Access Statistics for Heejoon Han

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Asymptotic Theory for the QMLE in GARCH-X Models with Stationary and Non-Stationary Covariates 0 0 0 101 1 2 11 302
Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates 0 1 2 74 2 5 19 210
Modeling and predicting the market volatility index: The case of VKOSPI 0 1 6 59 1 4 22 161
Quantile Dependence between Stock Markets and its Application in Volatility Forecasting 0 0 1 42 1 1 6 46
The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series 0 1 1 5 1 4 12 43
The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series 0 0 0 41 0 1 7 80
Time series properties of ARCH processes with persistent covariates 0 0 2 95 0 0 4 482
Total Working Papers 0 3 12 417 6 17 81 1,324


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Multiplicative Error Model with Heterogeneous Components for Forecasting Realized Volatility 0 0 0 21 0 0 9 69
ARCH/GARCH with persistent covariate: Asymptotic theory of MLE 0 0 0 34 0 0 10 120
Asymptotic Properties of GARCH-X Processes 1 2 5 12 1 3 10 41
Asymptotic Theory for the QMLE in GARCH-X Models With Stationary and Nonstationary Covariates 2 3 9 56 5 10 32 149
Comparison of Realized Measure and Implied Volatility in Forecasting Volatility 0 0 0 0 0 0 4 38
Effects of the US stock market return and volatility on the VKOSPI 0 0 0 7 0 3 14 64
GARCH with omitted persistent covariate 0 0 0 4 0 0 3 31
Modeling the Dynamics between Stock Price and Dividend: An Endogenous Regime Switching Approach 1 2 6 11 2 7 31 52
Non‐stationary non‐parametric volatility model 0 0 0 0 0 0 5 32
Quantile Dependence between Foreign Exchange Market and Stock Market: The Case of Korea 0 0 2 9 1 4 8 58
The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series 1 5 16 33 3 15 56 123
Time series properties of ARCH processes with persistent covariates 0 0 0 56 0 0 7 208
Total Journal Articles 5 12 38 243 12 42 189 985


Statistics updated 2020-09-04