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Heejoon Han : Citation Profile


Are you Heejoon Han?

Sungkyunkwan University

4

H index

2

i10 index

56

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: 18.    Total self citations: 8 (12.5 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pha400
   Updated: 2018-02-17    RAS profile: 2016-08-28    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Whang, Yoon-Jae (3)

LINTON, OLIVER (3)

Oka, Tatsushi (3)

Kristensen, Dennis (2)

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)

Chuliá, Helena (3)

Sucarrat, Genaro (3)

Uribe, Jorge (3)

Conrad, Christian (3)

Huang, Zhuo (2)

Wohar, Mark (2)

Cavaliere, Giuseppe (2)

Schienle, Melanie (2)

Lee, Ji Hyung (2)

Cites to:

Park, Joon (17)

Engle, Robert (15)

Bollerslev, Tim (13)

Diebold, Francis (13)

Shephard, Neil (13)

Hansen, Peter (11)

Lunde, Asger (10)

Phillips, Peter (9)

Granger, Clive (8)

Barndorff-Nielsen, Ole (7)

Gallo, Giampiero (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 (2018 and 2017)


YearTitle of citing document
2017Quantile spectral analysis for locally stationary time series. (2017). Hallin, Marc ; Dette, Holger ; Kley, Tobias ; Volgushev, Stanislav ; Birr, Stefan . In: Journal of the Royal Statistical Society Series B. RePEc:bla:jorssb:v:79:y:2017:i:5:p:1619-1643.

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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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2017The intraday directional predictability of large Australian stocks: A cross-quantilogram analysis. (2017). Todorova, Neda. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:221-230.

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

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2017Information asymmetry and investor trading behavior around bond rating change announcements. (2017). Yang, Hee Jin ; Ahn, Hee-Joon ; Kim, Maria H ; Ryu, Doojin. In: Emerging Markets Review. RePEc:eee:ememar:v:32:y:2017:i:c:p:38-51.

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2017Directional predictability from oil market uncertainty to sovereign credit spreads of oil-exporting countries: Evidence from rolling windows and crossquantilogram analysis. (2017). Hussain, Syed Jawad ; Roubaud, David ; Hammoudeh, Shawkat ; Naifar, Nader. In: Energy Economics. RePEc:eee:eneeco:v:68:y:2017:i:c:p:327-339.

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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: Finance Research Letters. RePEc:eee:finlet:v:23:y:2017:i:c:p:152-164.

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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, 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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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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2018Directional Predictability of Daily Stock Returns. (2018). Becker, Janis ; Leschinski, Christian . In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-624.

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

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

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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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This paper has another version. Agregated cites: 15
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: 15
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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paper13
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: 13
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: 13
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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This paper has another version. Agregated cites: 9
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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article0
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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article0
2015Modeling and predicting the market volatility index: The case of VKOSPI In: Economics Discussion Papers.
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paper3
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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article4

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