JiHyung Lee

Assistant Professor

Recent Publications

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

Fan, R., & Lee, J. (Accepted/In press). Predictive quantile regressions under persistence and conditional heteroskedasticity. Journal of Econometrics. https://doi.org/10.1016/j.jeconom.2019.04.014, https://doi.org/10.2139/ssrn.3016449

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

Lee, J. (2018). Limit theory for explosive autoregression under conditional heteroskedasticity. Journal of Statistical Planning and Inference, 196, 30-55. https://doi.org/10.1016/j.jspi.2017.10.008

Lee, J. H., & Liao, Z. (2018). On Standard Inference for GMM with Local Identification Failure of Known Forms. Econometric Theory, 34(4), 790-814. https://doi.org/10.1017/S026646661700024X

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