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Details about Jae Hoon Kim

E-mail:
Homepage:http://www.latrobe.edu.au/business/about/staff/profile?uname=JKim
Workplace:Department of Economics and Finance, La Trobe Business School, La Trobe University, (more information at EDIRC)

Access statistics for papers by Jae Hoon Kim.

Last updated 2019-10-17. Update your information in the RePEc Author Service.

Short-id: pki102


Jump to Journal Articles

Working Papers

2017

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

2016

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

2015

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

2014

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

2012

  1. Exchange-rate return predictability and the adaptive markets hypothesis: Evidence from major foreign exchange rates
    Post-Print, HAL Downloads View citations (17)
    Also in Working Papers, HAL (2010) Downloads View citations (2)

    See also Journal Article in Journal of International Money and Finance (2012)

2011

  1. Small Sample Properties of Alternative Tests for Martingale Difference Hypothesis
    Post-Print, HAL Downloads View citations (11)
    Also in Working Papers, School of Economics, La Trobe University (2010) Downloads
    Working Papers, School of Economics, La Trobe University (2010) Downloads

    See also Journal Article in Economics Letters (2011)

2010

  1. 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 Downloads View citations (1)
    Also in Working Papers, School of Economics, La Trobe University (2010) Downloads View citations (1)

    See also Journal Article in Computational Statistics & Data Analysis (2011)

2009

  1. 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 Downloads View citations (1)
    See also Journal Article in International Journal of Forecasting (2011)
  2. Short-Horizon Return Predictability in International Equity Markets
    Working Papers, School of Economics, La Trobe University Downloads
    Also in Working Papers, School of Economics, La Trobe University (2009) Downloads

    See also Journal Article in The Financial Review (2010)

2007

  1. 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 Downloads View citations (3)

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 Downloads View citations (4)
    See also Journal Article in Computational Statistics & Data Analysis (2007)
  2. Quantile Forecasts of Daily Exchange Rate Returns from Forecasts of Realized Volatility
    Economic Research Papers, University of Warwick - Department of Economics Downloads View citations (1)
    Also in The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics (2006) Downloads View citations (5)

    See also Journal Article in Journal of Empirical Finance (2008)

2005

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

2004

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

2003

  1. 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 Downloads

Journal Articles

2019

  1. Can energy prices predict stock returns? An extreme bounds analysis
    Energy Economics, 2019, 81, (C), 822-834 Downloads
  2. Interval-Based Hypothesis Testing and Its Applications to Economics and Finance
    Econometrics, 2019, 7, (2), 1-22 Downloads
  3. TACKLING FALSE POSITIVES IN BUSINESS RESEARCH: A STATISTICAL TOOLBOX WITH APPLICATIONS
    Journal of Economic Surveys, 2019, 33, (3), 862-895 Downloads

2018

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

2017

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

2016

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

2015

  1. 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 Downloads View citations (2)
  2. Market sentiment and the Fama–French factor premia
    Economics Letters, 2015, 136, (C), 129-132 Downloads View citations (1)
  3. Significance testing in empirical finance: A critical review and assessment
    Journal of Empirical Finance, 2015, 34, (C), 1-14 Downloads View citations (11)
  4. Will precious metals shine? A market efficiency perspective
    International Review of Financial Analysis, 2015, 41, (C), 284-291 Downloads View citations (10)
    See also Working Paper (2015)

2014

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

2013

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

2012

  1. 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 Downloads View citations (11)
  2. Are Gulf stock markets efficient? Evidence from new multiple variance ratio tests
    Applied Economics, 2012, 44, (14), 1737-1747 Downloads View citations (11)
  3. 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 Downloads View citations (21)
    See also Working Paper (2012)
  4. 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 Downloads

2011

  1. Beyond point forecasting: Evaluation of alternative prediction intervals for tourist arrivals
    International Journal of Forecasting, 2011, 27, (3), 887-901 Downloads View citations (8)
    Also in International Journal of Forecasting, 2011, 27, (3), 887-901 (2011) Downloads View citations (8)

    See also Working Paper (2009)
  2. Common stocks as a hedge against inflation: Evidence from century-long US data
    Economics Letters, 2011, 113, (2), 168-171 Downloads View citations (10)
  3. 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 Downloads View citations (3)
    See also Working Paper (2010)
  4. Mean-reversion in international real interest rates
    Economic Modelling, 2011, 28, (4), 1959-1966 Downloads View citations (4)
  5. Small sample properties of alternative tests for martingale difference hypothesis
    Economics Letters, 2011, 110, (2), 151-154 Downloads View citations (26)
    See also Working Paper (2011)
  6. Stock return predictability and the adaptive markets hypothesis: Evidence from century-long U.S. data
    Journal of Empirical Finance, 2011, 18, (5), 868-879 Downloads View citations (78)
  7. Trade openness and the informational efficiency of emerging stock markets
    Economic Modelling, 2011, 28, (5), 2228-2238 Downloads View citations (18)

2010

  1. Short‐Horizon Return Predictability in International Equity Markets
    The Financial Review, 2010, 45, (2), 469-484 Downloads View citations (6)
    See also Working Paper (2009)

2009

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

2008

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

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

2006

  1. Estimating technical efficiency of Australian dairy farms using alternative frontier methodologies
    Applied Economics, 2006, 38, (19), 2221-2236 Downloads View citations (16)
  2. International cross-listings by Australian firms: A stochastic dominance analysis of equity returns
    Journal of Multinational Financial Management, 2006, 16, (5), 494-508 Downloads View citations (2)
  3. Wild bootstrapping variance ratio tests
    Economics Letters, 2006, 92, (1), 38-43 Downloads View citations (78)

2005

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

2004

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

2003

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

2002

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

2001

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

2000

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

1999

  1. Asymptotic and bootstrap prediction regions for vector autoregression
    International Journal of Forecasting, 1999, 15, (4), 393-403 Downloads View citations (32)
 
Page updated 2019-11-21