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Information about:
Tae-Hwan Kim

Personal Details | Affiliation | Lists | Works
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Other registered authors

Personal Details

First Name: Tae-Hwan
Middle Name:
Last Name: Kim
Suffix:

RePEc Short-ID: pki53

Email:
Homepage: http://eclass.yonsei.ac.kr/~thkim83
Postal Address: School of Economics College of Business and Economics Yonsei University 134 Shinchon-dong, Seodaemun-gu Seoul, 120-749 Korea
Phone: +82-2-2123-5461

Affiliation

(in no particular order)

Lists

This author is featured on the following reading lists or publication compilations:
  1. Korean Economists

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Halbert White & Tae-Hwan Kim & Simone Manganelli, 2008. "Modeling autoregressive conditional skewness and kurtosis with Multi-quantile CAViaR," Working Paper Series 957, European Central Bank. [Downloadable!]

  2. Thanaset Chevapatrakul & Tae-Hwan Kim & Paul Mizen, 2007. "Forecasting Changes in UK Interest Rates," Discussion Paper Series 2007_26, Department of Economics, Loughborough University, revised Nov 2007. [Downloadable!]
    Other versions:
    Published as:

  3. Paul Mizen & Tae-Hwan Kim & Alan Thanaset, 2007. "Evaluating the Taylor Principle Over the Distribution of the Interest Rate: Evidence from the US, UK and Japan," Money Macro and Finance (MMF) Research Group Conference 2006 51, Money Macro and Finance Research Group. [Downloadable!]

  4. Christophe Muller & Tae-Hwan Kim, 2005. "Two-Stage Huber Estimation," Working Papers. Serie AD 2005-17, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]

  5. Young-Sook Lee & Tae-Hwan Kim & Paul Newbold, 2005. "Revisiting the Martingale hypothesis for exchange rates," Money Macro and Finance (MMF) Research Group Conference 2005 19, Money Macro and Finance Research Group. [Downloadable!]

  6. Tae-Hwan Kim & Halbert White, 2004. "On More Robust Estimation of Skewness and Kurtosis: Simulation and Application to the S&P500 Index," University of California at San Diego, Economics Working Paper Series 2003-12, Department of Economics, UC San Diego. [Downloadable!]

  7. Christophe Muller & Tae-Hwan Kim, 2004. "Two-Stage Quantile Regression When The First Stage Is Based On Quantile Regression," Working Papers. Serie AD 2004-03, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
    Published as:

  8. Young-Sook Lee & Tae-Hwan Kim & Paul Newbold, 2004. "Spurious Nonlinear Regressions In Econometrics," Royal Economic Society Annual Conference 2004 27, Royal Economic Society. [Downloadable!]
    Published as:

  9. Tae-Hwan Kim & Christophe Muller, 2004. "Bias Transmission In Two-Stage Estimation," Royal Economic Society Annual Conference 2004 73, Royal Economic Society. [Downloadable!]

  10. Steve Leybourne & Paul Newbold & Tae-Hwan Kim, 2003. "Examination Of Some More Powerful Modifications Of The Dickey- Fuller Test," Econometrics 0311007, EconWPA. [Downloadable!]
    Published as:

  11. Kim, Tae-Hwan & Thanaset Chevapatrakul & Paul Mizen, 2003. "Predicting Changes in the Interest Rate: The Performance of Taylor Rules Versus Alternatives for the United Kingdom," Royal Economic Society Annual Conference 2003 122, Royal Economic Society. [Downloadable!]

  12. Steve Leybourne & Tae-Hwan Kim & Paul Newbold, 2003. "Behaviour of Dickey-Fuller Unit Root Tests Under Trend Misspecification," Econometrics 0311008, EconWPA. [Downloadable!]
    Published as:

  13. Halbert White & Tae-Hwan Kim, 2002. "Estimation, Inference, and Specification Testing for Possibly Misspecified Quantile Regression," University of California at San Diego, Economics Working Paper Series 2002-09, Department of Economics, UC San Diego. [Downloadable!]

  14. Tae-Hwan Kim & Douglas Stone & Halbert White, 2000. "Asymptotic and Bayesian Confidence Intervals for Sharpe Style Weights," University of California at San Diego, Economics Working Paper Series 2000-27, Department of Economics, UC San Diego. [Downloadable!]
    Published as:

  15. Tae-Hwan Kim & Halbert White, 1999. "James-Stein Type Estimators in Large Samples with Application to the Least Absolute Deviations Estimator," University of California at San Diego, Economics Working Paper Series 99-04, Department of Economics, UC San Diego. [Downloadable!]
    Other versions:
    Published as:

Articles

  1. Steve Leybourne & Tae-Hwan Kim & Paul Newbold, 2008. "A more powerful modification of Johansen's cointegration tests," Applied Economics, Taylor and Francis Journals, vol. 40(6), pages 725-729. [Downloadable!] (restricted)

  2. Tae-Hwan Kim & Paul Mizen & Thanaset Chevapatrakul, 2008. "Forecasting changes in UK interest rates," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(1), pages 53-74. [Downloadable!]
    Other versions:

  3. Stephen Leybourne & Robert Taylor & Tae-Hwan Kim, 2007. "CUSUM of Squares-Based Tests for a Change in Persistence," Journal of Time Series Analysis, Blackwell Publishing, vol. 28(3), pages 408-433, 05. [Downloadable!] (restricted)

  4. Stephen Leybourne & Tae-Hwan Kim & A.M. Robert Taylor, 2007. "Detecting Multiple Changes in Persistence," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 11(3). [Downloadable!]

  5. Jaesun Noh & Tae-Hwan Kim, 2006. "Forecasting volatility of futures market: the S&P 500 and FTSE 100 futures using high frequency returns and implied volatility 1," Applied Economics, Taylor and Francis Journals, vol. 38(4), pages 395-413, March. [Downloadable!] (restricted)

  6. Stephen J. Leybourne & Tae-Hwan Kim & A. M. Robert Taylor, 2006. "Regression-based Tests for a Change in Persistence," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(5), pages 595-621, October. [Downloadable!] (restricted)

  7. Stephen Leybourne & Tae-Hwan Kim & Paul Newbold, 2005. "Examination of Some More Powerful Modifications of the Dickey-Fuller Test," Journal of Time Series Analysis, Blackwell Publishing, vol. 26(3), pages 355-369, 05. [Downloadable!] (restricted)
    Other versions:

  8. Mise, Emi & Kim, Tae-Hwan & Newbold, Paul, 2005. "On suboptimality of the Hodrick-Prescott filter at time series endpoints," Journal of Macroeconomics, Elsevier, vol. 27(1), pages 53-67, March. [Downloadable!] (restricted)

  9. Tae-Hwan Kim, 2005. "Asymptotic and Bayesian Confidence Intervals for Sharpe-Style Weights," Journal of Financial Econometrics, Oxford University Press, vol. 3(3), pages 315-343. [Downloadable!] (restricted)
    Other versions:

  10. Lee, Young-Sook & Kim, Tae-Hwan & Newbold, Paul, 2005. "Spurious nonlinear regressions in econometrics," Economics Letters, Elsevier, vol. 87(3), pages 301-306, June. [Downloadable!] (restricted)
    Other versions:

  11. Kim, Tae-Hwan & White, Halbert, 2004. "On more robust estimation of skewness and kurtosis," Finance Research Letters, Elsevier, vol. 1(1), pages 56-73, March. [Downloadable!] (restricted)

  12. Tae-Hwan Kim & Stephen Leybourne & Paul Newbold, 2004. "Behaviour of Dickey-Fuller Unit-Root Tests Under Trend Misspecification," Journal of Time Series Analysis, Blackwell Publishing, vol. 25(5), pages 755-764, 09. [Downloadable!] (restricted)
    Other versions:

  13. Tae-Hwan Kim & Stephen J. Leybourne & Paul Newbold, 2004. "Asymptotic mean-squared forecast error when an autoregression with linear trend is fitted to data generated by an I(0) or I(1) process," Journal of Time Series Analysis, Blackwell Publishing, vol. 25(4), pages 583-602, 07. [Downloadable!] (restricted)

  14. Tae-Hwan Kim & Christophe Muller, 2004. "Two-stage quantile regression when the first stage is based on quantile regression," Econometrics Journal, Royal Economic Society, vol. 7(1), pages 218-231, 06. [Downloadable!] (restricted)
    Other versions:

  15. Kim, Tae-Hwan & Lee, Young-Sook & Newbold, Paul, 2004. "Spurious regressions with stationary processes around linear trends," Economics Letters, Elsevier, vol. 83(2), pages 257-262, May. [Downloadable!] (restricted)

  16. L. Vanessa Smith & Stephen Leybourne & Tae-Hwan Kim & Paul Newbold, 2004. "More powerful panel data unit root tests with an application to mean reversion in real exchange rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 19(2), pages 147-170. [Downloadable!]

  17. Dimitar Tonchev & Tae-Hwan Kim, 2004. "Calendar effects in Eastern European financial markets: evidence from the Czech Republic, Slovakia and Slovenia," Applied Financial Economics, Taylor and Francis Journals, vol. 14(14), pages 1035-1043, October. [Downloadable!] (restricted)

  18. Jaesun Noh & Tae-Hwan Kim, 2003. "Behaviour of cointegration tests in the presence of structural breaks in variance," Applied Economics Letters, Taylor and Francis Journals, vol. 10(15), pages 999-1002, December. [Downloadable!] (restricted)

  19. Stephen Leybourne & Tae-Hwan Kim & Vanessa Smith & Paul Newbold, 2003. "Tests for a change in persistence against the null of difference-stationarity," Econometrics Journal, Royal Economic Society, vol. 6(2), pages 291-311, December. [Downloadable!] (restricted)

  20. Tae-Hwan Kim & Stephan Pfaffenzeller & Tony Rayner & Paul Newbold, 2003. "Testing for Linear Trend with Application to Relative Primary Commodity Prices," Journal of Time Series Analysis, Blackwell Publishing, vol. 24(5), pages 539-551, 09. [Downloadable!] (restricted)

  21. Kim, Tae-Hwan & Leybourne, Stephen & Newbold, Paul, 2002. "Unit root tests with a break in innovation variance," Journal of Econometrics, Elsevier, vol. 109(2), pages 365-387, August. [Downloadable!] (restricted)

  22. Kim, Tae-Hwan & Newbold, Paul, 2001. "Unit Root Tests Based on Inequality-Restricted Estimators," Applied Economics Letters, Taylor and Francis Journals, vol. 8(12), pages 793-97, December. [Downloadable!] (restricted)

  23. Kim T-H. & White H., 2001. "James-Stein-Type Estimators in Large Samples With Application to the Least Absolute Deviations Estimator," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 697-705, June. [Downloadable!] (restricted)
    Other versions:

  24. Kim, Tae-Hwan & Leybourne, Stephen J & Newbold, Paul, 2000. " Spurious Rejections by Perron Tests in the Presence of a Break," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 62(3), pages 433-44, July. [Downloadable!] (restricted)

  25. RePEc:bep:sndecm:11:2007:3:1370-1370 is not listed on IDEAS

NEP Fields

10 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CBA: Central Banking (1) 2007-04-09
  2. NEP-CMP: Computational Economics (1) 2003-10-28
  3. NEP-DCM: Discrete Choice Models (1) 2003-06-16
  4. NEP-ECM: Econometrics (6) 2003-11-23 2003-11-23 2004-08-30 2004-09-30 2006-02-05 2008-12-01 Author is listed
  5. NEP-ETS: Econometric Time Series (5) 2003-10-28 2003-11-23 2003-11-23 2004-09-30 2008-12-01 Author is listed
  6. NEP-FIN: Finance (1) 2003-10-28
  7. NEP-IFN: International Finance (1) 2006-03-05
  8. NEP-MAC: Macroeconomics (1) 2007-04-09
  9. NEP-MON: Monetary Economics (3) 2003-06-16 2006-03-05 2007-04-09 Author is listed
  10. NEP-RMG: Risk Management (1) 2003-10-28
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This page was last updated on 2009-11-28.

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