Heejoon Han : Citation Profile


Are you Heejoon Han?

Sungkyunkwan University

8

H index

7

i10 index

366

Citations

RESEARCH PRODUCTION:

17

Articles

7

Papers

RESEARCH ACTIVITY:

   16 years (2006 - 2022). See details.
   Cites by year: 22
   Journals where Heejoon Han has often published
   Relations with other researchers
   Recent citing documents: 63.    Total self citations: 10 (2.66 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pha400
   Updated: 2024-01-16    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:

GUPTA, RANGAN (20)

Shahzad, Syed Jawad Hussain (20)

Uddin, Gazi (16)

Sohag, Kazi (14)

Bouri, Elie (12)

Roubaud, David (11)

Tiwari, Aviral (9)

Výrost, Tomáš (8)

Baumohl, Eduard (7)

Lyócsa, Štefan (6)

Bekiros, Stelios (6)

Cites to:

Bollerslev, Tim (22)

Shephard, Neil (18)

Park, Joon (18)

Engle, Robert (18)

Diebold, Francis (15)

Andersen, Torben (13)

Hansen, Peter (11)

Lunde, Asger (11)

Phillips, Peter (11)

Giot, Pierre (8)

Patton, Andrew (8)

Main data


Where Heejoon Han has published?


Journals with more than one article published# docs
Korean Economic Review3
Journal of Econometrics3
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 (2024 and 2023)


YearTitle of citing document
2023Local Polynomial Estimation of Time-Varying Parameters in Nonlinear Models. (2019). Kristensen, Dennis ; Lee, Young Jun. In: Papers. RePEc:arx:papers:1904.05209.

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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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2023Inference in Predictive Quantile Regressions. (2023). Kuriyama, Nina ; Shimotsu, Katsumi ; Maynard, Alex. In: Papers. RePEc:arx:papers:2306.00296.

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2023Generalised Covariances and Correlations. (2023). Pohle, Marc-Oliver ; Fissler, Tobias. In: Papers. RePEc:arx:papers:2307.03594.

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2023Quantile price convergence and spillover effects among Bitcoin, Fintech, and artificial intelligence stocks. (2023). Tiwari, Aviral ; Abakah, Emmanuel ; Ntowgyamfi, Matthew ; Lee, Chichuan ; Aikins, Emmanuel Joel. In: International Review of Finance. RePEc:bla:irvfin:v:23:y:2023:i:1:p:187-205.

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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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2023Do Local and International Shocks Matter in the Interconnectedness amid Exchange Rates and Energy Commodities? Insights into BRICS Economies. (2023). Asafo-Adjei, Emmanuel ; Adam, Anokye M ; Qabhobho, Thobekile. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2023-06-70.

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2023Spillover shifts in the FX market: Implication for the behavior of a safe haven currency. (2023). Lee, Seojin ; Kim, Youngmin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:65:y:2023:i:c:s1062940823000086.

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2023Stablecoins as diversifiers, hedges and safe havens: A quantile coherency approach. (2023). Koodziejczyk, Hanna. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:66:y:2023:i:c:s1062940823000359.

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2023Bootstrapping quantile correlations with an application for income status across generations. (2023). ZILIAK, JAMES ; Lamarche, Carlos ; Hartley, Robert Paul. In: Economics Letters. RePEc:eee:ecolet:v:228:y:2023:i:c:s0165176523001854.

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2023Testing the martingale difference hypothesis in high dimension. (2023). Shao, Xiaofeng ; Jiang, Qing ; Chang, Jinyuan. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:972-1000.

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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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2023Forecasting tail risk measures for financial time series: An extreme value approach with covariates. (2023). Prokhorov, Artem ; Yin, Jessica Wai ; Leung, Henry ; James, Robert. In: Journal of Empirical Finance. RePEc:eee:empfin:v:71:y:2023:i:c:p:29-50.

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2023Financial technology stocks, green financial assets, and energy markets: A quantile causality and dependence analysis. (2023). Abakah, Emmanuel ; Ntowgyamfi, Matthew ; Le, Tn-Lan ; Shao, Xuefeng ; Aikins, Emmanuel Joel ; Tiwari, Aviral Kumar. In: Energy Economics. RePEc:eee:eneeco:v:118:y:2023:i:c:s0140988322006272.

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2023Exploring the dynamic connectedness among energy transition and its drivers: Understanding the moderating role of global geopolitical risk. (2023). Sinha, Avik ; Shahzad, Umer ; Zaman, Umer ; Chishti, Muhammad Zubair. In: Energy Economics. RePEc:eee:eneeco:v:119:y:2023:i:c:s0140988323000683.

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2023Do green and dirty investments hedge each other?. (2023). Hassan, M. Kabir ; Mariev, Oleg ; Bakhteyev, Stepan ; Sohag, Kazi. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323000713.

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2023The relative response of Russian National Wealth Fund to oil demand, supply and risk shocks. (2023). Sohag, Kazi ; Mariev, Oleg ; Kalina, Irina ; Hassan, M. Kabir. In: Energy Economics. RePEc:eee:eneeco:v:123:y:2023:i:c:s0140988323002220.

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2023An empirical analysis of the dynamic relationship between clean and dirty energy markets. (2023). Tiwari, Aviral ; Lee, Chien-Chiang ; Nasreen, Samia ; Aikins, Emmanuel Joel ; Trabelsi, Nader. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323002645.

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2023Russia-Ukraine conflict sentiments and energy market returns in G7 countries: Discovering the unexplored dynamics. (2023). Sinha, Avik ; Murshed, Muntasir ; Balsalobre-Lorente, Daniel. In: Energy Economics. RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323003456.

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2023Nonlinear and asymmetric interconnectedness of crude oil with financial and commodity markets. (2023). Uddin, Gazi ; Yahya, Muhammad ; Okhrin, Yarema. In: Energy Economics. RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323003511.

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2023Exploring the critical demand drivers of electricity consumption in Thailand. (2023). Uddin, Gazi ; Troster, Victor ; Ahmed, Ali ; Taghizadeh-Hesary, Farhad ; Phoumin, Han ; Hasan, Md Bokhtiar. In: Energy Economics. RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323003730.

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2023Response of mineral market to renewable energy production in the USA: Where lies the sustainable energy future. (2023). Sinha, Avik ; Abbas, Shujaat ; Shah, Muhammad Ibrahim ; Saha, Tanaya. In: Energy Policy. RePEc:eee:enepol:v:182:y:2023:i:c:s0301421523003348.

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2023The equity-oil hedge: A comparison between volatility and alternative risk frameworks. (2023). Kuang, Wei. In: Energy. RePEc:eee:energy:v:271:y:2023:i:c:s0360544223004395.

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2023The impacts of futures trading on volatility and volatility asymmetry of Bitcoin returns. (2023). Peng, Zhe ; Arkorful, Gideon Bruce ; Ma, Huan ; Zhang, Chuanhai. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000133.

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2023U.S. leveraged loan and debt markets: Implications for optimal portfolio and hedging. (2023). Lee, Chien-Chiang ; Tiwari, Aviral Kumar ; Nasreen, Samia ; Aikins, Emmanuel Joel. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923000303.

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2023Characteristics and mechanisms of the U.S. stock market spillover effects on the Chinese A-share market: Evidence from 6 A-share broad-based and 31 sector indices. (2023). Shen, Weibing ; Tian, Huiting ; Huang, Junbo. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001606.

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2023Does the connectedness among fossil energy returns matter for renewable energy stock returns? Fresh insights from the Cross-Quantilogram analysis. (2023). Bai, Lan ; Wei, YU ; Chen, Xiaodan ; Zhang, Jiahao. In: International Review of Financial Analysis. RePEc:eee:finana:v:88:y:2023:i:c:s1057521923001758.

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2023Do green bond and green stock markets boom and bust together? Evidence from China. (2023). Dai, Liang ; Guo, Dawei ; Su, Xianfang. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002600.

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2023Non-linear relationship between oil and cryptocurrencies: Evidence from returns and shocks. (2023). Shah, Adil Ahmad ; Yarovaya, Larisa ; Abrar, Afsheen ; Karim, Sitara ; Naeem, Muhammad Abubakr. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002855.

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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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2023Asymmetric relationship between climate policy uncertainty and energy metals: Evidence from cross-quantilogram. (2023). Ashraf, Sania ; Lucey, Brian M ; Shafiullah, Muhammad ; Naeem, Muhammad Abubakr ; Karim, Sitara. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001022.

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2023Safe haven for crude oil: Gold or currencies?. (2023). Dong, Minyi ; Yang, Shenggang ; Tian, Xinyi ; Ming, Lei. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001666.

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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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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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2023Sovereign bond and CDS market contagion: A story from the Eurozone crisis. (2023). Panagiotidis, Theodore ; Politsidis, Panagiotis N ; Bampinas, Georgios. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:137:y:2023:i:c:s0261560623001031.

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2023Evolution of the information transmission between Chinese and international oil markets: A quantile-based framework. (2023). Ren, Xiaohang ; Chen, Jinyu ; Wen, Fenghua ; Duan, Kun. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:29:y:2023:i:c:s2405851322000617.

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2023The economic impact of daily volatility persistence on energy markets. (2023). Wang, Jianxin ; Thomas, Alice Carole ; Nikitopoulos, Christina Sklibosios. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851322000423.

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2023Dynamic asymmetric connectedness in technological sectors. (2023). el Khoury, Rim ; Alqaralleh, Huthaifa ; Alshater, Muneer M. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:27:y:2023:i:c:s1703494922000470.

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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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2023Volatility transmission from critical minerals prices to green investments. (2023). Sokolova, Yulia ; Sohag, Kazi ; Blueschke, Dmitri ; Vilamova, Arka. In: Resources Policy. RePEc:eee:jrpoli:v:82:y:2023:i:c:s0301420723002076.

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2023The effect of energy price shocks on commodity currencies during the war in Ukraine. (2023). Iftiolu, Serhan ; Sokhanvar, Amin ; Lee, Chien-Chiang. In: Resources Policy. RePEc:eee:jrpoli:v:82:y:2023:i:c:s0301420723002829.

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2023Conflict vs sustainability of global energy, agricultural and metal markets: A lesson from Ukraine-Russia war. (2023). Sana, Moniba ; Khalid, Ali Awais ; Chishti, Muhammad Zubair. In: Resources Policy. RePEc:eee:jrpoli:v:84:y:2023:i:c:s0301420723004865.

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2023Spillover effects between internet financial industry and traditional financial industry: Evidence from the Chinese stock market. (2023). Cheng, Lee-Young ; Wang, Shengjin ; Yang, Yuhong ; Li, Ruihai ; Shen, Anran ; Zheng, Yingfei. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:79:y:2023:i:c:s0927538x23000379.

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2023Risk-off shocks and spillovers in safe havens. (2023). Beirne, John ; Sugandi, Eric. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:80:y:2023:i:c:s0927538x23001737.

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2023Dynamic dependence and causality between crude oil, green bonds, commodities, geopolitical risks, and policy uncertainty. (2023). Ghosh, Sudeshna ; Tiwari, Aviral Kumar ; Trabelsi, Nader ; Doan, Buhari. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:89:y:2023:i:c:p:36-62.

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2023Safe-haven properties of green bonds for industrial sectors (GICS) in the United States: Evidence from Covid-19 pandemic and Global Financial Crisis. (2023). Ahad, Muhammad ; Imran, Zulfiqar Ali. In: Renewable Energy. RePEc:eee:renene:v:210:y:2023:i:c:p:408-423.

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2023The predictability of skewness risk premium on stock returns: Evidence from Chinese market. (2023). Wang, Linyu ; Ni, Zhongxin. In: International Review of Economics & Finance. RePEc:eee:reveco:v:87:y:2023:i:c:p:576-594.

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2023Directional predictability from central bank digital currency to cryptocurrencies and stablecoins. (2023). Guesmi, Khaled ; Ghabri, Yosra ; Ayadi, Ahmed. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000351.

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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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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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2023The Nexus between Green Bonds and European Banks: A Cross-Quantilogram Approach. (2023). Criste, Adina ; Lupu, Radu. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:24:p:7974-:d:1296790.

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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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2023.

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2023.

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2023Managing Portfolio Risk During the BREXIT Crisis: A Cross-Quantilogram Analysis of Stock Markets and Commodities Across European Countries, the US, and BRICS. (2023). Goutte, Stéphane ; Gana, Marjene ; Ahmed, Ayedi ; Guesmi, Khaled. In: Working Papers. RePEc:hal:wpaper:halshs-04068651.

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2023Measuring Systemic Risk Using Multivariate Quantile-Located ES Models*. (2023). Sanchis-Marco, Lidia ; Garcia-Jorcano, Laura. In: The Journal of Financial Econometrics. RePEc:oup:jfinec:v:21:y:2023:i:1:p:1-72..

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2023Asymmetric impact of the COVID-19 pandemic on foreign exchange markets: Evidence from an extreme quantile approach. (2023). Vinh, Vo Xuan ; Hung, Ngo Thai. In: Economics and Business Letters. RePEc:ove:journl:aid:18298.

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2023Impactos climáticos y económicos de El Niño Oscilación del Sur: Evidencia en PIB agrícola de Bolivia. (2023). Pareja, Caroline Andrea ; Valdivia, Joab Dan. In: MPRA Paper. RePEc:pra:mprapa:119069.

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2023How do energy price hikes affect exchange rates during the war in Ukraine?. (2023). Lee, Chien-Chiang ; Sokhanvar, Amin. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:5:d:10.1007_s00181-022-02320-7.

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2023Are life insurance futures a safe haven during COVID-19?. (2023). Lee, Yuan-Ming ; Wang, Kuan-Min. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-022-00411-z.

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2023Tail spillover effects between cryptocurrencies and uncertainty in the gold, oil, and stock markets. (2023). Vo, Xuan Vinh ; Ko, Hee-Un ; Gubareva, Mariya ; Mensi, Walid ; Kang, Sang Hoon. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00498-y.

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2023The role of oil and risk shocks in the high?frequency movements of the term structure of interest rates: Evidence from the U.S. Treasury market. (2023). GUPTA, RANGAN ; Subramaniam, Sowmya ; Sheng, Xin ; Hussain, Syed Jawad. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:2:p:1845-1857.

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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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paper43
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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This paper has nother version. Agregated cites: 43
article
2016Quantile Dependence between Stock Markets and its Application in Volatility Forecasting In: Papers.
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paper2
2014The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series In: Cambridge Working Papers in Economics.
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paper212
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 nother version. Agregated cites: 212
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 nother version. Agregated cites: 212
paper
2014GARCH with omitted persistent covariate In: Economics Letters.
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article2
2008Time series properties of ARCH processes with persistent covariates In: Journal of Econometrics.
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article12
2006Time series properties of ARCH processes with persistent covariates.(2006) In: MPRA Paper.
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2012ARCH/GARCH with persistent covariate: Asymptotic theory of MLE In: Journal of Econometrics.
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article8
2019Carry trades and endogenous regime switches in exchange rate volatility In: Journal of International Financial Markets, Institutions and Money.
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article12
2021The tail behavior of safe haven currencies: A cross-quantilogram analysis In: Journal of International Financial Markets, Institutions and Money.
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article18
2018Modeling the Dynamics between Stock Price and Dividend: An Endogenous Regime Switching Approach In: Korean Economic Review.
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article0
2020Triple Regime Stochastic Volatility Model with Threshold and Leverage Effects In: Korean Economic Review.
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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.
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2015Asymptotic Properties of GARCH-X Processes In: The Journal of Financial Econometrics.
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article14
2016Quantile Dependence between Foreign Exchange Market and Stock Market: The Case of Korea In: East Asian Economic Review.
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article3
2020World distribution of income for 1970–2010: dramatic reduction in world income inequality during the 2000s In: Empirical Economics.
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2012Non?stationary non?parametric volatility model In: Econometrics Journal.
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article3
2013Comparison of Realized Measure and Implied Volatility in Forecasting Volatility In: Journal of Forecasting.
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article8
2015A Multiplicative Error Model with Heterogeneous Components for Forecasting Realized Volatility In: Journal of Forecasting.
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article3
2015Modeling and predicting the market volatility index: The case of VKOSPI In: Economics Discussion Papers.
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paper5
2015Effects of the US stock market return and volatility on the VKOSPI In: Economics - The Open-Access, Open-Assessment E-Journal (2007-2020).
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article20

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