The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series H Han, O Linton, T Oka, YJ Whang Journal of Econometrics 193 (1), 251-270, 2016 | 432 | 2016 |
Asymptotic theory for the QMLE in GARCH-X models with stationary and nonstationary covariates H Han, D Kristensen Journal of business & economic statistics 32 (3), 416-429, 2014 | 117 | 2014 |
Asymptotic properties of GARCH-X processes H Han Journal of Financial Econometrics 13 (1), 188-221, 2015 | 65 | 2015 |
The tail behavior of safe haven currencies: A cross-quantilogram analysis D Cho, H Han Journal of International Financial Markets, Institutions and Money 70, 101257, 2021 | 52 | 2021 |
Time series properties of ARCH processes with persistent covariates H Han, JY Park Journal of Econometrics 146 (2), 275-292, 2008 | 45 | 2008 |
Comparison of realized measure and implied volatility in forecasting volatility H Han, MD Park Journal of Forecasting 32 (6), 522-533, 2013 | 31 | 2013 |
Carry trades and endogenous regime switches in exchange rate volatility D Cho, H Han, NK Lee Journal of International Financial Markets, Institutions and Money 58, 255-268, 2019 | 30 | 2019 |
World distribution of income for 1970–2010: dramatic reduction in world income inequality during the 2000s S Hong, H Han, CS Kim Empirical Economics 59 (2), 765-798, 2020 | 23 | 2020 |
ARCH/GARCH with persistent covariate: Asymptotic theory of MLE H Han, JY Park Journal of Econometrics 167 (1), 95-112, 2012 | 23 | 2012 |
Estimation and inference of quantile impulse response functions by local projections: With applications to VaR dynamics H Han, W Jung, JH Lee Journal of Financial Econometrics 22 (1), 1-29, 2024 | 18 | 2024 |
Non‐stationary non‐parametric volatility model H Han, S Zhang The Econometrics Journal 15 (2), 204-225, 2012 | 15 | 2012 |
Semiparametric multiplicative GARCH-X model: Adopting economic variables to explain volatility H Han, D Kristensen Toulouse, France: Toulouse School of Economics, 2015 | 14 | 2015 |
A multiplicative error model with heterogeneous components for forecasting realized volatility H Han, MD Park, S Zhang Journal of Forecasting 34 (3), 209-219, 2015 | 11 | 2015 |
GARCH with omitted persistent covariate H Han, JY Park Economics Letters 124 (2), 248-254, 2014 | 10 | 2014 |
Quantile dependence between foreign exchange market and stock market: The case of Korea H Han, NK Lee East Asian Economic Review 20 (4), 519-544, 2016 | 6 | 2016 |
Quantile Dependence between Stock Markets and Its Application in Volatility Forecasting H Han arXiv preprint arXiv:1608.07193, 2016 | 6 | 2016 |
Multi-step-ahead forecasting of the cboe volatility index in a data-rich environment: application of random forest with boruta algorithm BY Kim, H Han Korean Economic Review 38, 541-569, 2022 | 4 | 2022 |
Semiparametric arch-x model for leverage effect and long memory in stock return volatility S Zhang, H Han J Econ Theory Econom 25, 81-100, 2014 | 3 | 2014 |
GARCH process with persistent covariates H Han RMI working paper 08/01, National University of Singapore, 2008 | 2 | 2008 |
Triple Regime Stochastic Volatility Model with Threshold and Leverage Effects H Han, E Lee The Korean Economic Review 36 (2), 481-509, 2020 | 1 | 2020 |