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Information about:
Jae Hoon Kim

Personal Details | Affiliation | Lists | Works
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Personal Details

First Name: Jae
Middle Name: Hoon
Last Name: Kim
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RePEc Short-ID: pki102

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Homepage: http://www.latrobe.edu.au/lawman/staff-profiles/view-profile?uname=jkim
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Affiliation

(in no particular order)

Lists

This author is featured on the following reading lists or publication compilations:
  1. Korean Economists

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  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!]

  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!]

  3. 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:

  4. 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:

  5. Philip Inyeob Ji & Jae H. Kim, 2005. "Real Interest Rate Linkages in the Pacific Basin Region," Monash Econometrics and Business Statistics Working Papers 23/05, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]

  6. Jae H. Kim & Hristos Doucouliagos, 2005. "Realized Volatility and Correlation in Grain Futures Markets: Testing for Spill-Over Effects," Monash Econometrics and Business Statistics Working Papers 22/05, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]

  7. Param Silvapulle & Titi Kanti Lestari & Jae Kim, 2004. "Nonlinear Modelling of Purchasing Power Parity in Indonesia," Econometric Society 2004 Australasian Meetings 316, Econometric Society. [Downloadable!]

  8. Jae H. Kim, 2004. "Testing for the martingale hypothesis in Asian stock prices: evidence from a new joint variance ratio test," Econometric Society 2004 Australasian Meetings 98, Econometric Society. [Downloadable!]

  9. Jae H. Kim & Philip I. Ji, 2004. "International linkage of real interest rates: the case of East Asian countries," Econometric Society 2004 Australasian Meetings 124, Econometric Society. [Downloadable!]

  10. MoonJoong Tcha & Jae H. Kim, 2003. "Exchange Rate Pass-Through and Market Response: The Case of the US Steel Market," Economics Discussion / Working Papers 03-02, The University of Western Australia, Department of Economics. [Downloadable!]

Articles

  1. Kim, Jae H., 2009. "Automatic variance ratio test under conditional heteroskedasticity," Finance Research Letters, Elsevier, vol. 6(3), pages 179-185, September. [Downloadable!] (restricted)

  2. 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)

  3. Kim, Jae H. & Shamsuddin, Abul, 2008. "Are Asian stock markets efficient? Evidence from new multiple variance ratio tests," Journal of Empirical Finance, Elsevier, vol. 15(3), pages 518-532, June. [Downloadable!] (restricted)

  4. 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:

  5. Clements, Michael P. & Kim, Jae H., 2007. "Bootstrap prediction intervals for autoregressive time series," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3580-3594, April. [Downloadable!] (restricted)

  6. Hoque, Hafiz A.A.B. & Kim, Jae H. & Pyun, Chong Soo, 2007. "A comparison of variance ratio tests of random walk: A case of Asian emerging stock markets," International Review of Economics & Finance, Elsevier, vol. 16(4), pages 488-502. [Downloadable!] (restricted)

  7. 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:

  8. 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)

  9. 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)

  10. Kim, Jae H., 2006. "Wild bootstrapping variance ratio tests," Economics Letters, Elsevier, vol. 92(1), pages 38-43, July. [Downloadable!] (restricted)

  11. Jae Kim & Mahbuba Yeasmin, 2005. "The Size and Power of the Bias-Corrected Bootstrap Test for Regression Models with Autocorrelated Errors," Computational Economics, Springer, vol. 25(3), pages 255-267, June. [Downloadable!] (restricted)

  12. 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)

  13. Jae Kim, 2005. "Bias-Corrected Bootstrap Inference for Regression Models with Autocorrelated Errors," Economics Bulletin, Economics Bulletin, vol. 3(44), pages 1-8. [Downloadable!]

  14. Imad Moosa & Jae Kim, 2004. "Direct and indirect forecasting of the money multiplier and velocity of circulation in the United Kingdom," International Economic Journal, Korean International Economic Association, vol. 18(1), pages 103-118, March. [Downloadable!] (restricted)

  15. Jae H. Kim, 2004. "Bias-corrected bootstrap prediction regions for vector autoregression," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(2), pages 141-154. [Downloadable!]

  16. 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)

  17. 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)

  18. Kim, Jae H., 2003. "Forecasting autoregressive time series with bias-corrected parameter estimators," International Journal of Forecasting, Elsevier, vol. 19(3), pages 493-502. [Downloadable!] (restricted)

  19. 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.

  20. Kim, Jae H, 2001. "Bootstrap-after-Bootstrap Prediction Intervals for Autoregressive Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(1), pages 117-28, January.

  21. 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)

  22. 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)

  23. Kim, Jae Hoon, 1991. "The Heteroskedastic Consequences of an Arbitrary Variance for Initial Disturbance of an AR(1) Model," Econometric Theory, Cambridge University Press, vol. 7(04), pages 544-545, December. [Downloadable!]

NEP Fields

8 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CBA: Central Banking (1) 2007-01-14
  2. NEP-ECM: Econometrics (3) 2006-07-21 2007-01-14 2009-03-22 Author is listed
  3. NEP-ETS: Econometric Time Series (4) 2004-10-30 2006-07-21 2007-01-14 2009-03-22 Author is listed
  4. NEP-FIN: Finance (2) 2004-10-30 2005-09-29 Author is listed
  5. NEP-FMK: Financial Markets (2) 2005-09-29 2005-10-15 Author is listed
  6. NEP-FOR: Forecasting (2) 2007-01-14 2009-03-22 Author is listed
  7. NEP-IFN: International Finance (4) 2004-10-30 2004-10-30 2005-10-15 2007-01-14 Author is listed
  8. NEP-MAC: Macroeconomics (1) 2005-10-15
  9. NEP-MON: Monetary Economics (1) 2004-10-30
  10. NEP-ORE: Operations Research (1) 2009-03-22
  11. NEP-RMG: Risk Management (2) 2004-10-30 2007-01-14 Author is listed
  12. NEP-TUR: Tourism Economics (1) 2009-03-22
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This page was last updated on 2009-11-28.

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