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  • Economics/Global Economics

Faculty - Economics/Global Economics

  • Professor Financial Econometrics
  • HAN, HEEJ00N 홈페이지 바로가기

Research Interest

Econometrics, Financial Econometrics

Education

  • BA in Economics, Seoul National University, 1998
  • PhD in Economics, Rice University, 2006 경제학 박사

Experience

  • 2019 to 2020, Founding Head, Department of Quantitative Applied Economics, Sungkyunkwan University
  • 2019 to present, Professor, Sungkyunkwan University
  • 2014-2019, Associate Professor, Sungkyunkwan University
  • 2012-2014, Associate Professor, Kyung Hee University
  • 2006-2012, Assistant Professor, National University of Singapore
  • 1998-2001, Economist, Research Department, the Bank of Korea

Journal Articles

  • (2024)  Estimation and Inference of Quantile Impulse Response Functions by Local Projections: With Applications to VaR Dynamics.  JOURNAL OF FINANCIAL ECONOMETRICS.  22,  1
  • (2023)  랜덤 포레스트(Random Forest)의 시계열 적용에 관한 연구: 한국 물가상승률 예측 사례 분석.  경제학연구.  71,  3
  • (2022)  Multi-Step-Ahead Forecasting of the CBOE Volatility Index in a Data-Rich Environment: Application of Random Forest with Boruta Algorithm.  KOREAN ECONOMIC REVIEW.  38,  3
  • (2021)  The tail behavior of safe haven currencies: A cross-quantilogram analysis.  JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS MONEY.  70, 
  • (2020)  World distribution of income for 1970-2010: dramatic reduction in world income inequality during the 2000s.  EMPIRICAL ECONOMICS.  59,  2
  • (2020)  Triple Regime Stochastic Volatility Model with Threshold and Leverage Effects.  KOREAN ECONOMIC REVIEW.  36,  2
  • (2019)  함수적 회귀 모형을 이용한 한국과 미국 주식시장의 횡단면 분포 간의 관계 분석.  경제학연구.  67,  2
  • (2019)  Additive endogenous regime switching garch model.  Journal of Economic Theory and Econometrics.  30,  2
  • (2019)  Quantile dependence between stock markets and its application in volatility forecasting.  Journal of Economic Theory and Econometrics.  30,  1
  • (2019)  Carry trades and endogenous regime switches in exchange rate volatility.  JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS MONEY.  58,  1
  • (2018)  Modeling the Dynamics between Stock Price and Dividend: An Endogenous Regime Switching Approach.  KOREAN ECONOMIC REVIEW.  34,  2
  • (2017)  국내 은행부문의 시스템리스크 측정 및 자기자본규제의 유용성 평가.  금융감독연구.  4,  2
  • (2016)  An endogenous regime switching model for realized volatility.  Journal of Economic Theory and Econometrics.  27,  4
  • (2016)  Quantile Dependence between Foreign Exchange Market and Stock Market: The Case of Korea.  Journal of East Asian Economic Integration.  20,  4
  • (2016)  경제/금융 변수를 이용한 한국 주식시장의 변동성분석 및 예측.  경제학연구.  64,  2
  • (2016)  The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series.  JOURNAL OF ECONOMETRICS.  193,  1
  • (2015)  Effects of the US Stock Market Return and Volatility on the VKOSPI.  ECONOMICS-THE OPEN ACCESS OPEN-ASSESSMENT E-JOURNAL.  9,  35
  • (2015)  A Multiplicative Error Model with Heterogeneous Components for Forecasting Realized Volatility.  JOURNAL OF FORECASTING.  34, 
  • (2015)  Asymptotic Properties of GARCH-X Processes.  JOURNAL OF FINANCIAL ECONOMETRICS.  13,  1
  • (2014)  Semiparametric ARCH-X model for leverage effect and long memory in stock return volatility.  Journal of Economic Theory and Econometrics.  25,  3

Honors / Awards

  • SKKU Young Fellowship, Sungkyunkwan University, 2020.
  • Sungkyun Researech Fund, Sungkyunkwan University, 2019-2020.
  • National Research Foundation of Korea Grant, 2016-2017.
  • Grant for Excellent Article, National Research Foundation of Korea, 2015.
  • Sungkyun Researech Fund, Sungkyunkwan University, 2014-2015.
  • National Research Foundation of Korea Grant, 2013-2015.
  • KHU 2012-1676 Grant, Kyung Hee University, 2012-2013.
  • Risk Management Institute Grant, National University of Singapore, 2009-2012.
  • Risk Management Institute Grant, National University of Singapore, 2007-2009.
  • FASS SRSS Grant, National University of Singapore, 2006.
  • Excellent Teacher Award, Faculty of Arts and Social Sciences, National University of Singapore, 2008.
  • RBNZ-NZESG Research Award, Special NZESG Meeting in Honour of Peter C. B. Phillips, March 2008.