Taewook Lee

Available identifiers

List of research outcomes

Publication	Date of Publication	Type
Detection of multiple change-points in high-dimensional panel data with cross-sectional and temporal dependence	2024-07-25	Paper
Wild bootstrap Ljung-Box test for residuals of ARMA models robust to variance change	2023-01-17	Paper
Block wild bootstrap-based CUSUM tests robust to high persistence and misspecification	2020-06-16	Paper
Tests for serial correlation in mean and variance of a sequence of time series objects	2020-04-22	Paper
A new algorithm for maximum likelihood estimation in normal scale-mixture generalized autoregressive conditional heteroskedastic models	2020-03-27	Paper
Penalized regression models with autoregressive error terms	2020-03-06	Paper
Wild bootstrap Ljung-Box test for cross correlations of multivariate time series	2018-09-11	Paper
Adaptive lasso for linear regression models with ARMA-GARCH errors	2017-07-31	Paper
Adaptive robust regression with continuous Gaussian scale mixture errors	2017-02-09	Paper
Bridge estimation for linear regression models with mixing properties	2016-04-27	Paper
Tests for Volatility Shifts in Garch Against Long‐Range Dependence	2015-03-09	Paper
A note on Jarque-Bera normality test for ARMA-GARCH innovations	2014-09-26	Paper
A note on the Jarque-Bera normality test for GARCH innovations	2014-08-04	Paper
Quasi-maximum likelihood estimation for multiple volatility shifts	2014-06-05	Paper
On Jarque-Bera normality and cusum parameter change tests for BCTT-GARCH models	2014-04-09	Paper
Value-at-risk forecasting based on Gaussian mixture ARMA–GARCH model	2013-04-16	Paper
Robust estimation for the order of finite mixture models	2012-09-23	Paper
Inference for Box-Cox transformed threshold GARCH models with nuisance parameters	2012-09-21	Paper
NM-QELE for ARMA-GARCH models with non-Gaussian innovations	2011-05-17	Paper
Robust estimation for order of hidden Markov models based on density power divergences	2010-09-17	Paper
Normal mixture quasi-maximum likelihood estimator for GARCH models	2010-04-22	Paper
Consistency of minimizing a penalized density power divergence estimator for mixing distribution	2009-06-02	Paper
Test for Parameter Change in Linear Processes Based on Whittle's Estimator	2007-10-24	Paper
Cusum Test for Parameter Change Based on the Maximum Likelihood Estimator	2005-01-18	Paper

Research outcomes over time

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