Young Wook Han

Hallym University

Chunchon Kangwon, 200-702

www.hallym.ac.kr

SCHOLARLY PAPERS

5

DOWNLOADS

188

SSRN CITATIONS

0

CROSSREF CITATIONS

11

Scholarly Papers (5)

1.

Effects of Financial Crises on the Long Memory Volatility Dependency of Foreign Exchange Rates: The Asian Crisis vs. the Global Crisis

Journal of East Asian Economic Integration, Vol. 18, No. 1, pp. 3-27, March 2014
Number of pages: 26 Posted: 31 Mar 2014 Last Revised: 08 Nov 2016
Young Wook Han
Hallym University
Downloads 66 (416,572)

Abstract:

Loading...

Daily Foreign Exchange Rate, Financial Crisis, Long Memory Volatility Dependency, FIGARCH Model, Local Whittle Method, Temporal Aggregation

2.

High Frequency Deutsche Mark-US Dollar Returns: FIGARCH Representations and Non Linearities

Multinational Finance Journal, Vol. 4, No. 3/4, p. 247-267, 2000
Number of pages: 21 Posted: 08 Jul 2015
Richard Baillie, Aydin Cecen and Young Wook Han
Michigan State University - The Eli Broad College of Business and The Eli Broad Graduate School of Management, Central Michigan University and Hallym University
Downloads 43 (504,926)

Abstract:

Loading...

BDS test, correlation dimension, FIGARCH, high frequency data, intra day periodicity, volatility

3.

Structural Breaks and Long Memory Property in Korean Won Exchange Rates: Adaptive FIGARCH Model

Journal of East Asian Economic Integration, Vol. 15, No. 2, Summer 2011
Number of pages: 28 Posted: 30 Aug 2013
Young Wook Han
Hallym University
Downloads 43 (504,926)

Abstract:

Loading...

Daily Korean foreign exchange rates, FIGARCH model, Adaptive FIGARCH model, Long memory property, Structural breaks

4.

Quantitative Comparisons on the Intrinsic Features of Foreign Exchange Rates between the 1920s and the 2010s: Case of the USD-GDP Exchange Rate

East Asian Economic Review Vol. 20, No. 3 (September) 365-390, http://dx.doi.org/10.11644/KIEP.EAER.2016.20.3.314
Number of pages: 26 Posted: 07 Oct 2016 Last Revised: 23 Jan 2017
Young Wook Han
Hallym University
Downloads 24 (608,944)

Abstract:

Loading...

The 1920s, Daily USD-GBP Exchange Rates, Long Memory Volatility Property, Structural Breaks, FIGARCH Model, Adaptive FIGARCH Model

5.

Empirical Comparisons on the Effects of the US and the Japan Quantitative Easing Policies on the Asian Exchange Rates

Financial Stability Studies, Vol. 18, No. 2, Korea Deposit Insurance Corporation(KDIC), 2017, pp. 175-206.
Number of pages: 33 Posted: 13 Jun 2018 Last Revised: 09 Jan 2019
Young Wook Han
Hallym University
Downloads 12 (695,759)

Abstract:

Loading...

Asian Exchange Rates, Quantitative Easing(QE) Policy, Long Memory Volatility Property, FIGARCH Model, Lagged Dummy Variable