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Effects of the US stock market return and volatility on the VKOSPI

Han, Heejoon; Kutan, Ali Mustafa; Ryu, Doojin - 2015

The KOSPI (Korea Composite Stock Price Index) 200 options are one of the most actively traded derivatives in the world. This paper empirically examines (a) the statistical properties of the Korea's representative implied volatility index (VKOSPI) derived from the KOSPI 200 options and (b) the...

Persistent link: https://www.econbiz.de/10011376746

Carry trades and endogenous regime switches in exchange rate volatility

Cho, Dooyeon; Han, Heejoon; Lee, Na Kyeong - In: Journal of international financial markets, … 58 (2019), pp. 255-268

Persistent link: https://www.econbiz.de/10012127854

Quantile dependence between foreign exchange market and stock market : the case of Korea

Han, Heejoon; Lee, Na Kyeong - In: East Asian economic review 20 (2016) 4, pp. 519-544

Persistent link: https://www.econbiz.de/10011613458

GARCH with omitted persistent covariate

Han, Heejoon; Park, Joon Y. - In: Economics letters 124 (2014) 2, pp. 248-254

Persistent link: https://www.econbiz.de/10010493650

A multiplicative error model with heterogeneous components for forecasting realized volatility

Han, Heejoon; Park, Myung D.; Zhang, Shen - In: Journal of forecasting 34 (2015) 3, pp. 209-219

Persistent link: https://www.econbiz.de/10011305259

The cross-quantilogram : measuring quantile dependence and testing directional predictability between time series

Han, Heejoon; Linton, Oliver; Oka, Tatsushi; Whang, Yoon-jae - In: Journal of econometrics 193 (2016) 1, pp. 251-270

Persistent link: https://www.econbiz.de/10011704806

Quantile dependence between foreign exchange market and stock market : the case of Korea

Han, Heejoon; Lee, Na Kyeong - In: East Asian economic review 20 (2016) 4, pp. 519-544

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 combination of both models, we apply the...

Persistent link: https://www.econbiz.de/10011765039

Modeling the dynamics between stock price and dividend : an endogenous regime switching approach

Han, Heejoon; Lee, Na Kyeong - In: The Korean economic review 34 (2018) 2, pp. 213-235

Persistent link: https://www.econbiz.de/10011950757

Comparison of realized measure and implied volatility in forecasting volatility

Han, Heejoon; Park, Myung D. - In: Journal of forecasting 32 (2013) 6, pp. 522-533

Persistent link: https://www.econbiz.de/10009789678

Non-stationary non-parametric volatility model

Han, Heejoon; Zhang, Shen - In: The econometrics journal 15 (2012) 2, pp. 204-225

Persistent link: https://www.econbiz.de/10009614928