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Tae-Hwan Kim

Personal Details

First Name:Tae-Hwan
Middle Name:
Last Name:Kim
Suffix:
RePEc Short-ID:pki53
[This author has chosen not to make the email address public]
http://web.yonsei.ac.kr/thkim/
School of Economics College of Business and Economics Yonsei University 134 Shinchon-dong, Seodaemun-gu Seoul, 120-749 Korea
+82-2-2123-5461

Affiliation

School of Economics
College of Business and Economics
Yonsei University

Seoul, South Korea
http://economics.yonsei.ac.kr/
RePEc:edi:deyonkr (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters

Working papers

  1. Yunmi Kim & Tae-Hwan Kim, 2024. "Generalized Impulse and Its Measure," Working papers 2024rwp-226, Yonsei University, Yonsei Economics Research Institute.
  2. Yunmi Kim & Lijuan Huo & Tae-Hwan Kim, 2020. "Dealing with Markov-Switching Parameters in Quantile Regression Models," Working papers 2020rwp-166, Yonsei University, Yonsei Economics Research Institute.
  3. Yunmi Kim & Sang-Wook Lee & Tae-Hwan Kim, 2020. "Does Political Orientation Affect Happiness? The Case of South Korea," Working papers 2020rwp-163, Yonsei University, Yonsei Economics Research Institute.
  4. Dong Jin Lee & Tae-Hwan Kim & Paul Mizen, 2020. "Impulse response analysis in conditional quantile models with an application to monetary policy," Discussion Papers 2020/08, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
  5. Tae-Hwan Kim & Christophe Muller, 2020. "Inconsistency transmission and variance reduction in two-stage quantile regression," Post-Print hal-02084505, HAL.
  6. Tae-Hwan Kim & Dong Jin Lee & Paul Mizen, 2020. "Impulse Response Analysis in Conditional Quantile Models and an Application to Monetary Policy," Working papers 2020rwp-164, Yonsei University, Yonsei Economics Research Institute.
  7. Yunmi Kim & Douglas Stone & Tae-Hwan Kim, 2020. "Testing for Structural Breaks in Return-Based Style Regression Models," Working papers 2020rwp-165, Yonsei University, Yonsei Economics Research Institute.
  8. Tae-Hwan Kim & Christophe Muller, 2017. "A Robust Test of Exogeneity Based on Quantile Regressions," AMSE Working Papers 1716, Aix-Marseille School of Economics, France.
  9. Tae-Hwan Kim & Hoon Hong & Jonghyun Park & Chung Sik Yoo & Jongick Jang, 2017. "Statistical Estimation of the Casual Effect of Scoial Economy on Subjective Well-Being," Working papers 2017rwp-104, Yonsei University, Yonsei Economics Research Institute.
  10. Christophe Muller, 2017. "Heterogeneity and Non-Constant Effect in Two-Stage Quantile Regression," Working Papers halshs-01157552, HAL.
  11. Tae-Hwan Kim & Christophe Muller, 2015. "A Particular Form of Non-Constant Effect in Two-Stage Quantile Regression," AMSE Working Papers 1522, Aix-Marseille School of Economics, France, revised May 2015.
  12. Woohwan Kim & Young Min Kim & Tae-Hwan Kim & Seungbeom Bang, 2015. "Multi-dimensional Risk and its Diversification," Working papers 2015rwp-81, Yonsei University, Yonsei Economics Research Institute.
  13. Lijuan Huo & Tae-Hwan Kim & Yunmi Kim, 2015. "Revisiting the Effect of FDI on Economic Growth using Quantile Regression," Working papers 2015rwp-83, Yonsei University, Yonsei Economics Research Institute.
  14. Manganelli, Simone & White, Halbert & Kim, Tae-Hwan, 2015. "VAR for VaR: measuring tail dependence using multivariate regression quantiles," Working Paper Series 1814, European Central Bank.
  15. Jin Seo Cho & Tae-Hwan Kim & Yongcheol Shin, 2014. "Quantile Cointegration in the Autoregressive Distributed-Lag Modelling Framework," Working papers 2014rwp-69, Yonsei University, Yonsei Economics Research Institute.
  16. Lijuan Huo & Tae-Hwan Kim & Yunmi Kim, 2014. "Revisiting Growth Empirics Based on IV Panel Quantile Regression," Working papers 2014rwp-72, Yonsei University, Yonsei Economics Research Institute.
  17. Yunmi Kim & Tae-Hwan Kim & Tolga Ergun, 2014. "The Instability of the Pearson Correlation Coefficient in the Presence of Coincidental Outliers," Working papers 2014rwp-74, Yonsei University, Yonsei Economics Research Institute.
  18. Soo-Bin Jeong & Bong-Hwan Kim & Tae-Hwan Kim & Hyung-Ho Moon, 2014. "Unit Root Tests In The Presence Of Multiple Breaks In Variance," Working papers 2014rwp-70, Yonsei University, Yonsei Economics Research Institute.
  19. Tae-Hwan Kim & Christophe Muller, 2013. "A Test for Endogeneity in Conditional Quantiles," AMSE Working Papers 1342, Aix-Marseille School of Economics, France, revised Aug 2013.
  20. 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.
  21. Tae-Hwan Kim & Christophe Muller, 2012. "A test for endogeneity in conditional quantile models," Working papers 2012rwp-49, Yonsei University, Yonsei Economics Research Institute.
  22. 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, France.
  23. 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.
  24. 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.
  25. Manganelli, Simone & White, Halbert & Kim, Tae-Hwan, 2008. "Modeling autoregressive conditional skewness and kurtosis with multi-quantile CAViaR," Working Paper Series 957, European Central Bank.
  26. 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.
  27. 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.
  28. Christophe Muller & Tae-Hwan Kim, 2005. "Two-Stage Huber Estimation," Working Papers. Serie AD 2005-17, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  29. Young-Sook Lee & Tae-Hwan Kim & Paul Newbold, 2004. "Spurious Nonlinear Regressions In Econometrics," Royal Economic Society Annual Conference 2004 27, Royal Economic Society.
  30. 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).
  31. Tae-Hwan Kim & Christophe Muller, 2004. "Bias Transmission In Two-Stage Estimation," Royal Economic Society Annual Conference 2004 73, Royal Economic Society.
  32. Steve Leybourne & Tae-Hwan Kim & Paul Newbold, 2003. "Behaviour of Dickey-Fuller Unit Root Tests Under Trend Misspecification," Econometrics 0311008, University Library of Munich, Germany.
  33. 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.
  34. 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.
  35. Steve Leybourne & Paul Newbold & Tae-Hwan Kim, 2003. "Examination Of Some More Powerful Modifications Of The Dickey- Fuller Test," Econometrics 0311007, University Library of Munich, Germany.
  36. 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.
  37. 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.
  38. Kim, Tae-Hwan & White, Halbert, 2000. "James-Stein Type Estimator in Large Samples with Application to the Least Absolute Deviations Estimator," University of California at San Diego, Economics Working Paper Series qt3mn102zs, Department of Economics, UC San Diego.

Articles

  1. Yunmi Kim & Douglas Stone & Tae-Hwan Kim, 2021. "Testing for structural breaks in return-based style regression models," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 35(1), pages 61-76, March.
  2. Lee, Dong Jin & Kim, Tae-Hwan & Mizen, Paul, 2021. "Impulse response analysis in conditional quantile models with an application to monetary policy," Journal of Economic Dynamics and Control, Elsevier, vol. 127(C).
  3. Kim, Yunmi & Lee, Sang-Wook & Kim, Tae-Hwan, 2020. "Does political orientation affect happiness? The case of South Korea," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 57, pages 102-118.
  4. Kim, Woohwan & Kim, Young Min & Kim, Tae-Hwan & Bang, Seungbeom, 2018. "Multi-dimensional portfolio risk and its diversification: A note," Global Finance Journal, Elsevier, vol. 35(C), pages 147-156.
  5. Soo-Bin Jeong & Bong-Hwan Kim & Tae-Hwan Kim & Hyung-Ho Moon, 2017. "Unit Root Tests In The Presence Of Multiple Breaks In Variance," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 62(02), pages 345-361, June.
  6. Lijuan Huo & Tae-Hwan Kim & Yunmi Kim, 2015. "Revisiting growth empirics based on IV panel quantile regression," Applied Economics, Taylor & Francis Journals, vol. 47(36), pages 3859-3873, August.
  7. White, Halbert & Kim, Tae-Hwan & Manganelli, Simone, 2015. "VAR for VaR: Measuring tail dependence using multivariate regression quantiles," Journal of Econometrics, Elsevier, vol. 187(1), pages 169-188.
  8. Cho, Jin Seo & Kim, Tae-hwan & Shin, Yongcheol, 2015. "Quantile cointegration in the autoregressive distributed-lag modeling framework," Journal of Econometrics, Elsevier, vol. 188(1), pages 281-300.
  9. Kim, Yunmi & Kim, Tae-Hwan & Ergün, Tolga, 2015. "The instability of the Pearson correlation coefficient in the presence of coincidental outliers," Finance Research Letters, Elsevier, vol. 13(C), pages 243-257.
  10. 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, vol. 34(2), pages 326-341.
  11. Sunku Hahn & Tae-Hwan Kim & Minho Kim, 2012. "The influence of school quality on housing prices in Korea," Applied Economics, Taylor & Francis Journals, vol. 44(8), pages 1021-1023, March.
  12. Huo, Lijuan & Kim, Tae-Hwan & Kim, Yunmi, 2012. "Robust estimation of covariance and its application to portfolio optimization," Finance Research Letters, Elsevier, vol. 9(3), pages 121-134.
  13. 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.
  14. 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.
  15. 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, vol. 41(8), pages 1705-1723, December.
  16. Steve Leybourne & Tae-Hwan Kim & Paul Newbold, 2008. "A more powerful modification of Johansen's cointegration tests," Applied Economics, Taylor & Francis Journals, vol. 40(6), pages 725-729.
  17. 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.
  18. 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, May.
  19. 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.
  20. 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, vol. 38(4), pages 395-413.
  21. 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.
  22. 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.
  23. 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.
  24. 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, May.
  25. Lee, Young-Sook & Kim, Tae-Hwan & Newbold, Paul, 2005. "Spurious nonlinear regressions in econometrics," Economics Letters, Elsevier, vol. 87(3), pages 301-306, June.
  26. 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.
  27. 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, July.
  28. 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, June.
  29. 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, September.
  30. 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.
  31. 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.
  32. 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.
  33. 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.
  34. 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, September.
  35. 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.
  36. Stephen J. Leybourne & Paul Newbold & Dimitrios Vougas & Tae‐Hwan Kim, 2002. "A Direct Test for Cointegration Between a Pair of Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 23(2), pages 173-191, March.
  37. 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.
  38. 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.
  39. Tae‐Hwan Kim & Stephen J. Leybourne & Paul Newbold, 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 433-444, August.
    RePEc:bla:obuest:v:62:y:2000:i:3:p:433-44 is not listed on IDEAS
    RePEc:taf:apfiec:v:14:y:2004:i:14:p:1035-1043 is not listed on IDEAS

Chapters

  1. Tae-Hwan Kim & Halbert White, 2003. "Estimation, Inference, And Specification Testing For Possibly Misspecified Quantile Regression," Advances in Econometrics, in: Maximum Likelihood Estimation of Misspecified Models: Twenty Years Later, pages 107-132, Emerald Group Publishing Limited.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Rankings

This author is among the top 5% authors according to these criteria:
  1. Number of Citations, Discounted by Citation Age
  2. Number of Registered Citing Authors
  3. Number of Registered Citing Authors, Weighted by Rank (Max. 1 per Author)
  4. Wu-Index

Co-authorship network on CollEc

Featured entries

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

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 31 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (20) 2003-11-23 2003-11-23 2004-08-30 2004-09-30 2006-02-05 2012-10-27 2012-11-24 2012-11-24 2013-03-09 2013-08-31 2015-03-13 2015-03-13 2015-03-13 2015-06-20 2015-06-27 2017-05-28 2020-03-09 2020-03-09 2020-03-09 2020-04-06. Author is listed
  2. NEP-ETS: Econometric Time Series (9) 2003-11-23 2003-11-23 2004-09-30 2012-11-24 2013-03-09 2015-03-13 2015-03-13 2015-03-13 2020-12-14. Author is listed
  3. NEP-MON: Monetary Economics (5) 2003-06-16 2007-04-09 2013-03-09 2020-03-09 2020-12-14. Author is listed
  4. NEP-CBA: Central Banking (3) 2007-04-09 2013-03-09 2020-12-14
  5. NEP-RMG: Risk Management (3) 2012-11-24 2015-06-27 2015-07-04
  6. NEP-BAN: Banking (2) 2012-11-24 2015-07-04
  7. NEP-GRO: Economic Growth (2) 2015-03-13 2015-09-18
  8. NEP-MAC: Macroeconomics (2) 2007-04-09 2013-03-09
  9. NEP-ARA: MENA - Middle East and North Africa (1) 2020-04-06
  10. NEP-CDM: Collective Decision-Making (1) 2017-08-20
  11. NEP-DCM: Discrete Choice Models (1) 2003-06-16
  12. NEP-ENE: Energy Economics (1) 2024-07-08
  13. NEP-FDG: Financial Development and Growth (1) 2015-03-13
  14. NEP-HAP: Economics of Happiness (1) 2017-08-20
  15. NEP-INT: International Trade (1) 2015-09-18
  16. NEP-ORE: Operations Research (1) 2015-06-27
  17. NEP-URE: Urban and Real Estate Economics (1) 2017-08-20

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