Heejoon Han

Kyung Hee University - Department of Economics

Seoul 130-701

Korea

  • Kyung Hee University - Department of Economics

SCHOLARLY PAPERS

3

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613

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35

Scholarly Papers (3)

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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
Heejoon Han, Oliver B. Linton, Tatsushi Oka and Yoon-Jae Whang
Kyung Hee University - Department of Economics, University of Cambridge, Keio University and Seoul National University - School of Economics
Downloads 359 (182,316)
Citation 31

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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 144 (442,008)
Citation 3

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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 110 (545,892)
Citation 1

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