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Asymptotic and Bayesian confidence intervals for sharpe-style weights

Kim, Tae-hwan; White, Halbert; Stone, Douglas - In: Journal of financial econometrics : official journal of … 3 (2005) 3, pp. 315-343

Persistent link: https://www.econbiz.de/10002989025

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

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

Kim, Tae-hwan; White, Halbert - 2002

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

Asymptotic and Bayesian confidence intervals for Sharpe style weights

Kim, Tae-hwan; Stone, Douglas; White, Halbert - 2000

Persistent link: https://www.econbiz.de/10001541193

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

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

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

Two-stage quantile regression when the first stage is based on quantile regression

Kim, Tae-hwan; Muller, Christophe - In: The econometrics journal 7 (2004) 1, pp. 218-231

Persistent link: https://www.econbiz.de/10002122077

Two stage quantile regression when the first stage is based on quantile regression

Kim, Tae-hwan (contributor); Muller, Christophe (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001835514

Two-stage quantile regression when the first stage is based on quantile regression

Kim, Tae-hwan (contributor); Muller, Christophe (contributor) - 2004 - [Elektronische Ressource], 1. ed.

Persistent link: https://www.econbiz.de/10002198695