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Heejoon Han

Personal Details

First Name:Heejoon
Middle Name:
Last Name:Han
Suffix:
RePEc Short-ID:pha400
[This author has chosen not to make the email address public]
https://sites.google.com/site/heejoonecon/
+82-2-760-0428
Terminal Degree:2006 Department of Economics; Rice University (from RePEc Genealogy)

Affiliation

School of Economics
Sungkyunkwan University

Seoul, South Korea
http://ecostat.skku.edu/
RePEc:edi:seskkkr (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Heejoon Han, 2016. "Quantile Dependence between Stock Markets and its Application in Volatility Forecasting," Papers 1608.07193, arXiv.org.
  2. Han, Heejoon & Kutan, Ali M. & Ryu, Doojin, 2015. "Modeling and predicting the market volatility index: The case of VKOSPI," Economics Discussion Papers 2015-7, Kiel Institute for the World Economy (IfW Kiel).
  3. Heejoon Han & Oliver Linton & Tatsushi Oka & Yoon-Jae Whang, 2014. "The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series," CeMMAP working papers 06/14, Institute for Fiscal Studies.
  4. Heejoon Han & Dennis Kristensen, 2012. "Asymptotic Theory for the QMLE in GARCH-X Models with Stationary and Non-Stationary Covariates," CREATES Research Papers 2012-25, Department of Economics and Business Economics, Aarhus University.
  5. Han, Heejoon & Park, Joon Y., 2006. "Time series properties of ARCH processes with persistent covariates," MPRA Paper 5199, University Library of Munich, Germany.

Articles

  1. Byung Yeon Kim & Heejoon Han, 2022. "Multi-Step-Ahead Forecasting of the CBOE Volatility Index in a Data-Rich Environment: Application of Random Forest with Boruta Algorithm," Korean Economic Review, Korean Economic Association, vol. 38, pages 541-569.
  2. Cho, Dooyeon & Han, Heejoon, 2021. "The tail behavior of safe haven currencies: A cross-quantilogram analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 70(C).
  3. Heejoon Han & Eunhee Lee, 2020. "Triple Regime Stochastic Volatility Model with Threshold and Leverage Effects," Korean Economic Review, Korean Economic Association, vol. 36, pages 481-509.
  4. Soondong Hong & Heejoon Han & Chang Sik Kim, 2020. "World distribution of income for 1970–2010: dramatic reduction in world income inequality during the 2000s," Empirical Economics, Springer, vol. 59(2), pages 765-798, August.
  5. Cho, Dooyeon & Han, Heejoon & Lee, Na Kyeong, 2019. "Carry trades and endogenous regime switches in exchange rate volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 58(C), pages 255-268.
  6. Heejoon Han & Na Kyeong Lee, 2018. "Modeling the Dynamics between Stock Price and Dividend: An Endogenous Regime Switching Approach," Korean Economic Review, Korean Economic Association, vol. 34, pages 213-235.
  7. Han, Heejoon & Lee, Na Kyeong, 2016. "Quantile Dependence between Foreign Exchange Market and Stock Market: The Case of Korea," East Asian Economic Review, Korea Institute for International Economic Policy, vol. 20(4), pages 519-544, December.
  8. Han, Heejoon & Linton, Oliver & Oka, Tatsushi & Whang, Yoon-Jae, 2016. "The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series," Journal of Econometrics, Elsevier, vol. 193(1), pages 251-270.
  9. Heejoon Han & Myung D. Park & Shen Zhang, 2015. "A Multiplicative Error Model with Heterogeneous Components for Forecasting Realized Volatility," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 34(3), pages 209-219, April.
  10. Heejoon Han, 2015. "Asymptotic Properties of GARCH-X Processes," Journal of Financial Econometrics, Oxford University Press, vol. 13(1), pages 188-221.
  11. Han, Heejoon & Kutan, Ali M. & Ryu, Doojin, 2015. "Effects of the US stock market return and volatility on the VKOSPI," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 9, pages 1-34.
  12. Heejoon Han & Dennis Kristensen, 2014. "Asymptotic Theory for the QMLE in GARCH-X Models With Stationary and Nonstationary Covariates," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(3), pages 416-429, July.
  13. Han, Heejoon & Park, Joon Y., 2014. "GARCH with omitted persistent covariate," Economics Letters, Elsevier, vol. 124(2), pages 248-254.
  14. Heejoon Han & Myung D. Park, 2013. "Comparison of Realized Measure and Implied Volatility in Forecasting Volatility," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(6), pages 522-533, September.
  15. Heejoon Han & Shen Zhang, 2012. "Non‐stationary non‐parametric volatility model," Econometrics Journal, Royal Economic Society, vol. 15(2), pages 204-225, June.
  16. Han, Heejoon & Park, Joon Y., 2012. "ARCH/GARCH with persistent covariate: Asymptotic theory of MLE," Journal of Econometrics, Elsevier, vol. 167(1), pages 95-112.
  17. Han, Heejoon & Park, Joon Y., 2008. "Time series properties of ARCH processes with persistent covariates," Journal of Econometrics, Elsevier, vol. 146(2), pages 275-292, October.

More information

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Statistics

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Co-authorship network on CollEc

Featured entries

This author is featured on the following reading lists, publication compilations, Wikipedia, or ReplicationWiki entries:
  1. Korean Economists

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 5 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ETS: Econometric Time Series (3) 2012-05-29 2013-06-09 2014-03-30
  2. NEP-ECM: Econometrics (2) 2012-05-29 2014-03-30
  3. NEP-FOR: Forecasting (2) 2015-02-22 2016-08-28
  4. NEP-RMG: Risk Management (2) 2014-03-30 2016-08-28
  5. NEP-FMK: Financial Markets (1) 2015-02-22
  6. NEP-ORE: Operations Research (1) 2012-05-29
  7. NEP-SEA: South East Asia (1) 2012-05-29

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