Heejoon Han

Kyung-Hee University - Department of Economics

Seoul 130-701

Korea

SCHOLARLY PAPERS

3

DOWNLOADS

346

SSRN CITATIONS

7

CROSSREF CITATIONS

3

Scholarly Papers (3)

1.

The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series

Number of pages: 57 Posted: 11 Oct 2013 Last Revised: 16 Jan 2014
Kyung-Hee University - Department of Economics, University of Cambridge, Monash University - Department of Econometrics and Business Statistics and Seoul National University - School of Economics
Downloads 198 (166,475)
Citation 8

Abstract:

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Quantile, Correlogram, Dependence, Predictability, Systemic risk

2.

Time Series Properties of Arch Processes with Persistent Covariates

Number of pages: 44 Posted: 30 Nov 2006
Heejoon Han and Joon Park
Kyung-Hee University - Department of Economics and Seoul National University
Downloads 95 (296,617)
Citation 1

Abstract:

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ARCH, nonstationarity, nonlinearity, NNH, volatility persistence, leptokurtosis

3.

Arch with Persistent Covariate

Number of pages: 31 Posted: 27 Nov 2007
Heejoon Han and Joon Park
Kyung-Hee University - Department of Economics and Seoul National University
Downloads 53 (408,525)
Citation 1

Abstract:

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ARCH, persistent covariate, maximum likelihood estimator, asymptotic distribution theory, GARCH and IGARCH