Additional Campus Affiliations
Professor (courtesy appointment), Department of Finance, Gies College of Business
External Links
Recent Publications
Doh, T., Lee, J. H., & Park, W. Y. (2025). Heterogeneity in Household Inflation Expectations and Monetary Policy. Journal of Financial Econometrics, 23(1).
Han, H., Jung, W., & Lee, J. H. (2024). Estimation and Inference of Quantile Impulse Response Functions by Local Projections: With Applications to VaR Dynamics. Journal of Financial Econometrics, 22(1), 1-29. https://doi.org/10.1093/jjfinec/nbac026
Lee, J. H., Sasaki, Y., Toda, A. A., & Wang, Y. (2024). Tuning parameter-free nonparametric density estimation from tabulated summary data. Journal of Econometrics, 238(1), Article 105568. https://doi.org/10.1016/j.jeconom.2023.105568
Fan, R., Lee, J. H., & Shin, Y. (Accepted/In press). Predictive Quantile Regression with Mixed Roots and Increasing Dimensions: The ALQR Approach: The ALQR approach. Journal of Econometrics, 237(2), Article 105372. 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