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Details about Heejoon Han

Homepage:https://sites.google.com/site/heejoonecon/
Phone:+82-2-760-0428
Workplace:School of Economics, Sungkyunkwan University, (more information at EDIRC)

Access statistics for papers by Heejoon Han.

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

Short-id: pha400


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Working Papers

2016

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

2015

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

2014

  1. The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (6)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2014) Downloads View citations (4)
    CeMMAP working papers, Institute for Fiscal Studies (2014) Downloads

    See also Journal Article The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series, Journal of Econometrics, Elsevier (2016) Downloads View citations (219) (2016)

2013

  1. Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates
    CeMMAP working papers, Institute for Fiscal Studies Downloads
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2013) Downloads
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2012) Downloads 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) Downloads View citations (45) (2014)

2006

  1. Time series properties of ARCH processes with persistent covariates
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article Time series properties of ARCH processes with persistent covariates, Journal of Econometrics, Elsevier (2008) Downloads View citations (15) (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 Downloads

2022

  1. 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 Downloads

2021

  1. The tail behavior of safe haven currencies: A cross-quantilogram analysis
    Journal of International Financial Markets, Institutions and Money, 2021, 70, (C) Downloads View citations (20)

2020

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

2019

  1. Carry trades and endogenous regime switches in exchange rate volatility
    Journal of International Financial Markets, Institutions and Money, 2019, 58, (C), 255-268 Downloads View citations (13)

2018

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

2016

  1. Quantile Dependence between Foreign Exchange Market and Stock Market: The Case of Korea
    East Asian Economic Review, 2016, 20, (4), 519-544 Downloads View citations (4)
  2. The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series
    Journal of Econometrics, 2016, 193, (1), 251-270 Downloads View citations (219)
    See also Working Paper The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series, Cambridge Working Papers in Economics (2014) Downloads View citations (6) (2014)

2015

  1. A Multiplicative Error Model with Heterogeneous Components for Forecasting Realized Volatility
    Journal of Forecasting, 2015, 34, (3), 209-219 Downloads View citations (3)
  2. Asymptotic Properties of GARCH-X Processes
    Journal of Financial Econometrics, 2015, 13, (1), 188-221 Downloads View citations (18)
  3. 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 Downloads View citations (20)

2014

  1. Asymptotic Theory for the QMLE in GARCH-X Models With Stationary and Nonstationary Covariates
    Journal of Business & Economic Statistics, 2014, 32, (3), 416-429 Downloads View citations (45)
    See also Working Paper Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates, CeMMAP working papers (2013) Downloads (2013)
  2. GARCH with omitted persistent covariate
    Economics Letters, 2014, 124, (2), 248-254 Downloads View citations (2)

2013

  1. Comparison of Realized Measure and Implied Volatility in Forecasting Volatility
    Journal of Forecasting, 2013, 32, (6), 522-533 View citations (8)

2012

  1. ARCH/GARCH with persistent covariate: Asymptotic theory of MLE
    Journal of Econometrics, 2012, 167, (1), 95-112 Downloads View citations (11)
  2. Non‐stationary non‐parametric volatility model
    Econometrics Journal, 2012, 15, (2), 204-225 View citations (3)

2008

  1. Time series properties of ARCH processes with persistent covariates
    Journal of Econometrics, 2008, 146, (2), 275-292 Downloads View citations (15)
    See also Working Paper Time series properties of ARCH processes with persistent covariates, MPRA Paper (2006) Downloads (2006)
 
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