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Tae-Hwan Kim

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Personal Details

First Name: Tae-Hwan
Middle Name:
Last Name: Kim
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RePEc Short-ID: pki53

Email:
Homepage: http://web.yonsei.ac.kr/thkim/
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

School of Economics
College of Business and Economics
Yonsei University
Location: Seoul, South Korea
Homepage: http://economics.yonsei.ac.kr/
Email:
Phone:
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Postal:
Handle: RePEc:edi:deyonkr (more details at EDIRC)

Lists

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

Works

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Working papers

  1. Tae-Hwan Kim & Christophe Muller, 2013. "A Test for Endogeneity in Conditional Quantiles," AMSE Working Papers 1342, Aix-Marseille School of Economics, Marseille, France, revised Aug 2013.
  2. Lijuan Huo & Tae-Hwan Kim & Yunmi Kim, 2013. "Testing for Autocorrelation in Quantile Regression Models," Working papers 2013rwp-54, Yonsei University, Yonsei Economics Research Institute.
  3. Habert white & Tae-Hwan Kim & Simone Manganelli, 2012. "VAR for VaR: Measuring Tail Dependence Using Multivariate Regression Quantiles," Working papers 2012rwp-45, Yonsei University, Yonsei Economics Research Institute.
  4. Tae-Hwan Kim, & Christophe Muller, 2012. "Bias Transmission and Variance Reduction in Two-Stage Quantile Regression," AMSE Working Papers 1221, Aix-Marseille School of Economics, Marseille, France.
  5. Tae-Hwan Kim & Christophe Muller, 2012. "A test for endogeneity in conditional quantile models," Working papers 2012rwp-49, Yonsei University, Yonsei Economics Research Institute.
  6. Hyeong Ho Moon & Tae-Hwan Kim & Seongho Nah, 2012. "On measuring the nonlinear effect of interest rates on inflation and output," Working papers 2013rwp-53, Yonsei University, Yonsei Economics Research Institute.
  7. White, Halbert & Kim, Tae-Hwan & Manganelli, Simone, 2010. "VAR for VaR: measuring systemic risk using multivariate regression quantiles," MPRA Paper 35372, University Library of Munich, Germany.
  8. White, Halbert & Kim, Tae-Hwan & Manganelli, Simone, 2008. "Modeling autoregressive conditional skewness and kurtosis with multi-quantile CAViaR," Working Paper Series 0957, European Central Bank.
  9. 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.
  10. 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.
  11. Christophe Muller & Tae-Hwan Kim, 2005. "Two-Stage Huber Estimation," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) 2005-17, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  12. Christophe Muller & Tae-Hwan Kim, 2004. "Two-Stage Quantile Regression When The First Stage Is Based On Quantile Regression," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) 2004-03, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  13. Young-Sook Lee & Tae-Hwan Kim & Paul Newbold, 2004. "Spurious Nonlinear Regressions In Econometrics," Royal Economic Society Annual Conference 2004, Royal Economic Society 27, Royal Economic Society.
  14. Tae-Hwan Kim & Christophe Muller, 2004. "Bias Transmission In Two-Stage Estimation," Royal Economic Society Annual Conference 2004, Royal Economic Society 73, Royal Economic Society.
  15. 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, Royal Economic Society 122, Royal Economic Society.
  16. Kim, Tae-Hwan & White, Halbert, 2003. "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 qt7b52v07p, Department of Economics, UC San Diego.
  17. Steve Leybourne & Tae-Hwan Kim & Paul Newbold, 2003. "Behaviour of Dickey-Fuller Unit Root Tests Under Trend Misspecification," Econometrics, EconWPA 0311008, EconWPA.
  18. Steve Leybourne & Paul Newbold & Tae-Hwan Kim, 2003. "Examination Of Some More Powerful Modifications Of The Dickey- Fuller Test," Econometrics, EconWPA 0311007, EconWPA.
  19. White, Halbert & Kim, Tae-Hwan, 2002. "Estimation, Inference, and Specification Testing for Possibly Misspecified Quantile Regression," University of California at San Diego, Economics Working Paper Series qt1s38s0dn, Department of Economics, UC San Diego.
  20. Kim, Tae-Hwan & White, Halbert & Stone, Douglas, 2000. "Asymptotic and Bayesian Confidence Intervals for Sharpe Style Weights," University of California at San Diego, Economics Working Paper Series qt5h98h28m, Department of Economics, UC San Diego.
  21. Kim, Tae-Hwan & White, Halbert, 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 qt9914w10r, Department of Economics, UC San Diego.

Articles

  1. Huo, Lijuan & Kim, Tae-Hwan & Kim, Yunmi, 2012. "Robust estimation of covariance and its application to portfolio optimization," Finance Research Letters, Elsevier, Elsevier, vol. 9(3), pages 121-134.
  2. Sunku Hahn & Tae-Hwan Kim & Minho Kim, 2012. "The influence of school quality on housing prices in Korea," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 44(8), pages 1021-1023, March.
  3. Chevapatrakul, Thanaset & Kim, Tae-Hwan & Mizen, Paul, 2012. "Monetary information and monetary policy decisions: Evidence from the euroarea and the UK," Journal of Macroeconomics, Elsevier, Elsevier, vol. 34(2), pages 326-341.
  4. Joo-Yeon Hyun & Hyeong Ho Mun & Tae-Hwan Kim & Jinook Jeong, 2010. "The effect of a variance shift on the Breusch-Godfrey's LM test," Applied Economics Letters, Taylor & Francis Journals, vol. 17(4), pages 399-404.
  5. Kim, Tae-Hwan & Mizen, Paul, 2010. "Estimating monetary reaction functions at near zero interest rates," Economics Letters, Elsevier, vol. 106(1), pages 57-60, January.
  6. Thanaset Chevapatrakul & Tae-Hwan Kim & Paul Mizen, 2009. "The Taylor Principle and Monetary Policy Approaching a Zero Bound on Nominal Rates: Quantile Regression Results for the United States and Japan," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 41(8), pages 1705-1723, December.
  7. 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.
  8. Steve Leybourne & Tae-Hwan Kim & Paul Newbold, 2008. "A more powerful modification of Johansen's cointegration tests," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 40(6), pages 725-729.
  9. Leybourne Stephen & Kim Tae-Hwan & Taylor A.M. Robert, 2007. "Detecting Multiple Changes in Persistence," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 11(3), pages 1-34, September.
  10. Stephen Leybourne & Robert Taylor & Tae-Hwan Kim, 2007. "CUSUM of Squares-Based Tests for a Change in Persistence," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(3), pages 408-433, 05.
  11. 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," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 38(4), pages 395-413.
  12. 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.
  13. Stephen Leybourne & Tae-Hwan Kim & Paul Newbold, 2005. "Examination of Some More Powerful Modifications of the Dickey-Fuller Test," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(3), pages 355-369, 05.
  14. Lee, Young-Sook & Kim, Tae-Hwan & Newbold, Paul, 2005. "Spurious nonlinear regressions in econometrics," Economics Letters, Elsevier, vol. 87(3), pages 301-306, June.
  15. Tae-Hwan Kim, 2005. "Asymptotic and Bayesian Confidence Intervals for Sharpe-Style Weights," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 3(3), pages 315-343.
  16. Mise, Emi & Kim, Tae-Hwan & Newbold, Paul, 2005. "On suboptimality of the Hodrick-Prescott filter at time series endpoints," Journal of Macroeconomics, Elsevier, Elsevier, vol. 27(1), pages 53-67, March.
  17. 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, Wiley Blackwell, vol. 25(4), pages 583-602, 07.
  18. Tae-Hwan Kim & Stephen Leybourne & Paul Newbold, 2004. "Behaviour of Dickey-Fuller Unit-Root Tests Under Trend Misspecification," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(5), pages 755-764, 09.
  19. 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 & Francis Journals, vol. 14(14), pages 1035-1043.
  20. 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., John Wiley & Sons, Ltd., vol. 19(2), pages 147-170.
  21. 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.
  22. 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.
  23. Kim, Tae-Hwan & White, Halbert, 2004. "On more robust estimation of skewness and kurtosis," Finance Research Letters, Elsevier, Elsevier, vol. 1(1), pages 56-73, March.
  24. 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, Wiley Blackwell, vol. 24(5), pages 539-551, 09.
  25. 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.
  26. Jaesun Noh & Tae-Hwan Kim, 2003. "Behaviour of cointegration tests in the presence of structural breaks in variance," Applied Economics Letters, Taylor & Francis Journals, vol. 10(15), pages 999-1002.
  27. Kim, Tae-Hwan & Leybourne, Stephen & Newbold, Paul, 2002. "Unit root tests with a break in innovation variance," Journal of Econometrics, Elsevier, Elsevier, vol. 109(2), pages 365-387, August.
  28. 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, American Statistical Association, vol. 96, pages 697-705, June.
  29. Tae-Hwan Kim & Paul Newbold, 2001. "Unit root tests based on inequality-restricted estimators," Applied Economics Letters, Taylor & Francis Journals, vol. 8(12), pages 793-797.
  30. 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.

NEP Fields

15 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BAN: Banking (1) 2012-11-24
  2. NEP-CBA: Central Banking (2) 2007-04-09 2013-03-09
  3. NEP-DCM: Discrete Choice Models (1) 2003-06-16
  4. NEP-ECM: Econometrics (11) 2003-11-23 2003-11-23 2004-08-30 2004-09-30 2006-02-05 2008-12-01 2012-10-27 2012-11-24 2012-11-24 2013-03-09 2013-08-31. Author is listed
  5. NEP-ETS: Econometric Time Series (6) 2003-11-23 2003-11-23 2004-09-30 2008-12-01 2012-11-24 2013-03-09. Author is listed
  6. NEP-MAC: Macroeconomics (2) 2007-04-09 2013-03-09
  7. NEP-MON: Monetary Economics (3) 2003-06-16 2007-04-09 2013-03-09
  8. NEP-RMG: Risk Management (1) 2012-11-24

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