Details about Jae Hoon Kim
Access statistics for papers by Jae Hoon Kim.
Last updated 2021-01-28. Update your information in the RePEc Author Service.
Short-id: pki102
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Working Papers
2017
- Adaptive Markets Hypothesis for Islamic Stock Portfolios: Evidence from Dow Jones Size and Sector-Indices
Post-Print, HAL View citations (5)
- Adaptive markets hypothesis for Islamic stock indices: Evidence from Dow Jones size and sector-indices
Post-Print, HAL View citations (6)
See also Journal Article in International Economics (2017)
- International Stock Return Predictability: Evidence from New Statistical Tests
Post-Print, HAL View citations (5)
See also Journal Article in International Review of Financial Analysis (2017)
2016
- Stock Exchange Mergers and Market
Post-Print, HAL View citations (1)
- Stock Return Predictability: Evaluation based on Prediction Intervals
MPRA Paper, University Library of Munich, Germany 
Also in Working Papers, HAL (2016)
- 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
- How to Choose the Level of Significance: A Pedagogical Note
MPRA Paper, University Library of Munich, Germany View citations (3)
- Unit Roots in Economic and Financial Time Series: A Re-Evaluation based on Enlightened Judgement
MPRA Paper, University Library of Munich, Germany
- Will precious metals shine ? A market efficiency perspective
Post-Print, HAL View citations (21)
See also Journal Article in International Review of Financial Analysis (2015)
2014
- Market efficiency in Asian and Australasian stock markets: a fresh look at the evidence
Working Papers, Deakin University, Department of Economics View citations (3)
- Precious metals shine? A market efficiency perspective
Working Papers, HAL
- Stock Exchange Mergers and Market Efficiency
Working Papers, HAL View citations (2)
See also Journal Article in Applied Economics (2016)
2012
- Exchange-rate return predictability and the adaptive markets hypothesis: Evidence from major foreign exchange rates
Post-Print, HAL View citations (31)
Also in Working Papers, HAL (2010) View citations (2)
See also Journal Article in Journal of International Money and Finance (2012)
2011
- Small Sample Properties of Alternative Tests for Martingale Difference Hypothesis
Post-Print, HAL View citations (14)
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
- 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
- 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)
- 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) 
See also Journal Article in The Financial Review (2010)
2007
- 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
- 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)
- Quantile Forecasts of Daily Exchange Rate Returns from Forecasts of Realized Volatility
Economic Research Papers, University of Warwick - Department of Economics View citations (1)
Also in The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics (2006) View citations (5)
See also Journal Article in Journal of Empirical Finance (2008)
2005
- 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)
- 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
- International linkage of real interest rates: the case of East Asian countries
Econometric Society 2004 Australasian Meetings, Econometric Society
- Nonlinear Modelling of Purchasing Power Parity in Indonesia
Econometric Society 2004 Australasian Meetings, Econometric Society View citations (1)
- 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
- 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
2020
- A bootstrap test for predictability of asset returns
Finance Research Letters, 2020, 35, (C)
- Decision-Theoretic Hypothesis Testing: A Primer With R Package OptSig
The American Statistician, 2020, 74, (4), 370-379
- Towards a New Paradigm for Statistical Evidence in the Use of p -Value
Econometrics, 2020, 9, (1), 1-3
2019
- Can energy prices predict stock returns? An extreme bounds analysis
Energy Economics, 2019, 81, (C), 822-834 View citations (1)
- Interval-Based Hypothesis Testing and Its Applications to Economics and Finance
Econometrics, 2019, 7, (2), 1-22 View citations (1)
- TACKLING FALSE POSITIVES IN BUSINESS RESEARCH: A STATISTICAL TOOLBOX WITH APPLICATIONS
Journal of Economic Surveys, 2019, 33, (3), 862-895
2018
- Significance Testing in Accounting Research: A Critical Evaluation Based on Evidence
Abacus, 2018, 54, (4), 524-546 View citations (4)
2017
- Adaptive markets hypothesis for Islamic stock indices: Evidence from Dow Jones size and sector-indices
International Economics, 2017, 151, (C), 100-112 View citations (6)
See also Working Paper (2017)
- International stock return predictability: Evidence from new statistical tests
International Review of Financial Analysis, 2017, 54, (C), 97-113 View citations (5)
See also Working Paper (2017)
- Stock returns and investors' mood: Good day sunshine or spurious correlation?
International Review of Financial Analysis, 2017, 52, (C), 94-103 View citations (6)
See also Working Paper (2016)
- 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 (6)
2016
- Stock exchange mergers and market efficiency
Applied Economics, 2016, 48, (7), 576-589 View citations (1)
See also Working Paper (2014)
2015
- 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 (3)
- Market sentiment and the Fama–French factor premia
Economics Letters, 2015, 136, (C), 129-132 View citations (2)
- Significance testing in empirical finance: A critical review and assessment
Journal of Empirical Finance, 2015, 34, (C), 1-14 View citations (14)
- Will precious metals shine? A market efficiency perspective
International Review of Financial Analysis, 2015, 41, (C), 284-291 View citations (21)
See also Working Paper (2015)
2014
- Testing for parameter restrictions in a stationary VAR model: A bootstrap alternative
Economic Modelling, 2014, 41, (C), 267-273 View citations (3)
2013
- Are US stock index returns predictable? Evidence from automatic autocorrelation-based tests
Applied Economics, 2013, 45, (8), 953-962 View citations (35)
2012
- 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 (15)
- Are Gulf stock markets efficient? Evidence from new multiple variance ratio tests
Applied Economics, 2012, 44, (14), 1737-1747 View citations (16)
- 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 (35)
See also Working Paper (2012)
- 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
- Beyond point forecasting: Evaluation of alternative prediction intervals for tourist arrivals
International Journal of Forecasting, 2011, 27, (3), 887-901 View citations (13)
Also in International Journal of Forecasting, 2011, 27, (3), 887-901 (2011) View citations (13)
See also Working Paper (2009)
- Common stocks as a hedge against inflation: Evidence from century-long US data
Economics Letters, 2011, 113, (2), 168-171 View citations (17)
- 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)
- Mean-reversion in international real interest rates
Economic Modelling, 2011, 28, (4), 1959-1966 View citations (4)
- Small sample properties of alternative tests for martingale difference hypothesis
Economics Letters, 2011, 110, (2), 151-154 View citations (29)
See also Working Paper (2011)
- 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 (100)
- Trade openness and the informational efficiency of emerging stock markets
Economic Modelling, 2011, 28, (5), 2228-2238 View citations (21)
2010
- Short‐Horizon Return Predictability in International Equity Markets
The Financial Review, 2010, 45, (2), 469-484 View citations (6)
See also Working Paper (2009)
2009
- Automatic variance ratio test under conditional heteroskedasticity
Finance Research Letters, 2009, 6, (3), 179-185 View citations (65)
- 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
- Are Asian stock markets efficient? Evidence from new multiple variance ratio tests
Journal of Empirical Finance, 2008, 15, (3), 518-532 View citations (89)
- Financial crisis and stock market efficiency: Empirical evidence from Asian countries
International Review of Financial Analysis, 2008, 17, (3), 571-591 View citations (87)
- Quantile forecasts of daily exchange rate returns from forecasts of realized volatility
Journal of Empirical Finance, 2008, 15, (4), 729-750 View citations (67)
See also Working Paper (2006)
- Weak-Form Efficiency of Foreign Exchange Markets of Developing Economies
Journal of Emerging Market Finance, 2008, 7, (2), 169-196 View citations (1)
2007
- 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 (82)
- Bootstrap prediction intervals for autoregressive time series
Computational Statistics & Data Analysis, 2007, 51, (7), 3580-3594 View citations (17)
- 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
- Estimating technical efficiency of Australian dairy farms using alternative frontier methodologies
Applied Economics, 2006, 38, (19), 2221-2236 View citations (18)
- 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 (3)
- Wild bootstrapping variance ratio tests
Economics Letters, 2006, 92, (1), 38-43 View citations (90)
2005
- Bias-Corrected Bootstrap Inference for Regression Models with Autocorrelated Errors
Economics Bulletin, 2005, 3, (44), 1-8
- Investigating the advertising-sales relationship in the Lydia Pinkham data: a bootstrap approach
Applied Economics, 2005, 37, (3), 347-354 View citations (1)
- The Size and Power of the Bias-Corrected Bootstrap Test for Regression Models with Autocorrelated Errors
Computational Economics, 2005, 25, (3), 255-267
2004
- Bias-corrected bootstrap prediction regions for vector autoregression
Journal of Forecasting, 2004, 23, (2), 141-154 View citations (21)
- Bootstrap prediction intervals for autoregression using asymptotically mean-unbiased estimators
International Journal of Forecasting, 2004, 20, (1), 85-97 View citations (13)
- Direct and indirect forecasting of the money multiplier and velocity of circulation in the United Kingdom
International Economic Journal, 2004, 18, (1), 103-118 View citations (2)
- Forecasting the Velocity of Circulation in the Japanese Economy
Hitotsubashi Journal of Economics, 2004, 45, (1), 1-14
2003
- Forecasting autoregressive time series with bias-corrected parameter estimators
International Journal of Forecasting, 2003, 19, (3), 493-502 View citations (22)
- 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 (8)
2002
- Bootstrap Prediction Intervals for Autoregressive Models of Unknown or Infinite Lag Order
Journal of Forecasting, 2002, 21, (4), 265-80 View citations (7)
2001
- Bootstrap-after-Bootstrap Prediction Intervals for Autoregressive Models
Journal of Business & Economic Statistics, 2001, 19, (1), 117-28 View citations (27)
- Modelling and Forecasting Monthly Airline Passenger Flows among Three Major Australian Cities
Tourism Economics, 2001, 7, (4), 397-412 View citations (1)
- Seasonal Behaviour of Monthly International Tourist Flows: Specification and Implications for Forecasting Models
Tourism Economics, 2001, 7, (4), 381-396 View citations (2)
2000
- Estimation and inference in sur models when the number of equations is large
Econometric Reviews, 2000, 19, (1), 105-130 View citations (7)
1999
- Asymptotic and bootstrap prediction regions for vector autoregression
International Journal of Forecasting, 1999, 15, (4), 393-403 View citations (33)
- Forecasting Monthly Tourist Departures from Australia
Tourism Economics, 1999, 5, (3), 277-291 View citations (1)
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