Publication - Estimation and Inference of Quantile Impulse Response Functions by Local Projections: with Applications to VaR Dynamics (with Heejoon Han and Ji Hyung Lee), Journal of Financial Econometrics (forthcoming). doi.org/10.1093/jjfinec/nbac026
- Quantile Impulse Response Analysis with Applications in Macroeconomics and Finance (with Ji Hyung Lee), In Essays in Honor of Joon Y. Park: Econometric Methodology in Empirical Applications (Vol. 45, pp. 99-131). https://doi.org/10.1108/S0731-90532023000045B004