Additional Campus Affiliations
Associate Professor, Finance
External Links
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
Lee, J. H., & Park, B. G. (2023). Nonparametric Identification and Estimation of the Extended Roy Model. Journal of Econometrics, 235(2), 1087-1113. https://doi.org/10.1016/j.jeconom.2022.10.001
Lee, J. H., Sasaki, Y., Toda, A. A., & Wang, Y. (Accepted/In press). Tuning Parameter-Free Nonparametric Density Estimation from Tabulated Summary Data. Journal of Econometrics. https://arxiv.org/abs/2204.05480
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