Similar Search Results - EconBiz

Revisiting the martingale hypothesis for exchange rates

Lee, Young-Sook (contributor); Kim, Tae-hwan (contributor); … - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002435695

Asymptotic Mean-Squared Forecast Error When an Autoregression with Linear Trend is Fitted to Data Generated by an I(0) or I(1) Process

Kim, Tae-Hwan; Leybourne, Stephen J.; Newbold, Paul - 2004

Assume that a time series is generated by an autoregression which has atmost one unit root. A correctly specified model, including linear time trend, is estimated by ordinary least squares, but no allowance is made for any unit root in the generating process. We investigate the impact of...

Persistent link: https://www.econbiz.de/10014070645

On more robust estimation of skewness and kurtosis : simulation and application to the S&P500 index

Kim, Tae-hwan; White, Halbert - 2003

Persistent link: https://www.econbiz.de/10002118385

Behaviour of cointegration tests in the presence of structural breaks in variance

Noh, Jaesun; Kim, Tae-hwan - In: Applied economics letters 10 (2003) 15, pp. 999-1002

Persistent link: https://www.econbiz.de/10001876763

Estimation, inference, and specification testing for possibly misspecified quantile regression

Kim, Tae-hwan; White, Halbert - In: Maximum likelihood estimation of misspecified models : …, (pp. 107-132). 2003

Persistent link: https://www.econbiz.de/10001916288

Two-stage Huber estimation

Kim, Tae-hwan (contributor); Muller, Christophe (contributor) - 2005 - 1. ed.

Persistent link: https://www.econbiz.de/10002816264

Estimation, inference, and specification testing for possibly misspecified quantile regression

Kim, Tae-hwan; White, Halbert - 2002

Persistent link: https://www.econbiz.de/10001683571

VAR for VaR : measuring tail dependence using multivariate regression quantiles

White, Halbert; Kim, Tae-hwan; Manganelli, Simone - 2015

Persistent link: https://www.econbiz.de/10011288642

On more robust estimation of skewness and kurtosis

Kim, Tae-hwan; White, Halbert - In: Finance research letters 1 (2004) 1, pp. 56-73

Persistent link: https://www.econbiz.de/10003307251

VAR for VaR: measuring tail dependence using multivariate regression quantiles

White, Halbert; Kim, Tae-hwan; Manganelli, Simone - In: Journal of econometrics 187 (2015) 1, pp. 169-188

Persistent link: https://www.econbiz.de/10011498808

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