Zobrazeno 1 - 10
of 34
pro vyhledávání: '"Heejoon Han"'
Autor:
Heejoon Han, Na Kyeong Lee
Publikováno v:
East Asian Economic Review, Vol 20, Iss 4, Pp 519-544 (2016)
This paper examines quantile dependence and directional predictability between the foreign exchange market and the stock market in Korea. Instead of adopting a multivariate model such as a vector autoregressive model, a multivariate GARCH model or a
Externí odkaz:
https://doaj.org/article/f6c0d1ac65444316b19c7949ea707baf
Publikováno v:
Economics: Journal Articles (2015)
Externí odkaz:
https://doaj.org/article/f9b9111b873e43eebea74d3ac3ebceb3
Publikováno v:
Economics: Journal Articles (2015)
Externí odkaz:
https://doaj.org/article/2d41428b35b64342838db0845e8541b0
Autor:
Pinshan Pan, Heejoon Han
Publikováno v:
Journal of Economic Theory & Econometrics; Mar2024, Vol. 35 Issue 1, p1-28, 28p
Publikováno v:
Journal of Financial Econometrics.
This article investigates the estimation and inference of quantile impulse response functions. We propose a new estimation method using the idea of local projections by Jordà (2005). We establish consistency and asymptotic normality of the estimator
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ec8293523efaa1bc3f5bf5284768882b
https://doi.org/10.1093/jjfinec/nbac026
https://doi.org/10.1093/jjfinec/nbac026
Publikováno v:
Empirical Economics. 59:765-798
This paper nonparametrically estimates the distribution of world citizens’ income and investigates world income inequality for the period from 1970 to 2010. We consider 188 countries that account for 98.68% of the world population and almost 100% o
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::becc1921ef20be9799cf9dc911ee0ae7
https://doi.org/10.1007/s00181-019-01657-w
https://doi.org/10.1007/s00181-019-01657-w
Publikováno v:
Journal of International Financial Markets, Institutions and Money. 58:255-268
This paper investigates the profitability of carry trades by taking into account the endogeneity of regime switching between low and high states of exchange rate volatility. The analysis uses an endogenous regime switching model with an autoregressiv
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::fe3f6dc8df317ccea982c2c5569898d1
https://doi.org/10.1016/j.intfin.2018.11.001
https://doi.org/10.1016/j.intfin.2018.11.001
Autor:
Dooyeon Cho, Heejoon Han
Publikováno v:
Journal of International Financial Markets, Institutions and Money. 70:101257
This paper investigates the tail behavior of safe haven currencies using high-frequency data during both financially good and bad times over the period 2004–2017. The analysis uses the cross-quantilogram, recently developed by Han et al. (2016), to
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::fc9e0e0cdbb4ddb4380e9390952af5e4
https://doi.org/10.1016/j.intfin.2020.101257
https://doi.org/10.1016/j.intfin.2020.101257
Autor:
Na Kyeong Lee, Heejoon Han
Publikováno v:
East Asian Economic Review, Vol 20, Iss 4, Pp 519-544 (2016)
(ProQuest: ... denotes formulae omitted.)I. INTRODUCTIONThe interaction between stock market and currency market has been the subject of a long-drawn academic debate with inconclusive results. There are two competing hypotheses to explain these macro
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d79a2d72f3ce2385a14dbbee7609d675
https://doaj.org/article/f6c0d1ac65444316b19c7949ea707baf
https://doaj.org/article/f6c0d1ac65444316b19c7949ea707baf
Publikováno v:
Journal of Forecasting. 34:209-219
To forecast realized volatility, this paper introduces a multiplicative error model that incorporates heterogeneous components: weekly and monthly realized volatility measures. While the model captures the long-memory property, estimation simply proc
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::47d684341c3a7ee5a1e203475de40632
https://doi.org/10.1002/for.2333
https://doi.org/10.1002/for.2333