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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
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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
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Estimation, inference, and specification testing for possibly misspecified quantile regression
Kim, Tae-hwan; White, Halbert - 2002
Persistent link: https://www.econbiz.de/10001683571
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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
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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
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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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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
To date, the literature on quantile regression and least absolute deviation regression has assumed either explicitly or implicitly that the conditional quantile regression model is correctly specified. When the model is misspecified, confidence intervals and hypothesis tests based on the...
Persistent link: https://www.econbiz.de/10015388944
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James-Stein type estimators in large samples with application to the least absolute deviations estimator
Kim, Tae-hwan; White, Halbert - 2000
Persistent link: https://www.econbiz.de/10001495720
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James-Stein type estimators in large samples with application to the least absolute deviation estimator
Kim, Tae-Hwan; White, Halbert - 1999
Persistent link: https://www.econbiz.de/10001366190
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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