Heejoon Han
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Identifer
Contact
Affiliations
-
Sungkyunkwan University
/ School of Economics
Research profile
author of:
- Asymptotic Theory for the QMLE in GARCH-X Models with Stationary and Non-Stationary Covariates (RePEc:aah:create:2012-25)
by Heejoon Han & Dennis Kristensen - Quantile Dependence between Stock Markets and its Application in Volatility Forecasting (RePEc:arx:papers:1608.07193)
by Heejoon Han - The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series (RePEc:azt:cemmap:06/14)
by Heejoon Han & Oliver Linton & Tatsushi Oka & Yoon-Jae Whang - Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates (RePEc:azt:cemmap:18/13)
by Heejoon Han & Dennis Kristensen - The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series (RePEc:cam:camdae:1452)
by Heejoon Han & Oliver Linton & Tatsushi Oka & Yoon-Jae Whang - GARCH with omitted persistent covariate (RePEc:eee:ecolet:v:124:y:2014:i:2:p:248-254)
by Han, Heejoon & Park, Joon Y. - Time series properties of ARCH processes with persistent covariates (RePEc:eee:econom:v:146:y:2008:i:2:p:275-292)
by Han, Heejoon & Park, Joon Y. - ARCH/GARCH with persistent covariate: Asymptotic theory of MLE (RePEc:eee:econom:v:167:y:2012:i:1:p:95-112)
by Han, Heejoon & Park, Joon Y. - The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series (RePEc:eee:econom:v:193:y:2016:i:1:p:251-270)
by Han, Heejoon & Linton, Oliver & Oka, Tatsushi & Whang, Yoon-Jae - Carry trades and endogenous regime switches in exchange rate volatility (RePEc:eee:intfin:v:58:y:2019:i:c:p:255-268)
by Cho, Dooyeon & Han, Heejoon & Lee, Na Kyeong - The tail behavior of safe haven currencies: A cross-quantilogram analysis (RePEc:eee:intfin:v:70:y:2021:i:c:s1042443120301414)
by Cho, Dooyeon & Han, Heejoon - The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series (RePEc:ifs:cemmap:06/14)
by Heejoon Han & Oliver Linton & Tatsushi Oka & Yoon-Jae Whang - Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates (RePEc:ifs:cemmap:18/13)
by Heejoon Han & Dennis Kristensen - Modeling the Dynamics between Stock Price and Dividend: An Endogenous Regime Switching Approach (RePEc:kea:keappr:ker-20180701-34-2-05)
by Heejoon Han & Na Kyeong Lee - Triple Regime Stochastic Volatility Model with Threshold and Leverage Effects (RePEc:kea:keappr:ker-20200701-36-2-07)
by Heejoon Han & Eunhee Lee - Multi-Step-Ahead Forecasting of the CBOE Volatility Index in a Data-Rich Environment: Application of Random Forest with Boruta Algorithm (RePEc:kea:keappr:ker-20220701-38-3-07)
by Byung Yeon Kim & Heejoon Han - Asymptotic Properties of GARCH-X Processes (RePEc:oup:jfinec:v:13:y:2015:i:1:p:188-221.)
by Heejoon Han - Time series properties of ARCH processes with persistent covariates (RePEc:pra:mprapa:5199)
by Han, Heejoon & Park, Joon Y. - Quantile Dependence between Foreign Exchange Market and Stock Market: The Case of Korea (RePEc:ris:eaerev:0005)
by Han, Heejoon & Lee, Na Kyeong - World distribution of income for 1970–2010: dramatic reduction in world income inequality during the 2000s (RePEc:spr:empeco:v:59:y:2020:i:2:d:10.1007_s00181-019-01657-w)
by Soondong Hong & Heejoon Han & Chang Sik Kim - Asymptotic Theory for the QMLE in GARCH-X Models With Stationary and Nonstationary Covariates (RePEc:taf:jnlbes:v:32:y:2014:i:3:p:416-429)
by Heejoon Han & Dennis Kristensen - Non‐stationary non‐parametric volatility model (RePEc:wly:emjrnl:v:15:y:2012:i:2:p:204-225)
by Heejoon Han & Shen Zhang - Comparison of Realized Measure and Implied Volatility in Forecasting Volatility (RePEc:wly:jforec:v:32:y:2013:i:6:p:522-533)
by Heejoon Han & Myung D. Park - A Multiplicative Error Model with Heterogeneous Components for Forecasting Realized Volatility (RePEc:wly:jforec:v:34:y:2015:i:3:p:209-219)
by Heejoon Han & Myung D. Park & Shen Zhang - Modeling and predicting the market volatility index: The case of VKOSPI (RePEc:zbw:ifwedp:20157)
by Han, Heejoon & Kutan, Ali M. & Ryu, Doojin - Effects of the US stock market return and volatility on the VKOSPI (RePEc:zbw:ifweej:201535)
by Han, Heejoon & Kutan, Ali M. & Ryu, Doojin