External Links
Recent Publications
Lee, J. H., & Shin, Y. (Accepted/In press). Complete Subset Averaging for Quantile Regressions. Econometric Theory. https://doi.org/10.1017/S0266466621000402
Lee, J. H., Shi, Z., & Gao, Z. (Accepted/In press). On LASSO for Predictive Regression. Journal of Econometrics. https://doi.org/10.1016/j.jeconom.2021.02.002
Lee, J. H., Linton, O., & Whang, Y. J. (2020). Quantilograms under Strong Dependence. Econometric Theory, 36(3), 457-487. https://doi.org/10.1017/S0266466619000227
Fan, R., & Lee, J. (2019). Predictive quantile regressions under persistence and conditional heteroskedasticity. Journal of Econometrics, 213(1), 261-280. https://doi.org/10.1016/j.jeconom.2019.04.014
Han, H., Jung, W., & Lee, J. H. (2019). Estimation and Inference of Quantile Impulse Response Functions by Local Projections: With Applications to VaR Dynamics. https://doi.org/10.2139/ssrn.3466198