Details about Heejoon Han

Access statistics for papers by Heejoon Han.

Last updated 2024-03-07. Update your information in the RePEc Author Service.

Short-id: pha400

Working Papers

2016

1. Quantile Dependence between Stock Markets and its Application in Volatility Forecasting
   Papers, arXiv.org View citations (2)

2015

2. Modeling and predicting the market volatility index: The case of VKOSPI
   Economics Discussion Papers, Kiel Institute for the World Economy (IfW Kiel) View citations (5)

2014

3. The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series
   Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (6)
   Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2014) View citations (6)
   CeMMAP working papers, Institute for Fiscal Studies (2014)
   See also Journal Article The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series, Journal of Econometrics, Elsevier (2016) View citations (274) (2016)

2013

4. Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates
   CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies
   Also in CeMMAP working papers, Institute for Fiscal Studies (2013)
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2012) View citations (2)
   See also Journal Article Asymptotic Theory for the QMLE in GARCH-X Models With Stationary and Nonstationary Covariates, Journal of Business & Economic Statistics, Taylor & Francis Journals (2014) View citations (48) (2014)

2006

5. Time series properties of ARCH processes with persistent covariates
   MPRA Paper, University Library of Munich, Germany
   See also Journal Article Time series properties of ARCH processes with persistent covariates, Journal of Econometrics, Elsevier (2008) View citations (16) (2008)

Journal Articles

2024

1. Estimation and Inference of Quantile Impulse Response Functions by Local Projections: With Applications to VaR Dynamics*
   Journal of Financial Econometrics, 2024, 22, (1), 1-29

2022

2. Multi-Step-Ahead Forecasting of the CBOE Volatility Index in a Data-Rich Environment: Application of Random Forest with Boruta Algorithm
   Korean Economic Review, 2022, 38, 541-569

2021

3. The tail behavior of safe haven currencies: A cross-quantilogram analysis
   Journal of International Financial Markets, Institutions and Money, 2021, 70, (C) View citations (25)

2020

4. Triple Regime Stochastic Volatility Model with Threshold and Leverage Effects
   Korean Economic Review, 2020, 36, 481-509 View citations (1)
5. World distribution of income for 1970–2010: dramatic reduction in world income inequality during the 2000s
   Empirical Economics, 2020, 59, (2), 765-798 View citations (1)

2019

6. Carry trades and endogenous regime switches in exchange rate volatility
   Journal of International Financial Markets, Institutions and Money, 2019, 58, (C), 255-268 View citations (15)

2018

7. Modeling the Dynamics between Stock Price and Dividend: An Endogenous Regime Switching Approach
   Korean Economic Review, 2018, 34, 213-235

2016

8. Quantile Dependence between Foreign Exchange Market and Stock Market: The Case of Korea
   East Asian Economic Review, 2016, 20, (4), 519-544 View citations (4)
9. The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series
   Journal of Econometrics, 2016, 193, (1), 251-270 View citations (274)
   See also Working Paper The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series, Cambridge Working Papers in Economics (2014) View citations (6) (2014)

2015

10. A Multiplicative Error Model with Heterogeneous Components for Forecasting Realized Volatility
    Journal of Forecasting, 2015, 34, (3), 209-219 View citations (3)
11. Asymptotic Properties of GARCH-X Processes
    Journal of Financial Econometrics, 2015, 13, (1), 188-221 View citations (19)
12. Effects of the US stock market return and volatility on the VKOSPI
    Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), 2015, 9, 1-34 View citations (20)

2014

13. Asymptotic Theory for the QMLE in GARCH-X Models With Stationary and Nonstationary Covariates
    Journal of Business & Economic Statistics, 2014, 32, (3), 416-429 View citations (48)
    See also Working Paper Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates, CeMMAP working papers (2013) (2013)
14. GARCH with omitted persistent covariate
    Economics Letters, 2014, 124, (2), 248-254 View citations (2)

2013

15. Comparison of Realized Measure and Implied Volatility in Forecasting Volatility
    Journal of Forecasting, 2013, 32, (6), 522-533 View citations (10)

2012

16. ARCH/GARCH with persistent covariate: Asymptotic theory of MLE
    Journal of Econometrics, 2012, 167, (1), 95-112 View citations (14)
17. Non‐stationary non‐parametric volatility model
    Econometrics Journal, 2012, 15, (2), 204-225 View citations (3)

2008

18. Time series properties of ARCH processes with persistent covariates
    Journal of Econometrics, 2008, 146, (2), 275-292 View citations (16)
    See also Working Paper Time series properties of ARCH processes with persistent covariates, MPRA Paper (2006) (2006)