Heejoon Han : Citation Profile

Are you Heejoon Han?

Sungkyunkwan University

8

H index

7

i10 index

283

Citations

RESEARCH PRODUCTION:

17

Articles

7

Papers

RESEARCH ACTIVITY:

   16 years (2006 - 2022). See details.
   Cites by year: 17
   Journals where Heejoon Han has often published
   Relations with other researchers
   Recent citing documents: 104.    Total self citations: 10 (3.41 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pha400
   Updated: 2023-03-02    RAS profile: 2022-08-22    
   Missing citations? Add them    Incorrect content? Let us know

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 (17)

Uddin, Gazi (12)

Bouri, Elie (12)

Roubaud, David (11)

Sohag, Kazi (8)

Výrost, Tomáš (8)

Baumohl, Eduard (7)

Francq, Christian (6)

Wohar, Mark (6)

Bekiros, Stelios (6)

Cites to:

Bollerslev, Tim (21)

Shephard, Neil (18)

Park, Joon (18)

Engle, Robert (18)

Diebold, Francis (14)

Andersen, Torben (12)

Lunde, Asger (11)

Hansen, Peter (11)

Phillips, Peter (11)

Granger, Clive (10)

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2022Gold, silver, and the US dollar as harbingers of financial calm and distress. (2022). Gillman, Max ; Çevik, Emrah ; 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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2022.

Full description at Econpapers || Download paper

2022.

Full description at Econpapers || Download paper

2022.

Full description at Econpapers || Download paper

2021.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2021Autoregressive conditional proportion: A multiplicative-error model for (0,1)-valued time series. (2021). Dimitrakopoulos, Stefanos ; Aknouche, Abdelhakim. In: MPRA Paper. RePEc:pra:mprapa:110954.

Full description at Econpapers || Download paper

2021Dependence Structure between Indian Financial Market and Energy Commodities: A Cross-quantilogram based Evidence. (2021). Sinha, Avik ; Sharma, Ankit ; Adhikari, Arnab ; Sharif, Arshian. In: MPRA Paper. RePEc:pra:mprapa:111181.

Full description at Econpapers || Download paper

2022Exploring the hedge, diversifier and safe haven properties of ESG investments: A cross-quantilogram analysis. (2022). Pedini, Luca ; Severini, Sabrina. In: MPRA Paper. RePEc:pra:mprapa:112339.

Full description at Econpapers || Download paper

2022The information content of sentiment indices for forecasting Value at Risk and Expected Shortfall in equity markets. (2022). Naimoli, Antonio. In: MPRA Paper. RePEc:pra:mprapa:112588.

Full description at Econpapers || Download paper

2022NFTs Emergence in Financial Markets and their Correlation with DeFis and Cryptocurrencies. (2022). Alshamali, Nour ; Alawadhi, Khuloud M. In: Applied Economics and Finance. RePEc:rfa:aefjnl:v:9:y:2022:i:1:p:108-120.

Full description at Econpapers || Download paper

2021Forecasting Stock Market Dynamics using Bidirectional Long Short-Term Memory. (2021). Ryu, Doojin ; Park, Daehyeon. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2021:i:2:p:22-34.

Full description at Econpapers || Download paper

2022A new class of integer-valued GARCH models for time series of bounded counts with extra-binomial variation. (2022). Zhu, Fukang ; Li, QI ; Chen, Huaping. In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:106:y:2022:i:2:d:10.1007_s10182-021-00414-8.

Full description at Econpapers || Download paper

2021The long memory HEAVY process: modeling and forecasting financial volatility. (2021). Christopoulos, A ; Yfanti, S ; Karanasos, M. In: Annals of Operations Research. RePEc:spr:annopr:v:306:y:2021:i:1:d:10.1007_s10479-019-03493-8.

Full description at Econpapers || Download paper

2022Dependence structure between Indian financial market and energy commodities: a cross-quantilogram based evidence. (2022). Sinha, Avik ; Adhikari, Arnab ; Sharif, Arshian ; Sharma, Ankit. In: Annals of Operations Research. RePEc:spr:annopr:v:313:y:2022:i:1:d:10.1007_s10479-021-04511-4.

Full description at Econpapers || Download paper

2022Emerging stock market volatility and economic fundamentals: the importance of US uncertainty spillovers, financial and health crises. (2022). Hunter, John ; Yfanti, S ; Karanasos, M. In: Annals of Operations Research. RePEc:spr:annopr:v:313:y:2022:i:2:d:10.1007_s10479-021-04042-y.

Full description at Econpapers || Download paper

2022The impact of COVID-19 on global stock markets: early linear and non-linear evidence for Italy. (2022). Michaelides, Panayotis ; Konstantakis, Konstantinos ; Melissaropoulos, Ioannis G ; Daglis, Theodoros. In: Evolutionary and Institutional Economics Review. RePEc:spr:eaiere:v:19:y:2022:i:1:d:10.1007_s40844-021-00230-4.

Full description at Econpapers || Download paper

2022On asymmetric volatility effects in currency markets. (2022). Cho, Dooyeon ; Rho, Seunghwa. In: Empirical Economics. RePEc:spr:empeco:v:62:y:2022:i:5:d:10.1007_s00181-021-02091-7.

Full description at Econpapers || Download paper

2021On the factors of Bitcoin’s value at risk. (2021). Ho, JI. In: Financial Innovation. RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-021-00297-3.

Full description at Econpapers || Download paper

2022Quantile correlation coefficient: a new tail dependence measure. (2022). Shin, Dong Wan ; Choi, Ji-Eun. In: Statistical Papers. RePEc:spr:stpapr:v:63:y:2022:i:4:d:10.1007_s00362-021-01268-7.

Full description at Econpapers || Download paper

2022Dynamic dependence between clean investments and economic policy uncertainty. (2022). Guesmi, K ; Ndubuisi, Gideon ; Mzoughi, Hela ; Urom, C. In: MERIT Working Papers. RePEc:unm:unumer:2022027.

Full description at Econpapers || Download paper

2022The Response of Green Energy and Technology Investment to Climate Policy Uncertainty: An Application of Twin Transition Strategy. (2022). Sohag, Kazi ; Wu, Yanrui ; Husain, Shaiara. In: Economics Discussion / Working Papers. RePEc:uwa:wpaper:22-16.

Full description at Econpapers || Download paper

2021Macrofinancial linkages in Europe: Evidence from quantile local projections. (2021). Shchepeleva, Maria ; Stolbov, Mikhail. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:4:p:5557-5569.

Full description at Econpapers || Download paper

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.
[Full Text][Citation analysis]		paper37
2013Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates.(2013) In: CeMMAP working papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 37		paper
2014Asymptotic Theory for the QMLE in GARCH-X Models With Stationary and Nonstationary Covariates.(2014) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 37		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]		paper154
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: 154		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: 154		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.
[Full Text][Citation analysis]
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]		article7
2019Carry trades and endogenous regime switches in exchange rate volatility In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]		article10
2021The tail behavior of safe haven currencies: A cross-quantilogram analysis In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]		article11
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]		article19

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated January, 6 2023. Contact: CitEc Team