Heejoon Han : Citation Profile


Are you Heejoon Han?

Sungkyunkwan University

4

H index

1

i10 index

50

Citations

RESEARCH PRODUCTION:

11

Articles

7

Papers

RESEARCH ACTIVITY:

   10 years (2006 - 2016). See details.
   Cites by year: 5
   Journals where Heejoon Han has often published
   Relations with other researchers
   Recent citing documents: 28.    Total self citations: 8 (13.79 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pha400
   Updated: 2017-09-16    RAS profile: 2016-08-28    
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Relations with other researchers


Works with:

LINTON, OLIVER (3)

Whang, Yoon-Jae (3)

Kristensen, Dennis (3)

Oka, Tatsushi (3)

Kutan, Ali (2)

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

Is cited by:

Francq, Christian (5)

GUPTA, RANGAN (4)

Sucarrat, Genaro (3)

Conrad, Christian (3)

Chuliá, Helena (3)

Cavaliere, Giuseppe (2)

Lee, Ji Hyung (2)

Wohar, Mark (2)

Uribe Gil, Jorge (2)

Kristensen, Dennis (2)

Huang, Zhuo (2)

Cites to:

Park, Joon (17)

Engle, Robert (15)

Shephard, Neil (13)

Bollerslev, Tim (13)

Diebold, Francis (13)

Hansen, Peter (11)

Lunde, Asger (10)

Phillips, Peter (9)

Granger, Clive (8)

Barndorff-Nielsen, Ole (7)

Mariano, Roberto (7)

Main data


Where Heejoon Han has published?


Journals with more than one article published# docs
Journal of Econometrics3
Journal of Forecasting2

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 (2017 and 2016)


YearTitle of citing document
2016On the statistical properties of multiplicative GARCH models. (2016). Conrad, Christian ; Kleen, Onno . In: Working Papers. RePEc:awi:wpaper:0613.

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2017On Oil-US Exchange Rate Volatility Relationships: an Intradaily Analysis. (2017). JAWADI, Fredj ; ben ameur, hachmi ; Cheffou, Abdoulkarim Idi ; Louhichi, Wael . In: EconomiX Working Papers. RePEc:drm:wpaper:2017-11.

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2016Modeling long memory volatility using realized measures of volatility: A realized HAR GARCH model. (2016). Huang, Zhuo ; Wang, Tianyi ; Liu, Hao . In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pb:p:812-821.

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2016On oil-US exchange rate volatility relationships: An intraday analysis. (2016). JAWADI, Fredj ; Louhichi, Wael ; ben Ameur, Hachmi ; Cheffou, Abdoulkarim Idi . In: Economic Modelling. RePEc:eee:ecmode:v:59:y:2016:i:c:p:329-334.

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2016Predictive quantile regression with persistent covariates: IVX-QR approach. (2016). Lee, Ji Hyung ; Hyung, JI. In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:1:p:105-118.

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2016The price impact of futures trades and their intraday seasonality. (2016). Webb, Robert I ; Han, Joongho ; Ryu, Doowon . In: Emerging Markets Review. RePEc:eee:ememar:v:26:y:2016:i:c:p:80-98.

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2017Spillovers from the United States to Latin American and G7 stock markets: A VAR quantile analysis. (2017). Chuliá, Helena ; Uribe, Jorge M ; Guillen, Montserrat ; Chulia, Helena . In: Emerging Markets Review. RePEc:eee:ememar:v:31:y:2017:i:c:p:32-46.

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2016The usefulness of cross-sectional dispersion for forecasting aggregate stock price volatility. (2016). Byun, Sung Je ; Je, Sung . In: Journal of Empirical Finance. RePEc:eee:empfin:v:36:y:2016:i:c:p:162-180.

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2016Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX). (2016). Kristensen, Dennis ; Cavaliere, Giuseppe ; Rahbek, Anders ; Agosto, Arianna . In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pb:p:640-663.

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2016Overseas market shocks and VKOSPI dynamics: A Markov-switching approach. (2016). Song, Wonho ; Webb, Robert I ; Ryu, Doojin . In: Finance Research Letters. RePEc:eee:finlet:v:16:y:2016:i:c:p:275-282.

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2017An analysis of the literature on systemic financial risk: A survey. (2017). Silva, Walmir ; Sobreiro, Vinicius Amorim ; Kimura, Herbert . In: Journal of Financial Stability. RePEc:eee:finsta:v:28:y:2017:i:c:p:91-114.

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2017Impact of US uncertainties on emerging and mature markets: Evidence from a quantile-vector autoregressive approach. (2017). Wohar, Mark ; Uribe Gil, Jorge ; GUPTA, RANGAN ; Chuliá, Helena ; Chulia, Helena . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:48:y:2017:i:c:p:178-191.

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2017An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns. (2017). Sucarrat, Genaro ; Francq, Christian. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:153:y:2017:i:c:p:16-32.

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2017Reduced form vector directional quantiles. (2017). Montes-Rojas, Gabriel . In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:158:y:2017:i:c:p:20-30.

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2016Extracting volatility signal using maximum a posteriori estimation. (2016). NETO, David. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:461:y:2016:i:c:p:788-794.

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2017The dynamic conditional relationship between stock market returns and implied volatility. (2017). Park, Sung Y. ; Song, Jeongseok ; Ryu, Doojin . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:482:y:2017:i:c:p:638-648.

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2017Tail event driven networks of SIFIs. (2017). Härdle, Wolfgang ; Hardle, Wolfgang Karl ; Chen, Cathy Yi-Hsuan ; Okhrin, Yarema . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2017-004.

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2016Evolving Fuzzy-GARCH Approach for Financial Volatility Modeling and Forecasting. (2016). GOMIDE, FERNANDO ; MacIel, Leandro ; Ballini, Rosangela . In: Computational Economics. RePEc:kap:compec:v:48:y:2016:i:3:d:10.1007_s10614-015-9535-2.

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2017TESTING GARCH-X TYPE MODELS. (2017). Pedersen, Rasmus Sondergaard ; Rahbek, Anders . In: Discussion Papers. RePEc:kud:kuiedp:1715.

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2016Non-parameteric news impact curve: a variational approach. (2016). Goulet, Clement ; Garcin, Matthieu . In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:15086r.

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2017Non-parameteric news impact curve: a variational approach. (2017). Garcin, Matthieu ; Goulet, Clement . In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:15086rr.

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2016Models of Financial Return With Time-Varying Zero Probability. (2016). Sucarrat, Genaro ; Gronneberg, Steffen . In: MPRA Paper. RePEc:pra:mprapa:68931.

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2016Equation by equation estimation of the semi-diagonal BEKK model with covariates. (2016). Quyen, LE. In: MPRA Paper. RePEc:pra:mprapa:75582.

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2017Directional predictability from stock market sector indices to gold: A cross-quantilogram analysis. (2017). Lyócsa, Štefan ; Baumohl, Eduard ; Lyocsa, Tefan . In: MPRA Paper. RePEc:pra:mprapa:76915.

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2016Forecasting Equity Premium in a Panel of OECD Countries: The Role of Economic Policy Uncertainty. (2016). GUPTA, RANGAN ; Christou, Christina . In: Working Papers. RePEc:pre:wpaper:201622.

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2016Impact of US Uncertainties on Emerging and Mature Markets: Evidence from a Quantile-Vector Autoregressive Approach. (2016). Wohar, Mark ; Uribe Gil, Jorge ; GUPTA, RANGAN ; Chuliá, Helena ; Chulia, Helena . In: Working Papers. RePEc:pre:wpaper:201656.

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2017Bitcoin and Global Financial Stress: A Copula-Based Approach to Dependence and Causality-in-Quantiles. (2017). GUPTA, RANGAN ; Wang, Shixuan ; Roubaud, David ; Marco, Chi Keung ; Bouri, Elie . In: Working Papers. RePEc:pre:wpaper:201750.

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2016Semi-parametric estimation and forecasting for exogenous log-GARCH models. (2016). Chen, Ming ; Song, Qiongxia . In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:25:y:2016:i:1:d:10.1007_s11749-015-0442-6.

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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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paper15
2013Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates.(2013) In: CeMMAP working papers.
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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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article
2016Quantile Dependence between Stock Markets and its Application in Volatility Forecasting In: Papers.
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paper0
2014The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series In: Cambridge Working Papers in Economics.
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paper8
2016The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series.(2016) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 8
article
2014The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series.(2014) In: CeMMAP working papers.
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This paper has another version. Agregated cites: 8
paper
2014GARCH with omitted persistent covariate In: Economics Letters.
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article1
2008Time series properties of ARCH processes with persistent covariates In: Journal of Econometrics.
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article9
2006Time series properties of ARCH processes with persistent covariates.(2006) In: MPRA Paper.
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paper
2012ARCH/GARCH with persistent covariate: Asymptotic theory of MLE In: Journal of Econometrics.
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article3
2015Asymptotic Properties of GARCH-X Processes In: Journal of Financial Econometrics.
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article4
2016Quantile Dependence between Foreign Exchange Market and Stock Market: The Case of Korea In: East Asian Economic Review.
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2012Non‐stationary non‐parametric volatility model In: Econometrics Journal.
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article1
2013Comparison of Realized Measure and Implied Volatility in Forecasting Volatility In: Journal of Forecasting.
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article3
2015A Multiplicative Error Model with Heterogeneous Components for Forecasting Realized Volatility In: Journal of Forecasting.
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2015Modeling and predicting the market volatility index: The case of VKOSPI In: Economics Discussion Papers.
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2015Effects of the US stock market return and volatility on the VKOSPI In: Economics - The Open-Access, Open-Assessment E-Journal.
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article3

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