PUBLICATIONS
“James-Stein-Type Estimators in Large Samples with Application to the Least Absolute Deviations Estimator,” (T.-H. Kim, H. White) Journal of the American Statistical Association (American Statistical Association) 96, 697-705, 2001.
“Unit Root Tests With a Break in Innovation Variance,” (T.-H. Kim, S. Leybourne, P. Newbold) Journal of Econometrics (Elsevier Science) 109, 365-387, August 2002.
“Tests for a Change in Persistence Against the Null of Difference-Stationarity,” (S. Leybourne, T.-H. Kim, V. Smith, P. Newbold) Econometrics Journal 6, 290-310, 2003.
“Estimation, Inference, and Specification Testing for Possibly Misspecified Quantile Regression,” (T.-H. Kim, H. White) Advances in Econometrics 17, 107-132, 2003.
“More Powerful Panel Data Unit Root Tests with an Application to Mean Reversion in Real Exchange Rates,” (V. Smith, S. Leybourne, T.-H. Kim, P. Newbold) Journal of Applied Econometrics 19, 147-170, 2004.
“Two-Stage Quantile Regression When the First Stage is Based on Quantile Regression,” (with C. Muller) Econometrics Journal 7, 218-231, 2004.
“Asymptotic and Bayesian Confidence Intervals for Sharpe Style Weights,” (T.-H. Kim, H. White, D. Stone) Journal of Financial Econometrics 3, 315-343, 2005.
“Detecting Multiple Changes in Persistence,” (S. Leyboune, T.-H. Kim, R. Taylor) Studies in Nonlinear Dynamics & Econometrics, 11, Issue 3, 1-26, 2007.
“The Taylor Principle and Monetary Policy Approaching a Zero Bound on Nominal Rates: Quantile Regression Results for the United States and Japan,” (P. Mizen, T.-H. Kim, T. Chevapatrakul), Journal of Money, Credit and Banking, 41, 1705-1723, 2009.
“Modeling Autoregressive Conditional Skewness and Kurtosis with Multi-Quantile CAViaR,” (H. White, T.-H. Kim, and S. Manganelli), “Volatility and Time Series Econometrics: Essays in Honour of Robert F. Engle” A Festschrift in Honor of Robert F. Engle, 2010
“Forecast Precision and Portfolio Performance,” (A. Kane, H. White) Journal of Financial Econometrics, 8, 365-304, 2010.
“VAR for VaR: Measuring Systemic Risk Using Multivariate Regression Quantiles,” (H. White, S. Manganelli), Journal of Econometrics, 187, 169-188, 2015.
“Quantile Cointegration in the Autoregressive Distributed-Lag Modelling Framework,” (J.S. Cho, Y. Shin), Journal of Econometrics, 188, 281-300, 2015.
“A Residual-Based Test for Autocorrelation in Quantile Regression Models,” (L Huo, Kim and DJ Lee), Journal of Statistical Computation and Simulation, 87(7), 1305-1322, 2017.
"Impulse Response Analysis in Quantile Regression Models and an Application to Monetary Policy, (DJ Lee and P Mizen), Journal of Economic Dynamics & Control, 127, June, 2021.
“Dealing with Markov-Switching Parameters in Quantile Regression Models” (Y Kim, L. Huo), Communications in Statistics: Simulation and Computation, Vol 51, Issue 11, December, 2022.