Tae-Hwy Lee

University of California, Riverside (UCR) - Department of Economics

900 University Avenue

4136 Sproul Hall

Riverside, CA 92521

United States

SCHOLARLY PAPERS

5

DOWNLOADS

331

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (5)

1.

Inferences on Predictability of Foreign Exchange Rates Via Generalized Spectrum and Nonlinear Models

Number of pages: 33 Posted: 10 Jul 2002
Yongmiao Hong and Tae-Hwy Lee
Cornell University - Department of Economics and University of California, Riverside (UCR) - Department of Economics
Downloads 331 (108,958)

Abstract:

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bootstrap, combined forecast, data snooping, directional forecast, functional-coefficient model, generalized spectral test, martingale, moving average technical trading rule, nonlinearity in mean, trading return

2.

Asymmetric Predictive Abilities of Nonlinear Models for Stock Returns: Evidence from Density Forecast Comparison

Advances in Econometrics, 2006, vol. 20(B), 41-62
Posted: 27 Feb 2016
Yong Bao and Tae-Hwy Lee
Purdue University and University of California, Riverside (UCR) - Department of Economics

Abstract:

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nonlinear predictability, density forecast, KLIC, reality check

3.

Evaluating Predictive Performance of Value-at-Risk Models in Emerging Markets: A Reality Check

Journal of Forecasting, Vol. 25 (2), 101-128, 2006, DOI: 10.1002/for.977
Posted: 27 Feb 2016
Yong Bao, Tae-Hwy Lee and Burak Saltoglu
Purdue University, University of California, Riverside (UCR) - Department of Economics and Marmara University

Abstract:

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CaViaR, coverage probability, filtering, quantile loss, reality check, stress testing, VaR

4.

Comparing Density Forecast Models

Journal of Forecasting, Vol. 26 (3), 203-225, 2007, DOI: 10.1002/for.1023
Posted: 27 Feb 2016
Yong Bao, Tae-Hwy Lee and Burak Saltoglu
Purdue University, University of California, Riverside (UCR) - Department of Economics and Marmara University

Abstract:

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density forecast comparison, KLIC, predictive log-likelihood, reality check

5.

Optimality of the Riskmetrics Model

Finance Research Letters, Vol. 4, No. 3, 2007
Posted: 23 Nov 2011 Last Revised: 24 Nov 2011
University of California, Riverside (UCR) - Department of Economics, University of California, Riverside (UCR) - Department of Economics and Board of Governors of the Federal Reserve System

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Estimation, Forecasting, Loss functions, Optimality, VaR