Yoon-Jae Whang

Selected Publications

Doubly robust uniform confidence band for the conditional average treatment effect function

In this paper, we propose a doubly robust method to present the heterogeneity of the average […]

Sokbae (Simon) Lee, Ryo Okui, Yoon-Jae Whang
10 January 2016 | CWP03/16
Testing for a general class of functional inequalities

In this paper, we propose a general method for testing inequality restrictions on nonparametric functions. Our […]

Sokbae (Simon) Lee, Kyungchui (Kevin) Song, Yoon-Jae Whang
6 March 2014 | CWP09/14
The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series

This paper proposes the cross-quantilogram to measure the quantile dependence between two time series. We apply […]

Heejoon Han, Oliver Linton, Tatsushi Oka, Yoon-Jae Whang
20 February 2014 | CWP06/14

Latest version

The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series
Heejoon Han, Oliver Linton, Tatsushi Oka, Yoon-Jae Whang
1 July 2016 | Journal Article
A nonparametric test of a strong leverage hypothesis

The so-called leverage hypothesis is that negative shocks to prices/ returns affect volatility more than equal […]

Oliver Linton, Yoon-Jae Whang, Yu-Min Yen
1 July 2013 | CWP28/13

Latest version

A nonparametric test of a strong leverage hypothesis
Oliver Linton, Yoon-Jae Whang, Yu-Min Yen
1 September 2016 | Journal Article

Previous version

A nonparametric test of the leverage hypothesis
Oliver Linton, Yoon-Jae Whang, Yu-Min Yen
13 September 2012 | CWP24/12
Testing for the stochastic dominance efficiency of a given portfolio

We propose a new statistical test of the stochastic dominance efficiency of a given portfolio over […]

Oliver Linton, Yoon-Jae Whang
21 September 2012 | CWP27/12

Latest version

Testing for the stochastic dominance efficiency of a given portfolio
Oliver Linton, Thierry Post, Yoon-Jae Whang
1 June 2014 | Journal Article
A nonparametric test of the leverage hypothesis

The so-called leverage hypothesis is that negative shocks to prices/returns aff ect volatility more than equal […]

Oliver Linton, Yoon-Jae Whang, Yu-Min Yen
13 September 2012 | CWP24/12

Latest version

A nonparametric test of a strong leverage hypothesis
Oliver Linton, Yoon-Jae Whang, Yu-Min Yen
1 July 2013 | CWP28/13
Testing functional inequalities

This paper develops tests for inequality constraints of nonparametric regression functions. The test statistics involve a […]

Sokbae (Simon) Lee, Kyungchui (Kevin) Song, Yoon-Jae Whang
22 February 2011 | CWP12/11

Latest version

Testing functional inequalities
Sokbae (Simon) Lee, Song, Kyungchul, Yoon-Jae Whang
31 January 2013 | Journal Article
Nonparametric tests of conditional treatment effects

We develop a general class of nonparametric tests for treatment effects conditional on covariates. We consider […]

Sokbae (Simon) Lee, Yoon-Jae Whang
6 December 2009 | CWP36/09

Latest version

Nonparametric tests of conditional treatment effects with an application to single-sex schooling on academic achievements
Minsu Chang, Sokbae (Simon) Lee, Yoon-Jae Whang
30 October 2015 | Journal Article
Nonparametric estimation of a polarization measure

This paper develops methodology for nonparametric estimation of a polarization measure due to Anderson (2004) and […]

Gordon Anderson, Oliver Linton, Yoon-Jae Whang
15 June 2009 | CWP14/09
Testing for stochastic monotonicity

We propose a test of the hypothesis of stochastic monotonicity. This hypothesis is of interest in […]

Sokbae (Simon) Lee, Oliver Linton, Yoon-Jae Whang
31 July 2008 | CWP21/08

Latest version

Testing for stochastic monotonicity
Sokbae (Simon) Lee, Oliver Linton
1 March 2009 | Journal Article