Zobrazeno 1 - 10
of 103
pro vyhledávání: '"Tae-Hwy Lee"'
Autor:
Yundong Tu, Tae-Hwy Lee
Publikováno v:
Journal of Management Science and Engineering, Vol 4, Iss 1, Pp 12-27 (2019)
This paper examines the theoretical and empirical properties of a supervised factor model based on combining forecasts using principal components (CFPC), in comparison with two other supervised factor models (partial least squares regression, PLS, an
Externí odkaz:
https://doaj.org/article/aff8f6cd594d4c2caf0ecec859471ba3
Publikováno v:
Journal of Management Science and Engineering, Vol 4, Iss 1, Pp 28-44 (2019)
When some of the regressors in a panel data model are correlated with the random individual effects, the random effect (RE) estimator becomes inconsistent while the fixed effect (FE) estimator is consistent. Depending on the various degree of such co
Externí odkaz:
https://doaj.org/article/ba8ae05b709c4234be004cefc24906de
Autor:
Huiyu Huang, Tae-Hwy Lee
Publikováno v:
Econometrics, Vol 1, Iss 1, Pp 127-140 (2013)
in the prediction of quantiles of daily Standard&Poor’s 500 (S&P 500) returns we consider how to use high-frequency 5-minute data. We examine methods that incorporate the high frequency information either indirectly, through combining forecasts (us
Externí odkaz:
https://doaj.org/article/1eece3f2c33d4d429925cd69e521da63
Publikováno v:
Econometrics, Vol 6, Iss 3, p 40 (2018)
In forecasting a variable (forecast target) using many predictors, a factor model with principal components (PC) is often used. When the predictors are the yield curve (a set of many yields), the Nelson–Siegel (NS) factor model is used in place of
Externí odkaz:
https://doaj.org/article/5a0f606a6a3a4d8394414a93fb3adcbb
Volume 36 of Advances in Econometrics recognizes Aman Ullah's significant contributions in many areas of econometrics and celebrates his long productive career. The volume features original papers on the theory and practice of econometrics that is re
Publikováno v:
Oxford Bulletin of Economics and Statistics. 84:1485-1501
Publikováno v:
Journal of Applied Econometrics. 37:965-987
Publikováno v:
Journal of Econometric Methods. 12:57-83
We consider a multiplicative decomposition of the financial returns to improve the density forecasts of financial returns. The multiplicative decomposition is based on the identity that financial return is the product of its absolute value and its si
Publikováno v:
Econometric Reviews. 40:905-918
The estimation of a large covariance matrix is challenging when the dimension p is large relative to the sample size n. Common approaches to deal with the challenge have been based on thresholding ...