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Recent Publications
Fan, R., Lee, J. H., & Shin, Y. (Accepted/In press). Predictive Quantile Regression with Mixed Roots and Increasing Dimensions: The ALQR Approach. Journal of Econometrics. https://doi.org/10.1016/j.jeconom.2022.11.006
Lee, J. H., & Shin, Y. (2023). Complete Subset Averaging for Quantile Regressions. Econometric Theory, 39(1), 146-188. https://doi.org/10.1017/S0266466621000402
Han, H., Jung, W., & Lee, J. H. (Accepted/In press). Estimation and Inference of Quantile Impulse Response Functions by Local Projections: With Applications to VaR Dynamics. Journal of Financial Econometrics. https://doi.org/10.2139/ssrn.3466198
Jung, W., & Lee, J. H. (2022). Quantile Impulse Response Analysis with Applications in Macroeconomics and Finance. Advances in Econometrics. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4064967
Lee, J. H., & Park, B. G. (Accepted/In press). Nonparametric Identification and Estimation of the Extended Roy Model. Journal of Econometrics. https://doi.org/10.1016/j.jeconom.2022.10.001