Details about Jae Hoon Kim

Access statistics for papers by Jae Hoon Kim.

Last updated 2019-09-08. Update your information in the RePEc Author Service.

Short-id: pki102

Working Papers

2017

1. Adaptive Markets Hypothesis for Islamic Stock Portfolios: Evidence from Dow Jones Size and Sector-Indices
   Post-Print, HAL View citations (3)
2. Adaptive markets hypothesis for Islamic stock indices: Evidence from Dow Jones size and sector-indices
   Post-Print, HAL View citations (3)
   See also Journal Article in International Economics (2017)
3. International Stock Return Predictability: Evidence from New Statistical Tests
   Post-Print, HAL View citations (1)
   See also Journal Article in International Review of Financial Analysis (2017)

2016

4. Stock Exchange Mergers and Market
   Post-Print, HAL View citations (1)
5. Stock Return Predictability: Evaluation based on Prediction Intervals
   MPRA Paper, University Library of Munich, Germany
   Also in Working Papers, HAL (2016)
6. Stock Returns and Investors’ Mood: Good Day Sunshine or Spurious Correlation?
   MPRA Paper, University Library of Munich, Germany
   See also Journal Article in International Review of Financial Analysis (2017)

2015

7. How to Choose the Level of Significance: A Pedagogical Note
   MPRA Paper, University Library of Munich, Germany
8. Unit Roots in Economic and Financial Time Series: A Re-Evaluation based on Enlightened Judgement
   MPRA Paper, University Library of Munich, Germany
9. Will precious metals shine ? A market efficiency perspective
   Post-Print, HAL View citations (10)
   See also Journal Article in International Review of Financial Analysis (2015)

2014

10. Market efficiency in Asian and Australasian stock markets: a fresh look at the evidence
    Working Papers, Deakin University, Department of Economics View citations (3)
11. Precious metals shine? A market efficiency perspective
    Working Papers, HAL
12. Stock Exchange Mergers and Market Efficiency
    Working Papers, HAL View citations (2)
    See also Journal Article in Applied Economics (2016)

2012

13. Exchange-rate return predictability and the adaptive markets hypothesis: Evidence from major foreign exchange rates
    Post-Print, HAL View citations (17)
    Also in Working Papers, HAL (2010) View citations (2)
    See also Journal Article in Journal of International Money and Finance (2012)

2011

14. Small Sample Properties of Alternative Tests for Martingale Difference Hypothesis
    Post-Print, HAL View citations (11)
    Also in Working Papers, School of Economics, La Trobe University (2010)
    Working Papers, School of Economics, La Trobe University (2010)
    See also Journal Article in Economics Letters (2011)

2010

15. Improved Interval Estimation of Long Run Response from a Dynamic Linear Model: A Highest Density Region Approach
    Working Papers, School of Economics, La Trobe University View citations (1)
    Also in Working Papers, School of Economics, La Trobe University (2010) View citations (1)
    See also Journal Article in Computational Statistics & Data Analysis (2011)

2009

16. Beyond point forecasting: evaluation of alternative prediction intervals for tourist arrivals
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (1)
    See also Journal Article in International Journal of Forecasting (2011)
17. Short-Horizon Return Predictability in International Equity Markets
    Working Papers, School of Economics, La Trobe University
    Also in Working Papers, School of Economics, La Trobe University (2009)

2007

18. International and Internal Market Integration in Indian agriculture: A study of the Indian Rice Market
    106th Seminar, October 25-27, 2007, Montpellier, France, European Association of Agricultural Economists View citations (3)

2006

19. 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 (4)
    See also Journal Article in Computational Statistics & Data Analysis (2007)
20. 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 (5)
    Also in Economic Research Papers, University of Warwick - Department of Economics (2006) View citations (1)
    See also Journal Article in Journal of Empirical Finance (2008)

2005

21. Real Interest Rate Linkages in the Pacific Basin Region
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
    See also Journal Article in International Review of Economics & Finance (2009)
22. 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 View citations (7)

2004

23. International linkage of real interest rates: the case of East Asian countries
    Econometric Society 2004 Australasian Meetings, Econometric Society
24. Nonlinear Modelling of Purchasing Power Parity in Indonesia
    Econometric Society 2004 Australasian Meetings, Econometric Society View citations (1)
25. Testing for the martingale hypothesis in Asian stock prices: evidence from a new joint variance ratio test
    Econometric Society 2004 Australasian Meetings, Econometric Society View citations (1)

2003

26. 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

2019

1. Interval-Based Hypothesis Testing and Its Applications to Economics and Finance
   Econometrics, 2019, 7, (2), 1-22
2. TACKLING FALSE POSITIVES IN BUSINESS RESEARCH: A STATISTICAL TOOLBOX WITH APPLICATIONS
   Journal of Economic Surveys, 2019, 33, (3), 862-895

2018

3. Significance Testing in Accounting Research: A Critical Evaluation Based on Evidence
   Abacus, 2018, 54, (4), 524-546 View citations (2)

2017

4. Adaptive markets hypothesis for Islamic stock indices: Evidence from Dow Jones size and sector-indices
   International Economics, 2017, 151, (C), 100-112 View citations (3)
   See also Working Paper (2017)
5. International stock return predictability: Evidence from new statistical tests
   International Review of Financial Analysis, 2017, 54, (C), 97-113 View citations (1)
   See also Working Paper (2017)
6. Stock returns and investors' mood: Good day sunshine or spurious correlation?
   International Review of Financial Analysis, 2017, 52, (C), 94-103 View citations (1)
   See also Working Paper (2016)
7. Unit Roots in Economic and Financial Time Series: A Re-Evaluation at the Decision-Based Significance Levels
   Econometrics, 2017, 5, (3), 1-23 View citations (2)

2016

8. Stock exchange mergers and market efficiency
   Applied Economics, 2016, 48, (7), 576-589 View citations (1)
   See also Working Paper (2014)

2015

9. A closer look at return predictability of the US stock market: evidence from new panel variance ratio tests
   Quantitative Finance, 2015, 15, (9), 1501-1514 View citations (2)
10. Market sentiment and the Fama–French factor premia
    Economics Letters, 2015, 136, (C), 129-132 View citations (1)
11. Significance testing in empirical finance: A critical review and assessment
    Journal of Empirical Finance, 2015, 34, (C), 1-14 View citations (11)
12. Will precious metals shine? A market efficiency perspective
    International Review of Financial Analysis, 2015, 41, (C), 284-291 View citations (10)
    See also Working Paper (2015)

2014

13. Testing for parameter restrictions in a stationary VAR model: A bootstrap alternative
    Economic Modelling, 2014, 41, (C), 267-273 View citations (3)

2013

14. Are US stock index returns predictable? Evidence from automatic autocorrelation-based tests
    Applied Economics, 2013, 45, (8), 953-962 View citations (26)

2012

15. ARDL bounds tests and robust inference for the long run relationship between real stock returns and inflation in Australia
    Economic Modelling, 2012, 29, (3), 535-543 View citations (11)
16. Are Gulf stock markets efficient? Evidence from new multiple variance ratio tests
    Applied Economics, 2012, 44, (14), 1737-1747 View citations (11)
17. Exchange-rate return predictability and the adaptive markets hypothesis: Evidence from major foreign exchange rates
    Journal of International Money and Finance, 2012, 31, (6), 1607-1626 View citations (21)
    See also Working Paper (2012)
18. Realized dual-betas for leading Australian stocks: An evaluation of the estimation methods and the effect of the sampling interval
    Mathematics and Computers in Simulation (MATCOM), 2012, 83, (C), 10-22

2011

19. Beyond point forecasting: Evaluation of alternative prediction intervals for tourist arrivals
    International Journal of Forecasting, 2011, 27, (3), 887-901 View citations (8)
    Also in International Journal of Forecasting, 2011, 27, (3), 887-901 (2011) View citations (8)
    See also Working Paper (2009)
20. Common stocks as a hedge against inflation: Evidence from century-long US data
    Economics Letters, 2011, 113, (2), 168-171 View citations (10)
21. Improved interval estimation of long run response from a dynamic linear model: A highest density region approach
    Computational Statistics & Data Analysis, 2011, 55, (8), 2477-2489 View citations (3)
    See also Working Paper (2010)
22. Mean-reversion in international real interest rates
    Economic Modelling, 2011, 28, (4), 1959-1966 View citations (4)
23. Small sample properties of alternative tests for martingale difference hypothesis
    Economics Letters, 2011, 110, (2), 151-154 View citations (26)
    See also Working Paper (2011)
24. Stock return predictability and the adaptive markets hypothesis: Evidence from century-long U.S. data
    Journal of Empirical Finance, 2011, 18, (5), 868-879 View citations (78)
25. Trade openness and the informational efficiency of emerging stock markets
    Economic Modelling, 2011, 28, (5), 2228-2238 View citations (18)

2009

26. Automatic variance ratio test under conditional heteroskedasticity
    Finance Research Letters, 2009, 6, (3), 179-185 View citations (54)
27. Real interest rate linkages in the Pacific-Basin region
    International Review of Economics & Finance, 2009, 18, (3), 440-448 View citations (4)
    See also Working Paper (2005)

2008

28. Are Asian stock markets efficient? Evidence from new multiple variance ratio tests
    Journal of Empirical Finance, 2008, 15, (3), 518-532 View citations (76)
29. Financial crisis and stock market efficiency: Empirical evidence from Asian countries
    International Review of Financial Analysis, 2008, 17, (3), 571-591 View citations (83)
30. Quantile forecasts of daily exchange rate returns from forecasts of realized volatility
    Journal of Empirical Finance, 2008, 15, (4), 729-750 View citations (56)
    See also Working Paper (2006)
31. Weak-Form Efficiency of Foreign Exchange Markets of Developing Economies
    Journal of Emerging Market Finance, 2008, 7, (2), 169-196 View citations (1)

2007

32. 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 View citations (77)
33. Bootstrap prediction intervals for autoregressive time series
    Computational Statistics & Data Analysis, 2007, 51, (7), 3580-3594 View citations (13)
34. Half-life estimation based on the bias-corrected bootstrap: A highest density region approach
    Computational Statistics & Data Analysis, 2007, 51, (7), 3418-3432 View citations (7)
    See also Working Paper (2006)

2006

35. Estimating technical efficiency of Australian dairy farms using alternative frontier methodologies
    Applied Economics, 2006, 38, (19), 2221-2236 View citations (16)
36. 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 (2)
37. Wild bootstrapping variance ratio tests
    Economics Letters, 2006, 92, (1), 38-43 View citations (78)

2005

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

2004

41. Bias-corrected bootstrap prediction regions for vector autoregression
    Journal of Forecasting, 2004, 23, (2), 141-154 View citations (20)
42. Bootstrap prediction intervals for autoregression using asymptotically mean-unbiased estimators
    International Journal of Forecasting, 2004, 20, (1), 85-97 View citations (13)
43. Direct and indirect forecasting of the money multiplier and velocity of circulation in the United Kingdom
    International Economic Journal, 2004, 18, (1), 103-118
44. Forecasting the Velocity of Circulation in the Japanese Economy
    Hitotsubashi Journal of Economics, 2004, 45, (1), 1-14

2003

45. Forecasting autoregressive time series with bias-corrected parameter estimators
    International Journal of Forecasting, 2003, 19, (3), 493-502 View citations (21)
46. 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 (7)

2002

47. Bootstrap Prediction Intervals for Autoregressive Models of Unknown or Infinite Lag Order
    Journal of Forecasting, 2002, 21, (4), 265-80 View citations (7)

2001

48. Bootstrap-after-Bootstrap Prediction Intervals for Autoregressive Models
    Journal of Business & Economic Statistics, 2001, 19, (1), 117-28 View citations (26)

2000

49. Estimation and inference in sur models when the number of equations is large
    Econometric Reviews, 2000, 19, (1), 105-130 View citations (7)

1999

50. Asymptotic and bootstrap prediction regions for vector autoregression
    International Journal of Forecasting, 1999, 15, (4), 393-403 View citations (32)

1991

51. The Heteroskedastic Consequences of an Arbitrary Variance for Initial Disturbance of an AR(1) Model
    Econometric Theory, 1991, 7, (04), 544-545