External Links
Recent Publications
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, https://doi.org/10.2139/ssrn.3016449
Lee, J. (2019). Martingale decomposition and approximations for nonlinearly dependent processes. Statistics and Probability Letters, 152, 35-42. https://doi.org/10.1016/j.spl.2019.04.012
Lee, J., & Song, K. (2019). Stable limit theorems for empirical processes under conditional neighborhood dependence. Bernoulli, 25(2), 1189-1224. https://doi.org/10.3150/17-BEJ1018