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Citations of
Jae Hoon Kim

For current contact information and a more complete listing of works, please see here

The citations below have been collected in an experimental project, CitEc. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.

| Working papers | Articles | Access and download statistics

Working papers

  1. Jae Kim & Param Silvapulle & Rob J. Hyndman, 2006. "Half-Life Estimation based on the Bias-Corrected Bootstrap: A Highest Density Region Approach," Monash Econometrics and Business Statistics Working Papers 11/06, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
    Published as:

    Cited by:

    1. Qian Chen & David E. Giles, 2007. "A Saddlepoint Approximation to the Distribution of the Half-Life Estimator in an Autoregressive Model: New Insights Into the PPP Puzzle," Econometrics Working Papers 0703, Department of Economics, University of Victoria. [Downloadable!]
    2. Jayasuriya, Sisira & Kim, Jae & Kumar, Parmod, 2007. "International and Internal Market Integration in Indian agriculture: A study of the Indian Rice Market," 106th Seminar, October 25-27, 2007, Montpellier, France 7935, European Association of Agricultural Economists. [Downloadable!]

  2. Clements, Michael P. & Galvão, Ana Beatriz & Kim, Jae H., 2006. "Quantile Forecasts of Daily Exchange Rate Returns from Forecasts of Realized Volatility," The Warwick Economics Research Paper Series (TWERPS) 777, University of Warwick, Department of Economics. [Downloadable!]
    Published as:

    Cited by:

    1. Fulvio Corsi & Davide Pirino & Roberto Renò, 2008. "Volatility forecasting: the jumps do matter," Department of Economics University of Siena 534, Department of Economics, University of Siena. [Downloadable!]
    2. Christian T. Brownlees & Giampiero Gallo, 2008. "Comparison of Volatility Measures: a Risk Management Perspective," Econometrics Working Papers Archive wp2008_03, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
    3. Fulvio Corsi & Davide Pirino & Roberto Reno, 2009. "Volatility Forecasting: The Jumps Do Matter," Global COE Hi-Stat Discussion Paper Series gd08-036, Institute of Economic Research, Hitotsubashi University. [Downloadable!]

Articles

  1. Lim, Kian-Ping & Brooks, Robert D. & Kim, Jae H., 2008. "Financial crisis and stock market efficiency: Empirical evidence from Asian countries," International Review of Financial Analysis, Elsevier, vol. 17(3), pages 571-591, June. [Downloadable!] (restricted)

    Cited by:

    1. Paul Alagidede & Theodore Panagiotidis, 2009. "Modelling stock returns in Africa’s emerging equity markets," Discussion Paper Series 2009_01, Department of Economics, University of Macedonia, revised Jan 2009. [Downloadable!]
      Other versions:

  2. Clements, Michael P. & Galvão, Ana Beatriz & Kim, Jae H., 2008. "Quantile forecasts of daily exchange rate returns from forecasts of realized volatility," Journal of Empirical Finance, Elsevier, vol. 15(4), pages 729-750, September. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  3. Kim, Jae H. & Silvapulle, Param & Hyndman, Rob J., 2007. "Half-life estimation based on the bias-corrected bootstrap: A highest density region approach," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3418-3432, April. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  4. Ahmed, Kamran & Kim, Jae H. & Henry, Darren, 2006. "International cross-listings by Australian firms: A stochastic dominance analysis of equity returns," Journal of Multinational Financial Management, Elsevier, vol. 16(5), pages 494-508, December. [Downloadable!] (restricted)

    Cited by:

    1. Cécile Carpentier & Jean-François L'Her & Jean-Marc Suret, 2009. "Long-run Performance Following Cross-Listing: A Re-examination," CIRANO Working Papers 2007s-25, CIRANO. [Downloadable!]

  5. Kelvin Balcombe & Iain Fraser & Jae H. Kim, 2006. "Estimating technical efficiency of Australian dairy farms using alternative frontier methodologies," Applied Economics, Taylor and Francis Journals, vol. 38(19), pages 2221-2236, October. [Downloadable!] (restricted)

    Cited by:

    1. Murova, Olga & Chidmi, Benaissa, 2008. "Impacts of Federal Government Programs and Specific Farm Variables on Technical Effiicency of Dairy Farms," 2009 Annual Meeting, January 31-February 3, 2009, Atlanta, Georgia 46822, Southern Agricultural Economics Association. [Downloadable!]
    2. Kevin Balcombe & Hristos Doucouliagos & Iain Fraseer, 2006. "Input Usage, Ouput Mix and Industry Deregulation: An Analysis of the Australian Dairy Manufacturing Industry," Economics Series 2006_27, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance. [Downloadable!]

  6. Jae H. Kim, 2005. "Investigating the advertising-sales relationship in the Lydia Pinkham data: a bootstrap approach," Applied Economics, Taylor and Francis Journals, vol. 37(3), pages 347-354, February. [Downloadable!] (restricted)

    Cited by:

    1. José Casals Carro & Miguel Jerez Méndez & Sonia Sotoca López, 2006. "Decomposition of state-space Model with inputs: The theory and an application to estimate the ROI of advertising," Documentos del Instituto Complutense de Análisis Económico 0602, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales. [Downloadable!]

  7. Kim, Jae H., 2004. "Bootstrap prediction intervals for autoregression using asymptotically mean-unbiased estimators," International Journal of Forecasting, Elsevier, vol. 20(1), pages 85-97. [Downloadable!] (restricted)

    Cited by:

    1. Jae H. Kim & Haiyang Song & Kevin Wong & George Athanasopoulos & Shen Liu, 2008. "Beyond point forecasting: evaluation of alternative prediction intervals for tourist arrivals," Monash Econometrics and Business Statistics Working Papers 11/08, Monash University, Department of Econometrics and Business Statistics, revised Oct 2009. [Downloadable!]

  8. Shamsuddin, Abul F. M. & Kim, Jae H., 2003. "Integration and interdependence of stock and foreign exchange markets: an Australian perspective," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(3), pages 237-254, July. [Downloadable!] (restricted)

    Cited by:

    1. Huseyin Tastan, 2005. "Dynamic Interdependence and Volatility Transmission in Turkish and European Equity Markets," Working Papers 2005/10, Turkish Economic Association. [Downloadable!]

  9. Kim, Jae H, 2002. "Bootstrap Prediction Intervals for Autoregressive Models of Unknown or Infinite Lag Order," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 21(4), pages 265-80, July.

    Cited by:

    1. Jing, Li, 2009. "Bootstrap prediction intervals for threshold autoregressive models," MPRA Paper 13086, University Library of Munich, Germany. [Downloadable!]

  10. Denzil Fiebig & Jae Kim, 2000. "Estimation and inference in sur models when the number of equations is large," Econometric Reviews, Taylor and Francis Journals, vol. 19(1), pages 105-130. [Downloadable!] (restricted)

    Cited by:

    1. Alkhamisi, M.A. & Shukur, Ghazi, 2007. "Developing Ridge Parameters for SUR Models," Working Paper Series in Economics and Institutions of Innovation 80, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies. [Downloadable!]
    2. Griffiths, W.E., 2001. "Bayesian Inference in the Seemingly Unrelated Regressions Models," Department of Economics - Working Papers Series 793, The University of Melbourne. [Downloadable!]
    3. Yihui Lan, 2001. "The Long-Run Value of Currencies: A Big Mac Perspective," Economics Discussion / Working Papers 01-17, The University of Western Australia, Department of Economics. [Downloadable!]
    4. Chotikapanich, D. & Griffiths, W.E. & Skeels, C.L., 2001. "Sample Size Requirements for Estimation in SUR Models," Department of Economics - Working Papers Series 794, The University of Melbourne. [Downloadable!]
    5. Yihui Lan, 2003. "The Long-Term Behaviour of Exchange Rates, Part V: The Stationarity of Exchange Rates," Economics Discussion / Working Papers 03-09, The University of Western Australia, Department of Economics. [Downloadable!]

  11. Kim, Jae H., 1999. "Asymptotic and bootstrap prediction regions for vector autoregression," International Journal of Forecasting, Elsevier, vol. 15(4), pages 393-403, October. [Downloadable!] (restricted)

    Cited by:

    1. Jing, Li, 2009. "Bootstrap prediction intervals for threshold autoregressive models," MPRA Paper 13086, University Library of Munich, Germany. [Downloadable!]
    2. Jae H. Kim & Haiyang Song & Kevin Wong & George Athanasopoulos & Shen Liu, 2008. "Beyond point forecasting: evaluation of alternative prediction intervals for tourist arrivals," Monash Econometrics and Business Statistics Working Papers 11/08, Monash University, Department of Econometrics and Business Statistics, revised Oct 2009. [Downloadable!]
    3. Helmut Luetkepohl, 2009. "Forecasting Aggregated Time Series Variables: A Survey," Economics Working Papers ECO2009/17, European University Institute. [Downloadable!]

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This page was last updated on 2009-12-16.

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