IDEAS home Printed from https://ideas.repec.org/d/g/dxusyau.html

Publications

by alumni of

University of Sydney → Business School → Discipline of Business Analytics

These are publications listed in RePEc written by alumni of the above institution who are registered with the RePEc Author Service and listed in the RePEc Genealogy. List of alumni. For a list of publications by current members of the department, see here. Register yourself.

This page is updated in the first days of each month.

| Working papers | Journal articles |

Working papers

2017

  1. Amélie Charles & Olivier Darné & Jae H Kim, 2017, "Adaptive Markets Hypothesis for Islamic Stock Portfolios: Evidence from Dow Jones Size and Sector-Indices," Post-Print, HAL, number hal-01526483, DOI: 10.2139/ssrn.2611472.
  2. Amélie Charles & Olivier Darné & Jae H Kim, 2017, "Adaptive markets hypothesis for Islamic stock indices: Evidence from Dow Jones size and sector-indices," Post-Print, HAL, number hal-01579718, Aug, DOI: 10.1016/j.inteco.2017.05.002.
  3. Amélie Charles & Olivier Darné & Jae H Kim, 2017, "International Stock Return Predictability: Evidence from New Statistical Tests," Post-Print, HAL, number hal-01626101, Oct, DOI: 10.1016/j.irfa.2016.06.005.

2016

  1. Amélie Charles & Olivier Darné & Jae H. Kim & Etienne Redor, 2016, "Stock Exchange Mergers and Market," Post-Print, HAL, number hal-01238707, DOI: 10.1080/00036846.2015.1083090.
  2. Charles, Amelie & Darne, Olivier & Kim, Jae, 2016, "Stock Return Predictability: Evaluation based on Prediction Intervals," MPRA Paper, University Library of Munich, Germany, number 70143, Mar.
  3. Kim, Jae, 2016, "Stock Returns and Investors’ Mood: Good Day Sunshine or Spurious Correlation?," MPRA Paper, University Library of Munich, Germany, number 70692, Apr.

2015

  1. Kim, Jae, 2015, "How to Choose the Level of Significance: A Pedagogical Note," MPRA Paper, University Library of Munich, Germany, number 66373, Aug.
  2. Amélie Charles & Olivier Darné & Jae H. Kim, 2015, "Will precious metals shine ? A market efficiency perspective," Post-Print, HAL, number hal-01238706, Dec, DOI: 10.1016/j.irfa.2015.01.018.
  3. Kim, Jae & Choi, In, 2015, "Unit Roots in Economic and Financial Time Series: A Re-Evaluation based on Enlightened Judgement," MPRA Paper, University Library of Munich, Germany, number 68411, Dec.

2014

  1. Amélie Charles & Olivier Darné & Jae H. Kim & Etienne Redor, 2014, "Stock Exchange Mergers and Market Efficiency," Working Papers, HAL, number hal-00940105, Jan.
  2. Amélie Charles & Olivier Darné & Jae H. Kim, 2014, "Precious metals shine? A market efficiency perspective," Working Papers, HAL, number hal-01010516, Jun.
  3. Kim, Jae & Doucouliagos, Hristos & Stanley, T. D., 2014, "Market efficiency in Asian and Australasian stock markets: a fresh look at the evidence," Working Papers, Deakin University, Department of Economics, number eco_2014_9, Jan.

2010

  1. Amélie Charles & Olivier Darné & Jae H. Kim, 2010, "Exchange-Rate Return Predictability and the Adaptive Markets Hypothesis: Evidence from Major Foreign Exchange Rates," Working Papers, HAL, number hal-00547722, Nov.
  2. Amélie Charles & Olivier Darné & Jae H Kim, 2010, "Small Sample Properties of Alternative Tests for Martingale Difference Hypothesis," Working Papers, School of Economics, La Trobe University, number 2010.07, Nov.
  3. Jae H Kim & Iain Fraser & Rob J. Hyndman, 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, number 2010.06.

2009

  1. Abul Shamsuddin & Jae H Kim, 2009, "Short-Horizon Return Predictability in International Equity Markets," Working Papers, School of Economics, La Trobe University, number 2009.01.

2008

  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, Monash University, Department of Econometrics and Business Statistics, number 11/08, Dec, revised Oct 2009.

2007

  1. Jayasuriya, Sisira & Kim, Jae H. & 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, European Association of Agricultural Economists, number 7935, DOI: 10.22004/ag.econ.7935.

2006

  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, Monash University, Department of Econometrics and Business Statistics, number 11/06, Jun.
  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), University of Warwick, Department of Economics, number 777.

2005

  1. 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, Monash University, Department of Econometrics and Business Statistics, number 22/05, Sep.
  2. Philip Inyeob Ji & Jae H. Kim, 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, number 23/05, Oct.

2004

  1. 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, Econometric Society, number 98, Aug.
  2. Jae H. Kim & Philip I. Ji, 2004, "International linkage of real interest rates: the case of East Asian countries," Econometric Society 2004 Australasian Meetings, Econometric Society, number 124, Aug.
  3. Param Silvapulle & Titi Kanti Lestari & Jae Kim, 2004, "Nonlinear Modelling of Purchasing Power Parity in Indonesia," Econometric Society 2004 Australasian Meetings, Econometric Society, number 316, Aug.

2003

  1. MoonJoong Tcha & Jae H. Kim, 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, number 03-02.

Journal articles

2021

  1. Jae H. Kim & In Choi, 2021, "Choosing the Level of Significance: A Decision‐theoretic Approach," Abacus, Accounting Foundation, University of Sydney, volume 57, issue 1, pages 27-71, March, DOI: 10.1111/abac.12172.

2020

  1. Kim, Jae H. & Shamsuddin, Abul, 2020, "A bootstrap test for predictability of asset returns," Finance Research Letters, Elsevier, volume 35, issue C, DOI: 10.1016/j.frl.2019.09.004.
  2. Jae H. Kim, 2020, "Decision-Theoretic Hypothesis Testing: A Primer With R Package OptSig," The American Statistician, Taylor & Francis Journals, volume 74, issue 4, pages 370-379, October, DOI: 10.1080/00031305.2020.1750484.
  3. Muhammad Ishaq Bhatti & Jae H. Kim, 2020, "Towards a New Paradigm for Statistical Evidence in the Use of p -Value," Econometrics, MDPI, volume 9, issue 1, pages 1-3, December.

2019

  1. Jae H. Kim, 2019, "Tackling False Positives In Business Research: A Statistical Toolbox With Applications," Journal of Economic Surveys, Wiley Blackwell, volume 33, issue 3, pages 862-895, July, DOI: 10.1111/joes.12303.
  2. Jae H. Kim & Andrew P. Robinson, 2019, "Interval-Based Hypothesis Testing and Its Applications to Economics and Finance," Econometrics, MDPI, volume 7, issue 2, pages 1-22, May.
  3. Kim, Jae H. & Rahman, Md Lutfur & Shamsuddin, Abul, 2019, "Can energy prices predict stock returns? An extreme bounds analysis," Energy Economics, Elsevier, volume 81, issue C, pages 822-834, DOI: 10.1016/j.eneco.2019.05.029.

2018

  1. Jae H. Kim & Kamran Ahmed & Philip Inyeob Ji, 2018, "Significance Testing in Accounting Research: A Critical Evaluation Based on Evidence," Abacus, Accounting Foundation, University of Sydney, volume 54, issue 4, pages 524-546, December, DOI: 10.1111/abac.12141.

2017

  1. Kim, Jae H., 2017, "Stock returns and investors' mood: Good day sunshine or spurious correlation?," International Review of Financial Analysis, Elsevier, volume 52, issue C, pages 94-103, DOI: 10.1016/j.irfa.2017.05.004.
  2. Charles, Amélie & Darné, Olivier & Kim, Jae H., 2017, "International stock return predictability: Evidence from new statistical tests," International Review of Financial Analysis, Elsevier, volume 54, issue C, pages 97-113, DOI: 10.1016/j.irfa.2016.06.005.
  3. Charles, Amélie & Darné, Olivier & Kim, Jae H., 2017, "Adaptive markets hypothesis for Islamic stock indices: Evidence from Dow Jones size and sector-indices," International Economics, Elsevier, volume 151, issue C, pages 100-112, DOI: 10.1016/j.inteco.2017.05.002.
  4. Jae H. Kim & In Choi, 2017, "Unit Roots in Economic and Financial Time Series: A Re-Evaluation at the Decision-Based Significance Levels," Econometrics, MDPI, volume 5, issue 3, pages 1-23, September.

2016

  1. Am鬩e Charles & Olivier Darn頍 & Jae H. Kim & Etienne Redor, 2016, "Stock exchange mergers and market efficiency," Applied Economics, Taylor & Francis Journals, volume 48, issue 7, pages 576-589, February, DOI: 10.1080/00036846.2015.1083090.

2015

  1. Kim, Jae H. & Ji, Philip Inyeob, 2015, "Significance testing in empirical finance: A critical review and assessment," Journal of Empirical Finance, Elsevier, volume 34, issue C, pages 1-14, DOI: 10.1016/j.jempfin.2015.08.006.
  2. Charles, Amélie & Darné, Olivier & Kim, Jae H., 2015, "Will precious metals shine? A market efficiency perspective," International Review of Financial Analysis, Elsevier, volume 41, issue C, pages 284-291, DOI: 10.1016/j.irfa.2015.01.018.
  3. Shamsuddin, Abul & Kim, Jae H., 2015, "Market sentiment and the Fama–French factor premia," Economics Letters, Elsevier, volume 136, issue C, pages 129-132, DOI: 10.1016/j.econlet.2015.09.021.
  4. Jae H. Kim & Abul Shamsuddin, 2015, "A closer look at return predictability of the US stock market: evidence from new panel variance ratio tests," Quantitative Finance, Taylor & Francis Journals, volume 15, issue 9, pages 1501-1514, September, DOI: 10.1080/14697688.2014.1002419.

2014

  1. Kim, Jae H., 2014, "Testing for parameter restrictions in a stationary VAR model: A bootstrap alternative," Economic Modelling, Elsevier, volume 41, issue C, pages 267-273, DOI: 10.1016/j.econmod.2014.05.022.

2013

  1. Kian-Ping Lim & Weiwei Luo & Jae H. Kim, 2013, "Are US stock index returns predictable? Evidence from automatic autocorrelation-based tests," Applied Economics, Taylor & Francis Journals, volume 45, issue 8, pages 953-962, March, DOI: 10.1080/00036846.2011.613782.

2012

  1. Jasim Al-Ajmi & J. H. Kim, 2012, "Are Gulf stock markets efficient? Evidence from new multiple variance ratio tests," Applied Economics, Taylor & Francis Journals, volume 44, issue 14, pages 1737-1747, May, DOI: 10.1080/00036846.2011.554373.
  2. Rushdi, Mustabshira & Kim, Jae H. & Silvapulle, Param, 2012, "ARDL bounds tests and robust inference for the long run relationship between real stock returns and inflation in Australia," Economic Modelling, Elsevier, volume 29, issue 3, pages 535-543, DOI: 10.1016/j.econmod.2011.12.017.
  3. Charles, Amélie & Darné, Olivier & Kim, Jae H., 2012, "Exchange-rate return predictability and the adaptive markets hypothesis: Evidence from major foreign exchange rates," Journal of International Money and Finance, Elsevier, volume 31, issue 6, pages 1607-1626, DOI: 10.1016/j.jimonfin.2012.03.003.
  4. Nath, H. (Mindi) B. & Kim, Jae H. & Brooks, Robert D., 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), Elsevier, volume 83, issue C, pages 10-22, DOI: 10.1016/j.matcom.2009.05.015.

2011

  1. Charles, Amélie & Darné, Olivier & Kim, Jae H., 2011, "Small sample properties of alternative tests for martingale difference hypothesis," Economics Letters, Elsevier, volume 110, issue 2, pages 151-154, February.
  2. Kim, Jae H. & Fraser, Iain & Hyndman, Rob J., 2011, "Improved interval estimation of long run response from a dynamic linear model: A highest density region approach," Computational Statistics & Data Analysis, Elsevier, volume 55, issue 8, pages 2477-2489, August.
  3. Kim, Jae H. & Wong, Kevin & Athanasopoulos, George & Liu, Shen, 2011, "Beyond point forecasting: Evaluation of alternative prediction intervals for tourist arrivals," International Journal of Forecasting, Elsevier, volume 27, issue 3, pages 887-901, July.
  4. Kim, Jae H. & Ji, Philip Inyeob, 2011, "Mean-reversion in international real interest rates," Economic Modelling, Elsevier, volume 28, issue 4, pages 1959-1966, July.
  5. Lim, Kian-Ping & Kim, Jae H., 2011, "Trade openness and the informational efficiency of emerging stock markets," Economic Modelling, Elsevier, volume 28, issue 5, pages 2228-2238, September.
  6. Kim, Jae H. & Ryoo, Heajin H., 2011, "Common stocks as a hedge against inflation: Evidence from century-long US data," Economics Letters, Elsevier, volume 113, issue 2, pages 168-171, DOI: 10.1016/j.econlet.2011.07.003.
  7. Kim, Jae H. & Shamsuddin, Abul & Lim, Kian-Ping, 2011, "Stock return predictability and the adaptive markets hypothesis: Evidence from century-long U.S. data," Journal of Empirical Finance, Elsevier, volume 18, issue 5, pages 868-879, DOI: 10.1016/j.jempfin.2011.08.002.

2010

  1. Abul Shamsuddin & Jae H. Kim, 2010, "Short‐Horizon Return Predictability in International Equity Markets," The Financial Review, Eastern Finance Association, volume 45, issue 2, pages 469-484, May, DOI: 10.1111/j.1540-6288.2010.00256.x.

2009

  1. Kim, Jae H., 2009, "Automatic variance ratio test under conditional heteroskedasticity," Finance Research Letters, Elsevier, volume 6, issue 3, pages 179-185, September.
  2. Ji, Philip Inyeob & Kim, Jae H., 2009, "Real interest rate linkages in the Pacific-Basin region," International Review of Economics & Finance, Elsevier, volume 18, issue 3, pages 440-448, June.

2008

  1. 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, volume 15, issue 4, pages 729-750, September.
  2. Kim, Jae H. & Shamsuddin, Abul, 2008, "Are Asian stock markets efficient? Evidence from new multiple variance ratio tests," Journal of Empirical Finance, Elsevier, volume 15, issue 3, pages 518-532, June.
  3. 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, volume 17, issue 3, pages 571-591, June.
  4. Guneratne B Wickremasinghe & Jae H Kim, 2008, "Weak-Form Efficiency of Foreign Exchange Markets of Developing Economies," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 7, issue 2, pages 169-196, August, DOI: 10.1177/097265270800700203.

2007

  1. 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, volume 51, issue 7, pages 3418-3432, April.
  2. Clements, Michael P. & Kim, Jae H., 2007, "Bootstrap prediction intervals for autoregressive time series," Computational Statistics & Data Analysis, Elsevier, volume 51, issue 7, pages 3580-3594, April.
  3. 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, volume 16, issue 4, pages 488-502.

2006

  1. Kim, Jae H., 2006, "Wild bootstrapping variance ratio tests," Economics Letters, Elsevier, volume 92, issue 1, pages 38-43, July.
  2. 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, volume 16, issue 5, pages 494-508, December.
  3. Kelvin Balcombe & Iain Fraser & Jae Kim, 2006, "Estimating technical efficiency of Australian dairy farms using alternative frontier methodologies," Applied Economics, Taylor & Francis Journals, volume 38, issue 19, pages 2221-2236, DOI: 10.1080/00036840500427445.

2005

  1. Jae Kim & Mahbuba Yeasmin, 2005, "The Size and Power of the Bias-Corrected Bootstrap Test for Regression Models with Autocorrelated Errors," Computational Economics, Springer;Society for Computational Economics, volume 25, issue 3, pages 255-267, June, DOI: 10.1007/s10614-005-2208-9.
  2. Jae Kim, 2005, "Investigating the advertising-sales relationship in the Lydia Pinkham data: a bootstrap approach," Applied Economics, Taylor & Francis Journals, volume 37, issue 3, pages 347-354, DOI: 10.1080/0003684042000295278.
  3. Jae Kim, 2005, "Bias-Corrected Bootstrap Inference for Regression Models with Autocorrelated Errors," Economics Bulletin, AccessEcon, volume 3, issue 44, pages 1-8.

2004

  1. Kim, Jae H., 2004, "Bootstrap prediction intervals for autoregression using asymptotically mean-unbiased estimators," International Journal of Forecasting, Elsevier, volume 20, issue 1, pages 85-97.
  2. Jae H. Kim, 2004, "Bias-corrected bootstrap prediction regions for vector autoregression," Journal of Forecasting, John Wiley & Sons, Ltd., volume 23, issue 2, pages 141-154, DOI: 10.1002/for.908.
  3. Moosa, Imad A. & Kim, Jae H., 2004, "Forecasting the Velocity of Circulation in the Japanese Economy," Hitotsubashi Journal of Economics, Hitotsubashi University, volume 45, issue 1, pages 1-14, June, DOI: 10.15057/7669.
  4. Imad Moosa & Jae Kim, 2004, "Direct and indirect forecasting of the money multiplier and velocity of circulation in the United Kingdom," International Economic Journal, Taylor & Francis Journals, volume 18, issue 1, pages 103-118, DOI: 10.1080/1351161042000180665.

2003

  1. 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, volume 13, issue 3, pages 237-254, July.
  2. Kim, Jae H., 2003, "Forecasting autoregressive time series with bias-corrected parameter estimators," International Journal of Forecasting, Elsevier, volume 19, issue 3, pages 493-502.

2002

  1. Kim, Jae H, 2002, "Bootstrap Prediction Intervals for Autoregressive Models of Unknown or Infinite Lag Order," Journal of Forecasting, John Wiley & Sons, Ltd., volume 21, issue 4, pages 265-280, July.

2001

  1. Kim, Jae H, 2001, "Bootstrap-after-Bootstrap Prediction Intervals for Autoregressive Models," Journal of Business & Economic Statistics, American Statistical Association, volume 19, issue 1, pages 117-128, January.
  2. Jae H. Kim & Imad Moosa, 2001, "Seasonal Behaviour of Monthly International Tourist Flows: Specification and Implications for Forecasting Models," Tourism Economics, , volume 7, issue 4, pages 381-396, December, DOI: 10.5367/000000001101297937.
  3. Jae H. Kim & Monique T. Ngo, 2001, "Modelling and Forecasting Monthly Airline Passenger Flows among Three Major Australian Cities," Tourism Economics, , volume 7, issue 4, pages 397-412, December, DOI: 10.5367/000000001101297946.

2000

  1. Denzil Fiebig & Jae Kim, 2000, "Estimation and inference in sur models when the number of equations is large," Econometric Reviews, Taylor & Francis Journals, volume 19, issue 1, pages 105-130, DOI: 10.1080/07474930008800461.

1999

  1. Kim, Jae H., 1999, "Asymptotic and bootstrap prediction regions for vector autoregression," International Journal of Forecasting, Elsevier, volume 15, issue 4, pages 393-403, October.
  2. Jae H. Kim, 1999, "Forecasting Monthly Tourist Departures from Australia," Tourism Economics, , volume 5, issue 3, pages 277-291, September, DOI: 10.1177/135481669900500304.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.