Details about Jae Hoon Kim

Access statistics for papers by Jae Hoon Kim.

Last updated 2007-10-12. Update your information in the RePEc Author Service.

Short-id: pki102

Working Papers

2006

1. Half-Life Estimation based on the Bias-Corrected Bootstrap: A Highest Density Region Approach
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations
   See Also Journal Article in Computational Statistics & Data Analysis (2007)
2. Quantile Forecasts of Daily Exchange Rate Returns from Forecasts of Realized Volatility
   The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics View citations

2005

3. Real Interest Rate Linkages in the Pacific Basin Region
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
4. Realized Volatility and Correlation in Grain Futures Markets: Testing for Spill-Over Effects
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics

2004

5. International linkage of real interest rates: the case of East Asian countries
   Econometric Society 2004 Australasian Meetings, Econometric Society
6. Nonlinear Modelling of Purchasing Power Parity in Indonesia
   Econometric Society 2004 Australasian Meetings, Econometric Society
7. Testing for the martingale hypothesis in Asian stock prices: evidence from a new joint variance ratio test
   Econometric Society 2004 Australasian Meetings, Econometric Society

2003

8. Exchange Rate Pass-Through and Market Response: The Case of the US Steel Market
   Economics Discussion / Working Papers, The University of Western Australia, Department of Economics

Journal Articles

2007

1. A comparison of variance ratio tests of random walk: A case of Asian emerging stock markets
   International Review of Economics & Finance, 2007, 16, (4), 488-502
2. Bootstrap prediction intervals for autoregressive time series
   Computational Statistics & Data Analysis, 2007, 51, (7), 3580-3594
3. Half-life estimation based on the bias-corrected bootstrap: A highest density region approach
   Computational Statistics & Data Analysis, 2007, 51, (7), 3418-3432
   See Also Working Paper (2006)

2006

4. Estimating technical efficiency of Australian dairy farms using alternative frontier methodologies
   Applied Economics, 2006, 38, (19), 2221-2236
5. International cross-listings by Australian firms: A stochastic dominance analysis of equity returns
   Journal of Multinational Financial Management, 2006, 16, (5), 494-508 View citations
6. Wild bootstrapping variance ratio tests
   Economics Letters, 2006, 92, (1), 38-43

2005

7. Bias-Corrected Bootstrap Inference for Regression Models with Autocorrelated Errors
   Economics Bulletin, 2005, 3, (44), 1-8
8. Investigating the advertising-sales relationship in the Lydia Pinkham data: a bootstrap approach
   Applied Economics, 2005, 37, (3), 347-354
9. The Size and Power of the Bias-Corrected Bootstrap Test for Regression Models with Autocorrelated Errors
   Computational Economics, 2005, 25, (3), 255-267

2004

10. Bias-corrected bootstrap prediction regions for vector autoregression
    Journal of Forecasting, 2004, 23, (2), 141-154
11. Bootstrap prediction intervals for autoregression using asymptotically mean-unbiased estimators
    International Journal of Forecasting, 2004, 20, (1), 85-97
12. Direct and indirect forecasting of the money multiplier and velocity of circulation in the United Kingdom
    International Economic Journal, 2004, 18, (1), 103-118

2003

13. Forecasting autoregressive time series with bias-corrected parameter estimators
    International Journal of Forecasting, 2003, 19, (3), 493-502
14. Integration and interdependence of stock and foreign exchange markets: an Australian perspective
    Journal of International Financial Markets, Institutions and Money, 2003, 13, (3), 237-254 View citations

2002

15. Bootstrap Prediction Intervals for Autoregressive Models of Unknown or Infinite Lag Order
    Journal of Forecasting, 2002, 21, (4), 265-80

2001

16. Bootstrap-after-Bootstrap Prediction Intervals for Autoregressive Models
    Journal of Business & Economic Statistics, 2001, 19, (1), 117-28

2000

17. Estimation and inference in sur models when the number of equations is large
    Econometric Reviews, 2000, 19, (1), 105-130 View citations

1999

18. Asymptotic and bootstrap prediction regions for vector autoregression
    International Journal of Forecasting, 1999, 15, (4), 393-403