:

Conditional Independence, Generically Comprehensively Revealing, Nonparametric Test

15.

Forecast Evaluation with Shared Data Sets

CEPR Discussion Paper No. 3060
Number of pages: 24 Posted: 02 Dec 2001
Ryan Sullivan, Allan G. Timmermann and Halbert L. White, Jr.
Bates White & Ballentine, University of California, San Diego (UCSD) - Department of Economics and University of California, San Diego (UCSD) - Department of Economics
Downloads 27 (416,876)
Citation 6
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Abstract:

Forecast evaluation, bootstrap, data sharing, calendar effects, technical trading

16.

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 22 (319,272)
Citation 1

Abstract:

CAViaR; codependence; quantile impulse-responses; spillover

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 Tao Yang
Boston College, Singapore Management University, University of California, San Diego (UCSD) - Department of Economics and Boston College
Downloads 20 (379,692)

Abstract:

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

18.

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 - Department of Economics and University of California, San Diego (UCSD) - Department of Economics
Downloads 19 (399,224)

Abstract:

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 3 (537,798)
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Abstract:

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

Abstract:

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

Abstract:

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, Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti" and University of California, San Diego (UCSD) - Department of Economics

Abstract:

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 G. Timmermann and Halbert L. White, Jr.
Bates White & Ballentine, University of California, San Diego (UCSD) - Department of Economics and University of California, San Diego (UCSD) - Department of Economics

Abstract:

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 and Halbert L. White, Jr.
Rutgers University - Department of Economics and University of California, San Diego (UCSD) - Department of Economics

Abstract:

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

Journal of Finance, Vol. 54, No. 5, October 1999
Posted: 18 May 1999
Ryan Sullivan, Allan G. Timmermann and Halbert L. White, Jr.
Bates White & Ballentine, University of California, San Diego (UCSD) - Department of Economics and University of California, San Diego (UCSD) - Department of Economics

Abstract:

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 G. Timmermann and Halbert L. White, Jr.
Bates White & Ballentine, University of California, San Diego (UCSD) - Department of Economics and University of California, San Diego (UCSD) - Department of Economics

Abstract: