Taewook Lee

发表

Penalized regression models with autoregressive error terms

Taewook Lee, Cheolwoo Park, Young Joo Yoon, 2013 .

Bridge Estimation for Linear Regression Models with Mixing Properties

Cheolwoo Park, Y. Yoon, Taewook Lee, 2014 .

Tests for serial correlation in mean and variance of a sequence of time series objects

Cheolwoo Park, Taewook Lee, 2017 .

Robust estimation for order of hidden Markov models based on density power divergences

Sangyeol Lee, Taewook Lee, 2010 .

Tests for Volatility Shifts in Garch Against Long‐Range Dependence

Moosup Kim, Taewook Lee, Changryong Baek, 2015 .

Adaptive robust regression with continuous Gaussian scale mixture errors

Byungtae Seo, Y. Yoon, Taewook Lee, 2017 .

Numerical study on Jarque-Bera normality test for innovations of ARMA-GARCH models

Taewook Lee, 2009 .

A numerical study on option pricing based on GARCH models with normal mixture errors

Taewook Lee, Seunghwan Jeong, 2017 .

Wild bootstrap Ljung–Box test for residuals of ARMA models robust to variance change

Taewook Lee, 2022, Journal of the Korean Statistical Society.

Normal Mixture Quasi‐maximum Likelihood Estimator for GARCH Models

Sangyeol Lee, Taewook Lee, 2008 .

Quasi-maximum likelihood estimation for multiple volatility shifts

Moosup Kim, Taewook Lee, Jungsik Noh, 2014 .

Adaptive LASSO for linear regression models with ARMA-GARCH errors

Taewook Lee, Sooyong Lee, Young Joo Yoon, 2015, Commun. Stat. Simul. Comput..

A new algorithm for maximum likelihood estimation in normal scale-mixture generalized autoregressive conditional heteroskedastic models

Byungtae Seo, Taewook Lee, 2015 .

Inference for Box–Cox Transformed Threshold GARCH Models with Nuisance Parameters

Sangyeol Lee, Taewook Lee, 2012 .

Value-at-risk forecasting based on Gaussian mixture ARMA–GARCH model

Taewook Lee, Sangyeol Lee, Sangyeol Lee, 2011 .

NM–QELE for ARMA–GARCH models with non-Gaussian innovations

Taewook Lee, Jeongcheol Ha, 2011 .

Skewness of Gaussian Mixture Absolute Value GARCH(1, 1) Model

Taewook Lee, 2013 .

Wild bootstrap Ljung–Box test for cross correlations of multivariate time series

Taewook Lee, 2016 .