Heejoon Han
Selected Publications
The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series
This paper proposes the cross-quantilogram to measure the quantile dependence between two time series. We apply […]
Previous version
Asymptotic Theory for the QMLE in GARCH-X Models With Stationary and Nonstationary Covariates
This article investigates the asymptotic properties of the Gaussian quasi-maximum-likelihood estimators (QMLEs) of the GARCH model […]
Previous version
The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series
This paper proposes the cross-quantilogram to measure the quantile dependence between two time series. We apply […]
Latest version
Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates
This paper investigates the asymptotic properties of the Gaussian quasi-maximum-likelihood estimators (QMLE’s) of the GARCH model […]