Seunghwa Rho
Hanyang University · Economics, Econometrics and Finance
About the Lab
Professor Seunghwa Rho's research lab specializes in financial econometrics and applied time series analysis, with a focus on modeling long memory in financial volatility, particularly realized volatility. The lab investigates the interplay between long-memory dynamics, structural breaks, jumps, and nonlinearities using advanced econometric models such as the Heterogeneous Autoregressive (HAR) framework, fractionally integrated processes, and time-varying parameter models. Recent work also extends into distributional regression and quantile-based analysis, especially in understanding the role of financial conditions in macroeconomic volatility. The lab integrates robust statistical methods with real-world data to address systemic risk and financial stability issues.
Research Overview
Research Output Trend
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Selected Papers
13The presence of long memory in realized volatility ( RV ) is a widespread stylized fact. The origins of long memory in RV have been attributed to jumps, structural breaks, contemporaneous aggregation, nonlinearities, or pure long memory. An important development has been the heterogeneous autoregressive ( HAR ) model and its extensions. This article assesses the separate roles of fractionally integrated long memory models, extended HAR models and time varying parameter HAR models. We find that t
Summary This paper replicates the results of Adrian et al. ( American Economic Review , 2019) that GDP growth volatility is mainly driven by the lower quantiles of the distribution which is predicted by the financial condition. It extends their study by estimating the model with the IVX‐QR estimator of Lee ( Journal of Econometrics , 2016) and double weighted estimator of Cai et al. ( Journal of Econometrics , 2022) considering that the financial condition index is highly serially correlated. Bo
Objective: To investigate the association between Latinx older adults' stroke, multimorbidity, and caregiver burden. Methods: For this retrospective cohort study, we used the Hispanic Established Populations for the Epidemiologic Study of the Elderly (H-EPESE) Wave-7 data set. The caregiver's physical burden was defined by using the Level of Burden Index. The caregiver's psychological burden was measured by using the Perceived Stress Scale (PSS-4). Multimorbidity was defined as the presence of 3
The presence of long memory in Realized Volatility (RV) is a widespread stylized fact. The origins of long memory in RV have been attributed to jumps, structural breaks, non-linearities, or pure long memory. An important development has been the Heterogeneous Autoregressive (HAR) model and its extensions. This paper assesses the separate roles of fractionally integrated long memory models, extended HAR models and time varying parameter HAR models. We find that the presence of the long memory par
Research Areas
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