Halbert L. White, Jr.

University of California, San Diego (UCSD) - Department of Economics

Professor

9500 Gilman Drive

La Jolla, CA 92093-0508

United States

http://www.econ.ucsd.edu/~mbacci/white/

  • University of California, San Diego (UCSD) - Department of Economics

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    • Tel: 858-534-3502
    • Fax: 858-534-7040
SCHOLARLY PAPERS

24

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Top 6,266

in Total Papers Citations

166

Scholarly Papers (24)

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1.

Can Mutual Fund 'Stars' Really Pick Stocks? New Evidence from a Bootstrap Analysis

Downloads 1,551 (25,384)
Citation 93

Can Mutual Fund 'Stars' Really Pick Stocks? New Evidence from a Bootstrap Analysis

Number of pages: 56 Posted: 28 Nov 2005 Last Revised: 17 Oct 2013
Robert Kosowski, Allan Timmermann, Russ Wermers and Halbert L. White Jr.
Imperial College Business School, UCSD, University of Maryland - Robert H. Smith School of Business and University of California, San Diego (UCSD) - Department of Economics
Downloads 1,551 (24,938)
Citation 93

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mutual funds, performance evaluation, bootstrap

Can Mutual Fund 'Stars' Really Pick Stocks? New Evidence from a Bootstrap Analysis

Journal of Finance, Vol. 61, No. 6, December 2006
Posted: 19 Dec 2011
Robert Kosowski, Allan Timmermann, Russ Wermers and Halbert L. White Jr.
Imperial College Business School, UCSD, University of Maryland - Robert H. Smith School of Business and University of California, San Diego (UCSD) - Department of Economics

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mutual funds, performance evaluation, bootstrap

2.

A Three Line Proof that OLS is BLUE

Number of pages: 2 Posted: 04 May 2012
Halbert L. White Jr. and Jin Seo Cho
University of California, San Diego (UCSD) - Department of Economics and Yonsei University - Department of Economics
Downloads 1,455 (27,939)
Citation 1

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efficiency, Gauss-Markov, OLS estimator

3.

Plus Factors and Agreement in Antitrust Law

Michigan Law Review, Vol. 110, No. 3, p. 393-436, 2011, GWU Legal Studies Research Paper No. 2012-1, GWU Law School Public Law Research Paper No. 2012-1
Number of pages: 45 Posted: 06 Jan 2012 Last Revised: 03 Nov 2014
William E. Kovacic, Robert C. Marshall, Leslie M. Marx and Halbert L. White Jr.
George Washington University - Law School, Pennsylvania State University, College of the Liberal Arts - Department of Economic, Duke University - Fuqua School of Business, Economics Group and University of California, San Diego (UCSD) - Department of Economics
Downloads 805 (64,826)
Citation 3

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Horizontal price restraints, Horizontal output restraints, Cartels, Collusion, Concerted Action, Sherman Act, Plus Factors, Buyer Actions

4.

Modeling Autoregressive Conditional Skewness and Kurtosis with Multi-Quantile CAViaR

ECB Working Paper No. 957
Number of pages: 40 Posted: 20 Nov 2008
Halbert L. White Jr., Tae-Hwan Kim and Simone Manganelli
University of California, San Diego (UCSD) - Department of Economics, University of Nottingham - School of Economics and European Central Bank (ECB)
Downloads 372 (167,692)
Citation 1

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Asset returns, CAViaR, Conditional quantiles, Dynamic quantiles, Kurtosis, Skewness

5.

Asymptotic and Bayesian Confidence Intervals for Sharpe Style Weights

Downloads 262 (243,194)
Citation 8

Asymptotic and Bayesian Confidence Intervals for Sharpe Style Weights

UCSD Economics Discussion Paper 2000-27
Number of pages: 42 Posted: 12 Jan 2001
Tae-Hwan Kim, Douglas Stone and Halbert L. White Jr.
University of Nottingham - School of Economics, Nicholas Applegate Capital Management and University of California, San Diego (UCSD) - Department of Economics
Downloads 262 (241,615)
Citation 8

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Sharpe Style Regression, Non-negativity, Linear-Quadratic Optimization, Prior Density, Bayesian Highest Posterior Density Interval

Asymptotic and Bayesian Confidence Intervals for Sharpe-Style Weights

Journal of Financial Econometrics, Vol. 3, pp. 315-343, 2005
Posted: 29 Feb 2008
Tae-Hwan Kim, Halbert L. White Jr. and Douglas Stone
University of Nottingham - School of Economics, University of California, San Diego (UCSD) - Department of Economics and Nicholas Applegate Capital Management

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Bayesian highest posterior density interval, linear-quadratic optimization, nonnegativity, Sharpe-style regression

6.

Estimation, Inference, and Specification Testing for Possibly Misspecified Quantile Regression

U of California San Diego, Economics Discussion Paper No. 2002-09
Number of pages: 33 Posted: 30 Jul 2002
Halbert L. White Jr. and Tae-Hwan Kim
University of California, San Diego (UCSD) - Department of Economics and University of Nottingham - School of Economics
Downloads 249 (256,063)
Citation 8

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Quantile Estimation, Misspecification, Asymptotic Normality, Aysmptotic Covariance Matrix

7.

A Subsampling Approach to Estimating the Distribution of Diversing Statistics with Application to Assessing Financial Market Risks

UPF, Economics and Business Working Paper No. 599
Number of pages: 39 Posted: 24 Oct 2002
Patrice Bertail, Christian Haefke, Dimitris N. Politis and Halbert L. White Jr.
University Paris-Ouest and CREST-Insee, Institute for Advanced Studies (IHS), University of California, San Diego (UCSD) - Department of Mathematics and University of California, San Diego (UCSD) - Department of Economics
Downloads 235 (270,947)
Citation 2

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Resampling methods, extreme value statistics, value at risk, portofolio selection

8.

Central Limit and Functional Central Limit Theorems for Hilbert-Valued Dependent Heterogeneous Arrays with Applications

UCSD Economics Discussion Paper 92-35R
Number of pages: 35 Posted: 06 Jan 1998
Xiaohong Chen and Halbert L. White Jr.
Yale University - Cowles Foundation and University of California, San Diego (UCSD) - Department of Economics
Downloads 222 (286,206)

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9.

Bootstrapping the Information Matrix Test

UCSD Economics Working Paper No. 2000-04
Number of pages: 103 Posted: 22 Nov 2000
Christopher Stomberg and Halbert L. White Jr.
University of California, San Diego (UCSD) - Department of Economics and University of California, San Diego (UCSD) - Department of Economics
Downloads 202 (312,857)
Citation 2

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Information Matrix Testing, Specification Testing, Misspecification, QMLE, Nonparametric Bootstrap, Parametric Bootstrap, Monte Carlo, White Test, Probit Model, Linear Regression Model

10.

VAR for VaR: Measuring Tail Dependence Using Multivariate Regression Quantiles

ECB Working Paper No. 1814
Number of pages: 50 Posted: 23 Jun 2015
Halbert L. White Jr., Tae-Hwan Kim and Simone Manganelli
University of California, San Diego (UCSD) - Department of Economics, University of Nottingham - School of Economics and European Central Bank (ECB)
Downloads 187 (335,817)
Citation 18

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CAViaR; codependence; quantile impulse-responses; spillover

11.

James-Stein Type Estimators in Large Samples with Application to the Least Absolute Deviations Estimator

UCSD Economics Discussion Paper 99-04R
Number of pages: 26 Posted: 17 Jan 2001
Tae-Hwan Kim and Halbert L. White Jr.
University of Nottingham - School of Economics and University of California, San Diego (UCSD) - Department of Economics
Downloads 185 (339,231)
Citation 1

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12.

Maximum Likelihood and the Bootstrap for Nonlinear Dynamic Models

UCSD Department of Economics Working paper 2000-32R
Number of pages: 45 Posted: 17 Jan 2001
Sílvia Gonçalves and Halbert L. White Jr.
University of Montreal - Department of Economics and University of California, San Diego (UCSD) - Department of Economics
Downloads 185 (339,231)
Citation 12

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Block bootstrap, Quasi-Maximum Likelihood Estimator, Nonlinear Dynamic Model, Near Epoch Dependence, Wald Test

13.

Asymptotic Properties of Some Projection-Based Robbins-Monro Procedures in a Hilbert Space

U of California, Economics Working Paper No. 2002-07
Number of pages: 77 Posted: 05 Jun 2002
Xiaohong Chen and Halbert L. White Jr.
Yale University - Cowles Foundation and University of California, San Diego (UCSD) - Department of Economics
Downloads 137 (437,200)
Citation 3

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Recursive Estimation, Non-Parametric Estimation, Hilbert Space, Generalized Method of Moments

14.

Hypernormal Densities

UCSD, Economics Working Paper No. 2002-14, Universitat Pompeu Fabra Working Paper No
Number of pages: 42 Posted: 17 Dec 2002
Raffaella Giacomini, Andreas Gottschling, Christian Haefke and Halbert L. White Jr.
University College London - Department of Economics, Banking Consultants and Systems GmbH, Institute for Advanced Studies (IHS) and University of California, San Diego (UCSD) - Department of Economics
Downloads 136 (439,767)
Citation 3

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ARMA-GARCH models, Neutral Networks, Nonparametric Density Estimation, Forecast Accuracy

15.

A Flexible Nonparametric Test for Conditional Independence

Number of pages: 40 Posted: 11 Jun 2013
Meng Huang, Yixiao Sun and Halbert L. White Jr.
Freddie Mac, University of California, San Diego (UCSD) - Department of Economics and University of California, San Diego (UCSD) - Department of Economics
Downloads 105 (535,637)
Citation 6

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Conditional Independence, Generically Comprehensively Revealing, Nonparametric Test

16.

Testing for Monotonicity in Unobservables Under Unconfoundedness

Number of pages: 50 Posted: 13 Jun 2014
Stefan Hoderlein, Liangjun Su, Halbert L. White Jr. and Thomas Yang
Boston College, Tsinghua University, University of California, San Diego (UCSD) - Department of Economics and Boston College
Downloads 104 (539,333)
Citation 3

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Control variables, Covariates, Endogenous variables, Exogeneity, Monotonicity, Nonparametric, Nonseparable, Specification test, Unobserved heterogeneity

17.

Granger Causality, Exogeneity, Cointegration, and Economic Policy Analysis

Number of pages: 36 Posted: 30 Nov 2012
Davide Pettenuzzo and Halbert L. White Jr.
Brandeis University - International Business School and University of California, San Diego (UCSD) - Department of Economics
Downloads 84 (618,401)
Citation 1

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18.

Forecast Evaluation with Shared Data Sets

Number of pages: 24 Posted: 02 Dec 2001
Ryan Sullivan, Allan Timmermann and Halbert L. White Jr.
Bates White & Ballentine, UCSD and University of California, San Diego (UCSD) - Department of Economics
Downloads 29 (989,769)
Citation 1
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Forecast evaluation, bootstrap, data sharing, calendar effects, technical trading

19.

Granger Causality and Dynamic Structural Systems

Journal of Financial Econometrics, Vol. 8, Issue 2, pp. 193-243, 2010
Posted: 29 Mar 2010
Halbert L. White Jr. and Xun Lu
University of California, San Diego (UCSD) - Department of Economics and affiliation not provided to SSRN

Abstract:

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C30, C32, C45, C51, E65, causality, conditional exogeneity, exogeneity, natural experiments, structural equations, vector autoregression

20.

Inference on Risk-Neutral Measures for Incomplete Markets

Journal of Financial Econometrics, Vol. 7, Issue 3, pp. 199-246, 2009
Posted: 30 Jun 2009
Hiroaki Kaido and Halbert L. White Jr.
Boston University - Department of Economics and University of California, San Diego (UCSD) - Department of Economics

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C12, C13, G12, incomplete markets, partial identification, risk-neutral measure, set estimation

21.

A Comparison of Complementary Automatic Modeling Methods: Retina and Pcgets

Econometric Theory, Vol. 21, No. 1, pp. 262-277, February 1, 2005
Posted: 26 Mar 2006
Teodosio Perez Amaral, Giampiero M. Gallo and Halbert L. White Jr.
Complutense University of Madrid - Facultad de Económicas y Empresariales, Corte dei Conti - Italian Court of Audits and University of California, San Diego (UCSD) - Department of Economics

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22.

Dangers of Data-Driven Inference: The Case of Calendar Effects in Stock Returns

UCSD Economics Discussion Paper 98-16
Posted: 20 Aug 1998
Ryan Sullivan, Allan Timmermann and Halbert L. White Jr.
Bates White & Ballentine, UCSD and University of California, San Diego (UCSD) - Department of Economics

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23.

A Model Selection Approach to Real-Time Macroeconomic Forecasting Using Linear Models and Artificial Neural Networks

Review of Economics and Statistics, Vol. 79, No. 4, November 1997
Posted: 22 Mar 1998
Norman R. Swanson, Norman R. Swanson and Halbert L. White Jr.
Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics and University of California, San Diego (UCSD) - Department of Economics

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24.

Data-Snooping, Technical Trading Rule Performance, and the Bootstrap

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Data-Snooping, Technical Trading Rule Performance, and the Bootstrap

Posted: 18 May 1999
Ryan Sullivan, Allan Timmermann and Halbert L. White Jr.
Bates White & Ballentine, UCSD and University of California, San Diego (UCSD) - Department of Economics

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Data-Snooping, Technical Trading Rule Performance, and the Bootstrap

University of California at San Diego, Department of Economics, Discussion Paper No. 97-31
Posted: 08 Mar 1998
Ryan Sullivan, Allan Timmermann and Halbert L. White Jr.
Bates White & Ballentine, UCSD and University of California, San Diego (UCSD) - Department of Economics

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