selected publications
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academic article
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Kim JHShamsuddin A. A bootstrap test for predictability of asset returns.
Finance Research Letters.
35:1-7.
2020
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Kim JH. Decision-Theoretic Hypothesis Testing: A Primer With R Package OptSig.
American Statistician.
74:1-10.
2020
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Kim JHRahman MLShamsuddin A. Can energy prices predict stock returns? An extreme bounds analysis.
Energy Economics.
81:822-834.
2019
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Kim JHRobinson AP. Interval-Based Hypothesis Testing and Its Applications to Economics and Finance.
Econometrics.
7.
2019
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Kim JH. Tackling False Positives IN Business Research: A Statistical Toolbox With Applications.
Journal of Economic Surveys.
33:862-895.
2019
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Kim JHAhmed KJi PI. Significance Testing in Accounting Research: A Critical Evaluation Based on Evidence.
Abacus: a journal of accounting, finance and business studies.
54:524-546.
2018
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Charles ADarné OKim J. Adaptive Markets Hypothesis for Islamic Stock Portfolios: Evidence from Dow Jones Size and Sector-Indices
2017
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Charles ADarné OKim JH. Adaptive markets hypothesis for Islamic stock indices: Evidence from Dow Jones size and sector-indices.
International Economics.
151:100-112.
2017
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Charles ADarné OKim JH. International stock return predictability: Evidence from new statistical tests.
International Review of Financial Analysis.
54:97-113.
2017
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Kim JH. Stock returns and investors' mood: Good day sunshine or spurious correlation?.
International Review of Financial Analysis.
52:94-103.
2017
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Kim JChoi I. Unit Roots in Economic and Financial Time Series: A Re-Evaluation at the Decision-Based Significance Levels.
Econometrics.
5:1-23.
2017
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Kim JH. Bias-correction and endogenous lag order algorithm for bootstrap prediction intervals.
Journal of Statistical Planning and Inference.
177:41-44.
2016
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Charles ADarne OKim JHRedor E. Stock exchange mergers and market efficiency.
Applied Economics.
48:576-589.
2016
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Kim JHJi PI. Significance testing in empirical finance: a critical review and assessment.
Journal of Empirical Finance.
34:1-14.
2015
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Kim JHShamsuddin A. A closer look at return predictability of the US stock market: evidence from new panel variance ratio tests.
Quantitative Finance.
15:1501-1514.
2015
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Shamsuddin AKim JH. Market sentiment and the Fama-French factor premia.
Economics Letters.
136:129-132.
2015
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Charles ADarne OKim JH. Will precious metals shine? A market efficiency perspective.
International Review of Financial Analysis.
41:284-291.
2015
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Kim JH. Testing for parameter restrictions in a stationary VAR model: A bootstrap alternative.
Economic Modelling.
41:267-273.
2014
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Kim J. Predictive regression: An improved augmented regression method.
Journal of Empirical Finance.
26:13-25.
2014
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Lim K-PLuo WKim JH. Are US stock index returns predictable? Evidence from automatic autocorrelation-based tests.
Applied Economics.
45:953-962.
2013
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Charles ADarné OKim JH. Exchange-rate return predictability and the adaptive markets hypothesis: Evidence from major foreign exchange rates.
Journal of International Money and Finance: theoretical and empirical research in international economics and finance.
31:1607-1626.
2012
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Nath HMBKim JHBrooks RD. 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.
83:10-22.
2012
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Rushdi MKim JHSilvapulle P. ARDL bounds tests and robust inference for the long run relationship between real stock returns and inflation in Australia.
Economic Modelling.
29:535-543.
2012
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Al-Ajmi JKim JH. Are Gulf stock markets efficient? Evidence from new multiple variance ratio tests.
Applied Economics.
44:1737-1747.
2012
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Kim JHShamsuddin ALim K-P. Stock return predictability and the adaptive markets hypothesis: Evidence from century-long U.S. data.
Journal of Empirical Finance.
18:868-879.
2011
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Kim JHRyoo HH. Common stocks as a hedge against inflation: Evidence from century-long US data.
Economics Letters.
113:168-171.
2011
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Lim K-PKim JH. Trade openness and the informational efficiency of emerging stock markets.
Economic Modelling.
28:2228-2238.
2011
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Kim JHFraser IHyndman RJ. Improved interval estimation of long run response from a dynamic linear model: A highest density region approach.
Computational Statistics and Data Analysis.
55:2477-2489.
2011
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Kim JHWong KAthanasopoulos GLiu S. Beyond point forecasting: Evaluation of alternative prediction intervals for tourist arrivals.
International Journal of Forecasting.
27:887-901.
2011
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Kim JHJi PI. Mean-reversion in international real interest rates.
Economic Modelling.
28:1959-1966.
2011
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Charles ADarné OKim JH. Small sample properties of alternative tests for martingale difference hypothesis.
Economics Letters.
110:151-154.
2011
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Shamsuddin AKim JH. Short-Horizon Return Predictability in International Equity Markets.
The Financial Review (Statesboro).
45:469-484.
2010
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Song HKim JHYang S. CONFIDENCE INTERVALS FOR TOURISM DEMAND ELASTICITY.
Annals of Tourism Research.
37:377-396.
2010
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Kim JHSong HWong KKF. Bias-corrected bootstrap prediction intervals for autoregressive model: new alternatives with applications to tourism forecasting.
Journal of Forecasting.
29:n/a-n/a.
2010
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Kim JH. Automatic variance ratio test under conditional heteroskedasticity.
Finance Research Letters.
6:179-185.
2009
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Ji PIKim JH. Real interest rate linkages in the Pacific-Basin region.
International Review of Economics and Finance.
18:440-448.
2009
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Kim JDoucouliagos H. Realized Volatility and Correlation in Grain Futures Markerts: Testing for Spill-Over Effects.
Review of Futures Markets (Kent).
265-290.
2009
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Clements MPGalvão ABKim JH. Quantile forecasts of daily exchange rate returns from forecasts of realized volatility.
Journal of Empirical Finance.
15:729-750.
2008
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Wickremasinghe GBKim JH. Weak-Form Efficiency of Foreign Exchange Markets of Developing Economies.
Journal of Emerging Market Finance.
7:169-196.
2008
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Kim JHShamsuddin A. Are Asian stock markets efficient? Evidence from new multiple variance ratio tests.
Journal of Empirical Finance.
15:518-532.
2008
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Lim K-PBrooks RDKim JH. Financial crisis and stock market efficiency: Empirical evidence from Asian countries.
International Review of Financial Analysis.
17:571-591.
2008
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Clements MPKim JH. Bootstrap prediction intervals for autoregressive time series.
Computational Statistics and Data Analysis.
51:3580-3594.
2007
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Kim JHSilvapulle PHyndman RJ. Half-life estimation based on the bias-corrected bootstrap: A highest density region approach.
Computational Statistics and Data Analysis.
51:3418-3432.
2007
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Hoque HAABKim JHPyun CS. A comparison of variance ratio tests of random walk: A case of Asian emerging stock markets.
International Review of Economics and Finance.
16:488-502.
2007
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Ahmed KKim JHHenry D. International cross-listings by Australian firms: A stochastic dominance analysis of equity returns.
Journal of Multinational Financial Management.
16:494-508.
2006
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Balcombe KFraser IKim JH. Estimating technical efficiency of Australian dairy farms using alternative frontier methodologies.
Applied Economics.
38:2221-2236.
2006
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Kim JH. Wild bootstrapping variance ratio tests.
Economics Letters.
92:38-43.
2006
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Kim JHYeasmin M. The Size and Power of the Bias-Corrected Bootstrap Test for Regression Models with Autocorrelated Errors.
Computational Economics.
25:255-267.
2005
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Kim JH. Investigating the advertising–sales relationship in the Lydia Pinkham data: a bootstrap approach.
Applied Economics.
37:347-354.
2005
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Kim JHMoosa IA. Forecasting international tourist flows to Australia: a comparison between the direct and indirect methods.
Tourism Management.
26:69-78.
2005
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Kim J. Bias-Corrected Bootstrap Inference for Regression Models with Autocorrelated Errors.
Economics Bulletin.
3.
2005
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Moosa IAKim JH. Forecasting the velocity of circulation in the Japanese economy.
Hitotsubashi Journal of Economics.
45:1-14.
2004
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Kim JH. Bias-corrected bootstrap prediction regions for vector autoregression.
Journal of Forecasting.
23:141-154.
2004
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Moosa IAKim JH. Direct and indirect forecasting of the money multiplier and velocity of circulation in the United Kingdom.
International Economic Journal.
18:103-118.
2004
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Kim JH. Bootstrap prediction intervals for autoregression using asymptotically mean-unbiased estimators.
International Journal of Forecasting.
20:85-97.
2004
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Moosa IKim J. Predicting the money multiplier and velocity of circulation in the US economy: Direct versus indirect forecasting methods.
Asian-African Journal of Economics and Econometrics.
4:13-34.
2004
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Kim JH. Forecasting autoregressive time series with bias-corrected parameter estimators.
International Journal of Forecasting.
19:493-502.
2003
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Shamsuddin AFMKim JH. Integration and interdependence of stock and foreign exchange markets: an Australian perspective.
Journal of International Financial Markets, Institutions and Money.
13:237-254.
2003
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Kim JH. Bootstrap prediction intervals for autoregressive models of unknown or infinite lag order.
Journal of Forecasting.
21:265-280.
2002
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Kim JHNgo MT. Modelling and Forecasting Monthly Airline Passenger Flows among Three Major Australian Cities.
Tourism Economics: the business and finance of tourism and recreation.
7:397-412.
2001
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Kim JHMoosa I. Seasonal Behaviour of Monthly International Tourist Flows: Specification and Implications for Forecasting Models.
Tourism Economics: the business and finance of tourism and recreation.
7:381-396.
2001
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Kim JH. Bootstrap-After-Bootstrap Prediction Intervals for Autoregressive Models.
Journal of Business and Economic Statistics.
19:117-128.
2001
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Moosa IKim J. Forecasting the real exchange rate as a defined variable.
Journal of Economic Research.
6:1-27.
2001
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Fiebig DGKim JH. Estimation and inference in sur models when the number of equations is large.
Econometric Reviews.
19:105-130.
2000
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Kim JH. Asymptotic and bootstrap prediction regions for vector autoregression.
International Journal of Forecasting.
15:393-403.
1999
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Kim JH. Forecasting Monthly Tourist Departures from Australia.
Tourism Economics: the business and finance of tourism and recreation.
5:277-291.
1999
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Kim JH. Bootstrap order selection for autoregressive models.
Journal of Statistical Computation and Simulation.
61:219-235.
1998
Full text if available
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Kim JHShamsuddin A. A bootstrap test for predictability of asset returns.
Finance Research Letters.
35:1-7.
2020
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book
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Charles ADarné OKim J. Small Sample Properties of Alternative Tests for Martingale Difference Hypothesis
2011
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Kim JFraser IHyndman R. Improved Interval Estimation of Long Run Response from a Dynamic Linear Model: A Highest Density Region Approach
2010
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Shamsuddin AKim J. Short-Horizon Return Predictability in International Equity Markets
2009
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Charles ADarné OKim J. Small Sample Properties of Alternative Tests for Martingale Difference Hypothesis
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Charles ADarné OKim J. Small Sample Properties of Alternative Tests for Martingale Difference Hypothesis
2011
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conference paper
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Pham Tuan PKim JJurdi D. Return predictability of ASEAN stock markets
2017
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Pham PKim JJurdi D. Weak-form efficiency of ASEAN stock market
2016
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Kim J. Bootstrap prediction intervals for autoregressive models with lag order (abstract)
2000
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Kim JMoosa I. Trend, cycle and seasonality in forecasting monthly international tourist flows (abstract)
2000
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Pham Tuan PKim JJurdi D. Return predictability of ASEAN stock markets
2017
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working paper
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Jurdi DKim J. Predicting the U.S. Stock Market Return: Evidence from the Improved Augmented Regression Method
2019
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Kim JHChoi I. Choosing the Level of Significance: A Decision‐theoretic Approach.
Abacus: a journal of accounting, finance and business studies.
2019
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Kim JH. Tackling False Positives in Finance: A Statistical Toolbox with Applications
2018
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Kim JHKitamura Y. Exchange Rate Exposure Revisited
2017
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Kim JHShamsuddin A. Empirical Validity of Asset-Pricing Models: Application of Adaptive Significance Level and Equal Probability Test
2017
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Pham TPKim JHJurdi D. Weak-form efficiency of ASEAN stock markets
2017
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Kim JHJi PAhmed K. Significance Testing in Accounting Research: A Critical Evaluation Based on Evidence
2017
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Charles ADarné OKim JH. Stock Return Predictability: Evaluation based on prediction intervals
2016
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Charles ADarné OKim JH. Adaptive Markets Hypothesis for Islamic Stock Portfolios: Evidence from Dow Jones Size and Sector-Indices
2015
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Charles ADarné OKim JH. International Stock Return Predictability: Evidence from New Statistical Tests
2015
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Kim JHShamsuddin A. Time-Varying Predictive Power of the Dividend Yield for Stock Returns: Evaluation Based on Bootstrapping
2014
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Kim JHDoucouliagos HStanley TD. Market Efficiency in Asian and Australasian Stock Markets: A Fresh Look at the Evidence
2014
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Jurdi DKim J. Predicting the U.S. Stock Market Return: Evidence from the Improved Augmented Regression Method
2019