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Research Output

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

  • 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

  • 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

  • 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

  • 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