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  • 2 Similar Profiles
Conditional Heteroskedasticity Mathematics
Persistence Mathematics
Moving Block Bootstrap Mathematics
Nuisance Parameter Mathematics
Predictors Mathematics
Quantile Regression Mathematics
Autoregression Mathematics
Empirical Process Mathematics

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Research Output 2013 2019

Martingale decomposition and approximations for nonlinearly dependent processes

Lee, J., Sep 2019, In : Statistics and Probability Letters. 152, p. 35-42 8 p.

Research output: Contribution to journalArticle

Martingale
Lemma
Decompose
Nonlinear Time Series
GARCH Model

Predictive quantile regressions under persistence and conditional heteroskedasticity

Fan, R. & Lee, J., Apr 11 2019, (Accepted/In press) In : Journal of Econometrics.

Research output: Contribution to journalArticle

Conditional Heteroskedasticity
Quantile Regression
Persistence
Parameter estimation
Error analysis

Stable limit theorems for empirical processes under conditional neighborhood dependence

Lee, J. & Song, K., Mar 6 2019, In : Bernoulli. 25, 2, p. 1189-1224 36 p.

Research output: Contribution to journalArticle

Empirical Process
Limit Theorems
Random variable
Sigma algebra
Stable Convergence

Limit theory for explosive autoregression under conditional heteroskedasticity

Lee, J., Aug 2018, In : Journal of Statistical Planning and Inference. 196, p. 30-55 26 p.

Research output: Contribution to journalArticle

Conditional Heteroskedasticity
Autoregression
Statistics
Heteroskedasticity
Asymptotic distribution

On Standard Inference for GMM with Local Identification Failure of Known Forms

Lee, J. H. & Liao, Z., Aug 2018, In : Econometric Theory. 34, 4, p. 790-814 25 p.

Research output: Contribution to journalArticle

economic model
assets
statistics
Inference
simulation