Heejoon Han : Citation Profile

Are you Heejoon Han?

Sungkyunkwan University

8

H index

7

i10 index

305

Citations

RESEARCH PRODUCTION:

17

Articles

7

Papers

RESEARCH ACTIVITY:

   16 years (2006 - 2022). See details.
   Cites by year: 19
   Journals where Heejoon Han has often published
   Relations with other researchers
   Recent citing documents: 123.    Total self citations: 10 (3.17 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pha400
   Updated: 2023-05-27    RAS profile: 2022-08-22    
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Relations with other researchers

Works with:

Cho, Dooyeon (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Heejoon Han.

Is cited by:

Shahzad, Syed Jawad Hussain (20)

GUPTA, RANGAN (18)

Bouri, Elie (12)

Uddin, Gazi (12)

Roubaud, David (11)

Sohag, Kazi (11)

Výrost, Tomáš (8)

Baumohl, Eduard (7)

Lau, Chi Keung (6)

Francq, Christian (6)

Lyócsa, Štefan (6)

Cites to:

Bollerslev, Tim (21)

Shephard, Neil (18)

Engle, Robert (18)

Park, Joon (18)

Diebold, Francis (14)

Andersen, Torben (12)

Lunde, Asger (11)

Hansen, Peter (11)

Phillips, Peter (11)

Blundell, Richard (8)

Giot, Pierre (8)

Main data

Where Heejoon Han has published?

Journals with more than one article published# docs
Journal of Econometrics3
Korean Economic Review3
Journal of Forecasting2
Journal of International Financial Markets, Institutions and Money2

Working Papers Series with more than one paper published# docs
CeMMAP working papers / Centre for Microdata Methods and Practice, Institute for Fiscal Studies2

Recent works citing Heejoon Han (2022 and 2021)

YearTitle of citing document
2022Analysis of the Relationship between Green Bonds and Equity Markets by Cross-Quantilogram Method. (2022). Buyukolu, Burak. In: Journal of Research in Economics, Politics & Finance. RePEc:ahs:journl:v:7:y:2022:i:4:p:855-868.

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2022Extremal Dependence in Australian Electricity Markets. (2022). Han, Lin ; Trueck, Stefan ; Cribben, Ivor. In: Papers. RePEc:arx:papers:2202.09970.

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2023Penalized Quasi-likelihood Estimation and Model Selection in Time Series Models with Parameters on the Boundary. (2023). Rahbek, Anders ; Nielsen, Heino Bohn. In: Papers. RePEc:arx:papers:2302.02867.

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2021Reassessing the inflation uncertainty?inflation relationship in the tails. (2021). Panagiotidis, Theodore ; Konstantinou, Panagiotis ; Bampinas, Georgios. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:73:y:2021:i:4:p:508-534.

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2021Asymptotic theory for QMLE for the real?time GARCH(1,1) model. (2021). Wu, Wei Biao ; Smetanina, Ekaterina. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:42:y:2021:i:5-6:p:752-776.

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2022Foreign exchange interventions under a minimum exchange rate regime and the Swiss franc. (2022). Hertrich, Markus. In: Review of International Economics. RePEc:bla:reviec:v:30:y:2022:i:2:p:450-489.

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2022The hedge asset for BRICS stock markets: Bitcoin, gold or VIX. (2022). Roubaud, David ; Ur, Mobeen ; Bouri, Elie ; Hussain, Syed Jawad. In: The World Economy. RePEc:bla:worlde:v:45:y:2022:i:1:p:292-316.

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2023Uncertainty and realized jumps in the pound-dollar exchange rate: evidence from over one century of data. (2023). GUPTA, RANGAN ; Dimitrios, Vortelinos ; Konstantinos, Gkillas. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:1:p:25-47:n:8.

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2021Consistent Testing for an Implication of Supermodular Dominance. (2021). , Whang ; Linton, O ; Chung, D. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2134.

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2021Green Bonds as Hedging Assets before and after COVID: A Comparative Study between the US and China. (2021). Zhou, Peng ; Guo, Dong. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2021/28.

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2021Risk aversion and Bitcoin returns in extreme quantiles. (2021). GUPTA, RANGAN ; Roubaud, David ; Marco, Chi Keung ; Bouri, Elie. In: Economics Bulletin. RePEc:ebl:ecbull:eb-21-00863.

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2021The Integrated Copula Spectrum. (2021). Hallin, Marc ; Dette, Holger ; Volgushev, Stanislav ; van Hecke, Ria ; Kley, Tobias ; Goto, Yuichi. In: Working Papers ECARES. RePEc:eca:wpaper:2013/335426.

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2022Measuring systemic risk in the global banking sector: A cross-quantilogram network approach. (2022). Výrost, Tomᚠ; Baumohl, Eduard ; Vrost, Toma ; Hussain, Syed Jawad ; Hoang, Thi-Hong-Van, ; Bouri, Elie. In: Economic Modelling. RePEc:eee:ecmode:v:109:y:2022:i:c:s0264999322000219.

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2021Revisiting the roles of cryptocurrencies in stock markets: A quantile coherency perspective. (2021). Mu, Jinqi ; Wang, Jieru ; Lie, Jiayi ; Jiang, Yonghong. In: Economic Modelling. RePEc:eee:ecmode:v:95:y:2021:i:c:p:21-34.

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2021Bayesian estimation for a semiparametric nonlinear volatility model. (2021). Poskitt, Donald ; Hu, Shuowen ; Zhang, Xibin. In: Economic Modelling. RePEc:eee:ecmode:v:98:y:2021:i:c:p:361-370.

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2022Partial cross-quantilogram networks: Measuring quantile connectedness of financial institutions. (2022). Xie, Chi ; Feng, Yusen ; Wang, Gang-Jin ; Qian, Biyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:60:y:2022:i:c:s1062940822000055.

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2022Spillovers and directional predictability between international energy commodities and their implications for optimal portfolio and hedging. (2022). Hammoudeh, Shawkat ; Tiwari, Aviral Kumar ; Trabelsi, Nader. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822000675.

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2022A novel estimation of time-varying quantile correlation for financial contagion detection. (2022). Wu, Yuehua ; Li, Mingge ; Ye, Wuyi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:63:y:2022:i:c:s1062940822001334.

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2021Testing heteroskedasticity for predictive regressions with nonstationary regressors. (2021). Zhang, Zhengyi ; Hong, Shaoxin ; Cai, Zongwu. In: Economics Letters. RePEc:eee:ecolet:v:201:y:2021:i:c:s0165176521000586.

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2021Choosing the frequency of volatility components within the Double Asymmetric GARCH–MIDAS–X model. (2021). Gallo, Giampiero ; Amendola, Alessandra ; Candila, Vincenzo. In: Econometrics and Statistics. RePEc:eee:ecosta:v:20:y:2021:i:c:p:12-28.

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2023Feasible Panel GARCH Models: Variance-Targeting Estimation and Empirical Application. (2023). Asai, Manabu. In: Econometrics and Statistics. RePEc:eee:ecosta:v:25:y:2023:i:c:p:23-38.

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2022Risk spillover of banking across regions: Evidence from the belt and road countries. (2022). Zhou, Mingming ; Lei, Yiqing ; Li, Jiayi ; Zhao, Hong. In: Emerging Markets Review. RePEc:eee:ememar:v:52:y:2022:i:c:s156601412200036x.

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2022Do interest rate differentials drive the volatility of exchange rates? Evidence from an extended stochastic volatility model. (2022). Hambuckers, J ; Ulm, M. In: Journal of Empirical Finance. RePEc:eee:empfin:v:65:y:2022:i:c:p:125-148.

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2021Relationship between green investments, energy markets, and stock markets in the aftermath of the global financial crisis. (2021). Tiwari, Aviral ; Shahbaz, Muhammad ; Jiao, Zhilun ; Aikins, Emmanuel Joel ; Trabelsi, Nader. In: Energy Economics. RePEc:eee:eneeco:v:104:y:2021:i:c:s0140988321005120.

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2021Green bonds as hedging assets before and after COVID: A comparative study between the US and China. (2021). Zhou, Peng ; Guo, Dong. In: Energy Economics. RePEc:eee:eneeco:v:104:y:2021:i:c:s014098832100548x.

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2022Nonlinear tail dependence between the housing and energy markets. (2022). Taghizadeh-Hesary, Farhad ; Uddin, Gazi Salah ; Yoshino, Naoyuki ; Hedstrom, Axel ; Stenvall, David. In: Energy Economics. RePEc:eee:eneeco:v:106:y:2022:i:c:s0140988321006137.

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2022Shale revolution, oil and gas prices, and drilling activities in the United States. (2022). Etienne, Xiaoli ; Li, Bingxin ; Shakya, Shishir. In: Energy Economics. RePEc:eee:eneeco:v:108:y:2022:i:c:s0140988322000597.

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2022Oil shocks and BRIC markets: Evidence from extreme quantile approach. (2022). Karim, Sitara ; Senthilkumar, Arunachalam ; Pham, Linh ; Naeem, Muhammad Abubakr. In: Energy Economics. RePEc:eee:eneeco:v:108:y:2022:i:c:s0140988322001104.

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2022Do geopolitical events transmit opportunity or threat to green markets? Decomposed measures of geopolitical risks. (2022). Sohag, Kazi ; Mariev, Oleg ; Hammoudeh, Shawkat ; Elsayed, Ahmed H ; Safonova, Yulia. In: Energy Economics. RePEc:eee:eneeco:v:111:y:2022:i:c:s0140988322002341.

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2022Time-frequency connectedness and cross-quantile dependence between crude oil, Chinese commodity market, stock market and investor sentiment. (2022). Zhang, Xinhua ; Zhu, Junxin ; Dai, Zhifeng. In: Energy Economics. RePEc:eee:eneeco:v:114:y:2022:i:c:s0140988322003711.

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2021Frequency connectedness and cross-quantile dependence between green bond and green equity markets. (2021). Pham, Linh. In: Energy Economics. RePEc:eee:eneeco:v:98:y:2021:i:c:s0140988321001626.

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2021Comparative efficiency of green and conventional bonds pre- and during COVID-19: An asymmetric multifractal detrended fluctuation analysis. (2021). Farid, Saqib ; Naeem, Muhammad Abubakr ; Hussain, Syed Jawad ; Ferrer, Roman. In: Energy Policy. RePEc:eee:enepol:v:153:y:2021:i:c:s0301421521001543.

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2022Diversifier or more? Hedge and safe haven properties of green bonds during COVID-19. (2022). Jamasb, Tooraj ; Nepal, Rabindra ; Farid, Saqib ; Naeem, Muhammad Abubakr ; Arif, Muhammad. In: Energy Policy. RePEc:eee:enepol:v:168:y:2022:i:c:s0301421522003275.

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2022Connectedness mechanisms in the “Carbon-Commodity-Finance” system: Investment and management policy implications for emerging economies. (2022). , Christina ; Lai, Kee-Hung ; Tian, Tingting. In: Energy Policy. RePEc:eee:enepol:v:169:y:2022:i:c:s0301421522004153.

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2021Stock returns, quantile autocorrelation, and volatility forecasting. (2021). Cai, Yuzhi ; Upreti, Vineet ; Zhao, Yixiu. In: International Review of Financial Analysis. RePEc:eee:finana:v:73:y:2021:i:c:s1057521920302428.

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2021Asymmetric interdependencies between large capital cryptocurrency and Gold returns during the COVID-19 pandemic crisis. (2021). Jareño, Francisco ; De, Maria ; Skinner, Frank S ; Jareo, Francisco. In: International Review of Financial Analysis. RePEc:eee:finana:v:76:y:2021:i:c:s1057521921001149.

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2021The existence and severity of the forward premium puzzle during tranquil and turbulent periods: Developed versus developing country currencies. (2021). Li, Youwei ; Wang, Yizhi ; Almaharmeh, Mohammad I ; Vigne, Samuel A ; Shehadeh, Ali A. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002003.

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2022Quantile connectedness between sentiment and financial markets: Evidence from the S&P 500 twitter sentiment index. (2022). Goodell, John W ; Youssef, Manel ; Yousaf, Imran. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002745.

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2021A tale of tails : New evidence on the growth-return nexus. (2021). Výrost, Tomáš ; Lyócsa, Štefan ; Vrost, Toma ; Lyocsa, Tefan ; Plihal, Toma. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319310347.

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2021A crypto safe haven against Bitcoin. (2021). Hoang, Lai T ; Baur, Dirk G. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319312632.

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2021Investor sentiment and dollar-pound exchange rate returns: Evidence from over a century of data using a cross-quantilogram approach. (2021). Shahzad, Syed Jawad Hussain ; GUPTA, RANGAN ; Olson, Eric ; Kyei, Clement Kweku ; Hussain, Syed Jawad. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612320301422.

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2021Asymmetric relationship between green bonds and commodities: Evidence from extreme quantile approach. (2021). TAGHIZADEH-HESARY, Farhad ; Ngo, Thanh ; Nepal, Rabindra ; Taghizadehhesary, Farhad ; Ha, Thi Thu ; Naeem, Muhammad Abubakr. In: Finance Research Letters. RePEc:eee:finlet:v:43:y:2021:i:c:s1544612321000647.

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2022The looming crisis in the Chinese stock market? Left-tail exposure analysis of Chinese stocks to Evergrande. (2022). Vrost, Toma ; Lyocsa, Tefan ; Deev, Oleg. In: Finance Research Letters. RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322003762.

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2023National culture and the demand for physical money during the first year of the COVID-19 pandemic. (2023). Kotkowski, Radoslaw. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322006596.

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2022Risk spillovers and interconnectedness between systemically important institutions. (2022). Andrieș, Alin Marius ; Tunaru, Radu ; Sprincean, Nicu ; Ongena, Steven. In: Journal of Financial Stability. RePEc:eee:finsta:v:58:y:2022:i:c:s1572308921001224.

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2022Financial stress transmission between the U.S. and the Euro Area. (2022). Kutan, Ali M ; Dibooglu, Sel ; Cevik, Emrah Ismail ; Altinkeski, Buket Kirci. In: Journal of Financial Stability. RePEc:eee:finsta:v:60:y:2022:i:c:s1572308922000328.

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2021Asymmetric tail dependence between green bonds and other asset classes. (2021). Nguyen, Canh Phuc ; Pham, Linh. In: Global Finance Journal. RePEc:eee:glofin:v:50:y:2021:i:c:s1044028321000673.

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2022The Eurozone banking sector in the time of COVID-19: Measuring volatility connectedness. (2022). Angelini, Eliana ; Addi, Abdelhamid ; Foglia, Matteo. In: Global Finance Journal. RePEc:eee:glofin:v:51:y:2022:i:c:s1044028321000752.

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2023What do we know about the price spillover between green bonds and Islamic stocks and stock market indices?. (2023). Hammoudeh, Shawkat ; Adekoya, Oluwasegun B ; Aikins, Emmanuel Joel ; Tiwari, Aviral Kumar. In: Global Finance Journal. RePEc:eee:glofin:v:55:y:2023:i:c:s1044028322000965.

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2021To hedge or not to hedge: Carry trade dynamics in the emerging economies. (2021). Ozyildirim, Suheyla ; Geyiki, Utku Bora. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:73:y:2021:i:c:s1042443121000779.

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2022The determinants of cross-border bond risk premia. (2022). Zhang, Weiguo ; Ge, Futing. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:81:y:2022:i:c:s1042443122001524.

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2023Discovering the drivers of stock market volatility in a data-rich world. (2023). Ryu, Doojin ; Cho, Hoon ; Chun, Dohyun. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001561.

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2021On the predictability of the distribution of excess returns in currency markets. (2021). Cho, Dooyeon. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:2:p:511-530.

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2021The uncertainty in extreme risk forecasts from covariate-augmented volatility models. (2021). Hoga, Yannick. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:2:p:675-686.

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2021Uncertainty of M&As under asymmetric estimation. (2021). Kanungo, Rama Prasad. In: Journal of Business Research. RePEc:eee:jbrese:v:122:y:2021:i:c:p:774-793.

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2021Re-examining the real option characteristics of gold for gold mining companies. (2021). Shahzad, Syed Jawad Hussain ; Uddin, Gazi Salah ; Lucey, Brian M ; Rahman, Md Lutfur. In: Resources Policy. RePEc:eee:jrpoli:v:70:y:2021:i:c:s0301420720309211.

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2021Asymmetric relationship between gold and Islamic stocks in bearish, normal and bullish market conditions. (2021). Balli, Faruk ; Arif, Muhammad ; Qureshi, Fiza ; Naeem, Muhammad Abubakr. In: Resources Policy. RePEc:eee:jrpoli:v:72:y:2021:i:c:s0301420721000830.

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2021Does geopolitical risk improve the directional predictability from oil to stock returns? Evidence from oil-exporting and oil-importing countries. (2021). Tiwari, Aviral ; Khalfaoui, Rabeh ; Kumar, Satish. In: Resources Policy. RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721002646.

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2021Testing directional predictability between energy prices: A quantile-based analysis. (2021). Etienne, Xiaoli ; Scarcioffolo, Alexandre R. In: Resources Policy. RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721002695.

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2022Hydrocarbon prices shocks, fiscal stability and consolidation: Evidence from Russian Federation. (2022). Sohag, Kazi ; Mirnezami, Seyed Reza ; Belyaeva, Zhanna ; Sokhanvar, Amin. In: Resources Policy. RePEc:eee:jrpoli:v:76:y:2022:i:c:s0301420722000848.

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2022The response of exchange rate to coal price, palm oil price, and inflation in Indonesia: Tail dependence analysis. (2022). Sohag, Kazi ; Herdhayinta, Heyvon ; Yuniawan, Dani ; Cahyaningsih, Diyah Sukanti ; Chandrarin, Grahita. In: Resources Policy. RePEc:eee:jrpoli:v:77:y:2022:i:c:s0301420722001982.

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2022Tail risk transmission from commodity prices to sovereign risk of emerging economies. (2022). Hussain, Syed Jawad ; Zhang, Zhengyong ; Bouri, Elie. In: Resources Policy. RePEc:eee:jrpoli:v:78:y:2022:i:c:s0301420722003154.

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2022The impact of digital finance on the natural resource market: Evidence from DeFi, oil, and gold. (2022). Destek, Mehmet ; Çevik, Emrah ; Tuna, Fatih ; Bugan, Mehmet Fatih ; Zafar, Muhammad Wasif ; Gunay, Samet. In: Resources Policy. RePEc:eee:jrpoli:v:79:y:2022:i:c:s0301420722005244.

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2022Extreme return spillovers and connectedness between crude oil and precious metals futures markets: Implications for portfolio management. (2022). Kang, Sang Hoon ; Vo, Xuan Vinh ; Mensi, Walid ; Alomari, Mohammad. In: Resources Policy. RePEc:eee:jrpoli:v:79:y:2022:i:c:s0301420722005566.

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2023Precious metal as a safe haven for global ESG stocks: Portfolio implications for socially responsible investing. (2023). Ye, Jing ; Liu, Huiling ; Xue, Minggao ; Lei, Heng. In: Resources Policy. RePEc:eee:jrpoli:v:80:y:2023:i:c:s0301420722006134.

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2023Can implied volatility predict returns on oil market? Evidence from Cross-Quantilogram Approach. (2023). Raggad, Bechir. In: Resources Policy. RePEc:eee:jrpoli:v:80:y:2023:i:c:s0301420722007206.

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2021Quantile relationship between Islamic and non-Islamic equity markets. (2021). Kang, Sang Hoon ; Uddin, Gazi Salah ; Hedstrom, Axel ; Rahman, Md Lutfur. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:68:y:2021:i:c:s0927538x21000937.

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2022Directional predictability and time-frequency spillovers among clean energy sectors and oil price uncertainty. (2022). Guesmi, Khaled ; Mzoughi, Hela ; Ndubuisi, Gideon ; Urom, Christian. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:85:y:2022:i:c:p:326-341.

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2022Gold, silver, and the US dollar as harbingers of financial calm and distress. (2022). Gillman, Max ; Cevik, Emrah I ; Dibooglu, Sel. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:86:y:2022:i:c:p:200-210.

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2022Dependence between renewable energy related critical metal futures and producer equity markets across varying market conditions. (2022). Junttila, Juha ; Uddin, Gazi Salah ; Kits, Ilya ; Borg, Elin. In: Renewable Energy. RePEc:eee:renene:v:190:y:2022:i:c:p:879-892.

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2022Dependence structure between the international crude oil market and the European markets of biodiesel and rapeseed oil. (2022). Yahya, Muhammad ; Dutta, Anupam ; Bouri, Elie ; Wadstrom, Christoffer ; Uddin, Gazi Salah. In: Renewable Energy. RePEc:eee:renene:v:197:y:2022:i:c:p:594-605.

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2021Modeling realized volatility of the EUR/USD exchange rate: Does implied volatility really matter?. (2021). Lyocsa, Tefan ; Plihal, Toma. In: International Review of Economics & Finance. RePEc:eee:reveco:v:71:y:2021:i:c:p:811-829.

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2021Predictive role of online investor sentiment for cryptocurrency market: Evidence from happiness and fears. (2021). Hussain, Syed Jawad ; Mbarki, Imen ; Naeem, Muhammad Abubakr. In: International Review of Economics & Finance. RePEc:eee:reveco:v:73:y:2021:i:c:p:496-514.

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2021Network diffusion of international oil volatility risk in Chinas stock market: Quantile interconnectedness modelling and shock decomposition analysis. (2021). Xia, Xiaohua ; Li, Ziruo ; Huang, Jionghao. In: International Review of Economics & Finance. RePEc:eee:reveco:v:76:y:2021:i:c:p:1-39.

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2022Stock market contagion during the COVID-19 pandemic in emerging economies. (2022). Uddin, Gazi ; Goswami, Gour ; Ahmed, Ali ; Lucey, Brian ; Yahya, Muhammad. In: International Review of Economics & Finance. RePEc:eee:reveco:v:79:y:2022:i:c:p:302-309.

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2021Oil market uncertainty and excess returns on currency carry trade. (2021). Yin, Libo ; Mo, Xuan ; Su, Zhi. In: Research in International Business and Finance. RePEc:eee:riibaf:v:56:y:2021:i:c:s027553192100012x.

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2022Twitter-Based uncertainty and cryptocurrency returns. (2022). Zaremba, Adam ; Demir, Ender ; Marco, Chi Keung ; Aharon, David Y. In: Research in International Business and Finance. RePEc:eee:riibaf:v:59:y:2022:i:c:s0275531921001677.

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2022Safe haven assets for international stock markets: A regime-switching factor copula approach. (2022). Tachibana, Minoru. In: Research in International Business and Finance. RePEc:eee:riibaf:v:60:y:2022:i:c:s0275531921002129.

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2022An examination of whether gold-backed Islamic cryptocurrencies are safe havens for international Islamic equity markets. (2022). Hussain, Syed Jawad ; Naifar, Nader ; Bouri, Elie ; Ali, Fahad ; Alahmad, Mohammad. In: Research in International Business and Finance. RePEc:eee:riibaf:v:63:y:2022:i:c:s0275531922001544.

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2022Is gold still a safe haven for stock markets? New insights through the tail thickness of portfolio return distributions. (2022). Just, Magorzata ; Echaust, Krzysztof. In: Research in International Business and Finance. RePEc:eee:riibaf:v:63:y:2022:i:c:s027553192200174x.

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2023Whittle estimation based on the extremal spectral density of a heavy-tailed random field. (2023). Zienkiewicz, Jacek ; Zhao, Yuwei ; Mikosch, Thomas ; Damek, Ewa. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:155:y:2023:i:c:p:232-267.

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2022Testing for Granger causality in quantiles between the wage share in income and productive capacity utilization. (2022). Lima, Gilberto Tadeu ; Marques, Andre M. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:62:y:2022:i:c:p:290-312.

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2022Testing the directional predictability between carbon trading and sectoral stocks in China: New insights using cross-quantilogram and rolling window causality approaches. (2022). Aloui, Chaker ; An, Hui ; Sharif, Arshian ; Razzaq, Asif. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:182:y:2022:i:c:s0040162522003705.

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2023Implications of cryptocurrency energy usage on climate change. (2023). Xu, Bing ; Marco, Chi Keung ; Chen, Xihui Haviour ; Zhang, Dongna. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:187:y:2023:i:c:s0040162522007405.

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2022The response of green energy and technology investment to climate policy uncertainty: An application of twin transitions strategy. (2022). Sohag, Kazi ; Husain, Shaiara ; Wu, Yanrui. In: Technology in Society. RePEc:eee:teinso:v:71:y:2022:i:c:s0160791x22002731.

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2022The Relationship Between Geopolitical Risks and Housing Returns in Türkiye: Evidence from the Cross – Quantilogram. (2022). Bekar, Engin. In: International Econometric Review (IER). RePEc:erh:journl:v:14:y:2022:i:2:p:59-71.

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2022A Parsimonious Test of Constancy of a Positive Definite Correlation Matrix in a Multivariate Time-Varying GARCH Model. (2022). Silvennoinen, Annastiina ; Jakobsen, Johan Stax ; Kang, Jian ; Wade, Glen ; Terasvirta, Timo. In: Econometrics. RePEc:gam:jecnmx:v:10:y:2022:i:3:p:30-:d:896537.

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2023Dependence Analysis for the Energy Sector Based on Energy ETFs. (2023). Gorka, Joanna ; Kuziak, Katarzyna. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:3:p:1329-:d:1047966.

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2021How Integrated are Regional Green Equity Markets? Evidence from a Cross-Quantilogram Approach. (2021). Pham, Linh. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:1:p:39-:d:481873.

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2022Optimal Portfolio Allocation between Global Stock Indexes and Safe Haven Assets: Gold versus the Swiss Franc (1999–2021). (2022). Tronzano, Marco. In: JRFM. RePEc:gam:jjrfmx:v:15:y:2022:i:6:p:241-:d:826298.

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2021Tail Risk and Extreme Events: Connections between Oil and Clean Energy. (2021). Angelini, Eliana ; Foglia, Matteo ; di Febo, Elisa. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:2:p:39-:d:497495.

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2021The Efficiency of the Polish Zloty Exchange Rate Market: The Uncovered Interest Parity and Fractal Analysis Approaches. (2021). Pietrych, Ukasz ; Czech, Katarzyna. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:8:p:142-:d:606543.

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2021Carbon Emissions and Brazilian Ethanol Prices: Are They Correlated? An Econophysics Study. (2021). Quintino, Derick ; Ferreira, Paulo ; Burnquist, Heloisa Lee ; Silveira, Paulo Jorge. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:22:p:12862-:d:684107.

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2022How Is the ESG Reflected in European Financial Stability?. (2022). Lupu, Radu ; Hurduzeu, Gheorghe. In: Sustainability. RePEc:gam:jsusta:v:14:y:2022:i:16:p:10287-:d:891735.

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2021Correlated at the Tail: Implications of Asymmetric Tail-Dependence Across Bitcoin Markets. (2021). Uddin, Gazi ; Mishra, Tapas ; Bekiros, Stelios ; Jayasekera, Evgeniia ; Hedstrom, Axel. In: Computational Economics. RePEc:kap:compec:v:58:y:2021:i:4:d:10.1007_s10614-020-10058-6.

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2021Exploring volatility of crude oil intra-day return curves: a functional GARCH-X Model. (2021). Zhao, Yuqian ; Wirjanto, Tony ; Rice, Gregory. In: MPRA Paper. RePEc:pra:mprapa:109231.

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More than 100 citations found, this list is not complete...

Works by Heejoon Han:

YearTitleTypeCited
2012Asymptotic Theory for the QMLE in GARCH-X Models with Stationary and Non-Stationary Covariates In: CREATES Research Papers.
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2013Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates.(2013) In: CeMMAP working papers.
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This paper has another version. Agregated cites: 40		paper
2014Asymptotic Theory for the QMLE in GARCH-X Models With Stationary and Nonstationary Covariates.(2014) In: Journal of Business & Economic Statistics.
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This paper has another version. Agregated cites: 40		article
2016Quantile Dependence between Stock Markets and its Application in Volatility Forecasting In: Papers.
[Full Text][Citation analysis]		paper2
2014The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]		paper167
2016The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series.(2016) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 167		article
2014The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series.(2014) In: CeMMAP working papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 167		paper
2014GARCH with omitted persistent covariate In: Economics Letters.
[Full Text][Citation analysis]		article2
2008Time series properties of ARCH processes with persistent covariates In: Journal of Econometrics.
[Full Text][Citation analysis]		article11
2006Time series properties of ARCH processes with persistent covariates.(2006) In: MPRA Paper.
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This paper has another version. Agregated cites: 11		paper
2012ARCH/GARCH with persistent covariate: Asymptotic theory of MLE In: Journal of Econometrics.
[Full Text][Citation analysis]		article8
2019Carry trades and endogenous regime switches in exchange rate volatility In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]		article11
2021The tail behavior of safe haven currencies: A cross-quantilogram analysis In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]		article14
2018Modeling the Dynamics between Stock Price and Dividend: An Endogenous Regime Switching Approach In: Korean Economic Review.
[Full Text][Citation analysis]		article0
2020Triple Regime Stochastic Volatility Model with Threshold and Leverage Effects In: Korean Economic Review.
[Full Text][Citation analysis]		article0
2022Multi-Step-Ahead Forecasting of the CBOE Volatility Index in a Data-Rich Environment: Application of Random Forest with Boruta Algorithm In: Korean Economic Review.
[Full Text][Citation analysis]		article0
2015Asymptotic Properties of GARCH-X Processes In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]		article11
2016Quantile Dependence between Foreign Exchange Market and Stock Market: The Case of Korea In: East Asian Economic Review.
[Full Text][Citation analysis]		article2
2020World distribution of income for 1970–2010: dramatic reduction in world income inequality during the 2000s In: Empirical Economics.
[Full Text][Citation analysis]		article0
2012Non?stationary non?parametric volatility model In: Econometrics Journal.
[Citation analysis]		article3
2013Comparison of Realized Measure and Implied Volatility in Forecasting Volatility In: Journal of Forecasting.
[Citation analysis]		article8
2015A Multiplicative Error Model with Heterogeneous Components for Forecasting Realized Volatility In: Journal of Forecasting.
[Full Text][Citation analysis]		article1
2015Modeling and predicting the market volatility index: The case of VKOSPI In: Economics Discussion Papers.
[Full Text][Citation analysis]		paper5
2015Effects of the US stock market return and volatility on the VKOSPI In: Economics - The Open-Access, Open-Assessment E-Journal (2007-2020).
[Full Text][Citation analysis]		article20

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