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Heejoon Han
Heejoon Han
Dirección de correo verificada de skku.edu - Página principal
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The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series
H Han, O Linton, T Oka, YJ Whang
Journal of Econometrics 193 (1), 251-270, 2016
3672016
Asymptotic theory for the QMLE in GARCH-X models with stationary and nonstationary covariates
H Han, D Kristensen
Journal of business & economic statistics 32 (3), 416-429, 2014
1152014
Asymptotic properties of GARCH-X processes
H Han
Journal of Financial Econometrics 13 (1), 188-221, 2015
642015
Time series properties of ARCH processes with persistent covariates
H Han, JY Park
Journal of Econometrics 146 (2), 275-292, 2008
442008
The tail behavior of safe haven currencies: A cross-quantilogram analysis
D Cho, H Han
Journal of International Financial Markets, Institutions and Money 70, 101257, 2021
432021
Carry trades and endogenous regime switches in exchange rate volatility
D Cho, H Han, NK Lee
Journal of International Financial Markets, Institutions and Money 58, 255-268, 2019
302019
Comparison of realized measure and implied volatility in forecasting volatility
H Han, MD Park
Journal of Forecasting 32 (6), 522-533, 2013
292013
World distribution of income for 1970–2010: dramatic reduction in world income inequality during the 2000s
S Hong, H Han, CS Kim
Empirical Economics 59 (2), 765-798, 2020
222020
ARCH/GARCH with persistent covariate: Asymptotic theory of MLE
H Han, JY Park
Journal of Econometrics 167 (1), 95-112, 2012
222012
Estimation and inference of quantile impulse response functions by local projections: With applications to VaR dynamics
H Han, W Jung, JH Lee
Journal of Financial Econometrics 22 (1), 1-29, 2024
162024
Non‐stationary non‐parametric volatility model
H Han, S Zhang
The Econometrics Journal 15 (2), 204-225, 2012
152012
Semiparametric multiplicative GARCH-X model: Adopting economic variables to explain volatility
H Han, D Kristensen
Toulouse, France: Toulouse School of Economics, 2015
142015
A multiplicative error model with heterogeneous components for forecasting realized volatility
H Han, MD Park, S Zhang
Journal of Forecasting 34 (3), 209-219, 2015
112015
GARCH with omitted persistent covariate
H Han, JY Park
Economics letters 124 (2), 248-254, 2014
102014
Quantile dependence between foreign exchange market and stock market: The case of Korea
H Han, NK Lee
East Asian Economic Review 20 (4), 519-544, 2016
62016
Quantile dependence between stock markets and its application in volatility forecasting
H Han
arXiv preprint arXiv:1608.07193, 2016
62016
Semiparametric arch-x model for leverage effect and long memory in stock return volatility
S Zhang, H Han
J Econ Theory Econom 25, 81-100, 2014
32014
GARCH process with persistent covariates
H Han
RMI working paper 08/01, National University of Singapore, 2008
22008
Triple Regime Stochastic Volatility Model with Threshold and Leverage Effects
H Han, E Lee
The Korean Economic Review 36 (2), 481-509, 2020
12020
Quantile dependence between stock markets and its application in volatility forecasting
H Han
계량경제학보 30 (1), 96-142, 2019
12019
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Artículos 1–20