3 citations · 3 across the 1 of their papers we have counts for
2 papers
q-fin.ST2016★ 3 cited
Quantile Dependence between Stock Markets and its Application in Volatility Forecasting
Heejoon Han
This paper examines quantile dependence between international stock markets and evaluates its use for improving volatility forecasting. First, we analyze quantile dependence and di…
math.ST2014
The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series
Heejoon Han, Oliver Linton, Tatsushi Oka +1
This paper proposes the cross-quantilogram to measure the quantile dependence between two time series. We apply it to test the hypothesis that one time series has no directional pr…