Jae Hoon Kim : Citation Profile


Are you Jae Hoon Kim?

La Trobe University

17

H index

22

i10 index

975

Citations

RESEARCH PRODUCTION:

59

Articles

33

Papers

RESEARCH ACTIVITY:

   21 years (1999 - 2020). See details.
   Cites by year: 46
   Journals where Jae Hoon Kim has often published
   Relations with other researchers
   Recent citing documents: 68.    Total self citations: 40 (3.94 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pki102
   Updated: 2021-03-01    RAS profile: 2021-01-28    
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Relations with other researchers


Works with:

Darné, Olivier (9)

Authors registered in RePEc who have co-authored more than one work in the last five years with Jae Hoon Kim.

Is cited by:

Staszewska-Bystrova, Anna (28)

Darné, Olivier (25)

CHARLES, Amelie (19)

Winker, Peter (19)

Todea, Alexandru (15)

Lütkepohl, Helmut (14)

Ruiz, Esther (14)

GUPTA, RANGAN (12)

Uddin, Gazi (12)

Salisu, Afees (11)

Sensoy, Ahmet (9)

Cites to:

Kilian, Lutz (49)

Lo, Andrew (25)

Lobato, Ignacio (20)

Campbell, John (19)

Diebold, Francis (19)

Andrews, Donald (18)

Lim, Kian-Ping (17)

Fama, Eugene (16)

Darné, Olivier (16)

Choi, In (16)

MacKinnon, James (15)

Main data


Where Jae Hoon Kim has published?


Journals with more than one article published# docs
Applied Economics5
International Journal of Forecasting5
Journal of Empirical Finance4
International Review of Financial Analysis4
Economic Modelling4
Economics Letters4
Econometrics3
Computational Statistics & Data Analysis3
Tourism Economics3
Finance Research Letters2
Journal of Forecasting2
International Review of Economics & Finance2

Working Papers Series with more than one paper published# docs
Post-Print / HAL7
Working Papers / HAL4
MPRA Paper / University Library of Munich, Germany4
Monash Econometrics and Business Statistics Working Papers / Monash University, Department of Econometrics and Business Statistics4
Econometric Society 2004 Australasian Meetings / Econometric Society3
Working Papers / School of Economics, La Trobe University3
Working Papers / School of Economics, La Trobe University3

Recent works citing Jae Hoon Kim (2021 and 2020)


YearTitle of citing document
2020Measuring the Time-Varying Market Efficiency in the Prewar Japanese Stock Market. (2019). Noda, Akihiko. In: Papers. RePEc:arx:papers:1911.04059.

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2020Predictive intraday correlations in stable and volatile market environments: Evidence from deep learning. (2020). Ibikunle, Gbenga ; Moews, Ben. In: Papers. RePEc:arx:papers:2002.10385.

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2020Are individual investors irrational or adaptive to market dynamics?. (2020). Chary, Venkata Narasimha. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:25:y:2020:i:c:s2214635019300991.

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2020The impact of Coronavirus (COVID-19) outbreak on faith-based investments: An original analysis. (2020). Sherif, Mohamed. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:28:y:2020:i:c:s2214635020303300.

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2020The contribution of intraday jumps to forecasting the density of returns. (2020). Sevi, Benoit ; Ielpo, Florian ; Chorro, Christophe. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s0165188920300233.

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2021Disagreement on sunspots and soybeans futures price. (2021). Yu, Xiaohua ; Wang, Hanjie ; Feil, Jan-Henning. In: Economic Modelling. RePEc:eee:ecmode:v:95:y:2021:i:c:p:385-393.

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2020A fractional cointegration VAR analysis of Islamic stocks: A global perspective. (2020). Salisu, Afees ; Ndako, Umar ; Adediran, Idris ; Swaray, Raymond. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818306636.

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2020The heterogeneous behaviour of the inflation hedging property of cocoa. (2020). Salisu, Afees ; Oloko, Tirimisiyu ; Adediran, Idris ; Ohemeng, William. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819303535.

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2020Forecasting risk in the US Dollar exchange rate under volatility shifts. (2020). Malik, Farooq ; Anjum, Hassan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301546.

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2020Equity premium prediction and optimal portfolio decision with Bagging. (2020). Yin, Anwen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301686.

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2020Predicting exchange rate returns. (2020). Narayan, Paresh Kumar ; Liu, Guangqiang ; Bach, Dinh Hoang ; Sharma, Susan Sunila. In: Emerging Markets Review. RePEc:eee:ememar:v:42:y:2020:i:c:s1566014119303504.

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2020Energy commodity uncertainties and the systematic risk of US industries. (2020). Balli, Faruk ; Naeem, Muhammad Abubakr ; de Bruin, Anne ; Hussain, Syed Jawad. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s0140988319303846.

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2020Investing in gold – Market timing or buy-and-hold?. (2020). Dichtl, Hubert ; Baur, Dirk G ; Wendt, Viktoria-Sophie ; Drobetz, Wolfgang. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521918306227.

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2020Meta-analysis in finance research: Opportunities, challenges, and contemporary applications. (2020). Hang, Markus ; Geyer-Klingeberg, Jerome ; Rathgeber, Andreas. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s105752192030168x.

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2020Who is unhappy for Brexit? A machine-learning, agent-based study on financial instability. (2020). Katsaiti, Marina-Selini ; Polyzos, Stathis ; Samitas, Aristeidis. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302349.

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2020A new measure for market efficiency and its application. (2020). Li, Haiqi ; Jiang, Jinjin. In: Finance Research Letters. RePEc:eee:finlet:v:34:y:2020:i:c:s154461231930323x.

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2020Retail investor experience, asset learning, and portfolio risk-adjusted returns. (2020). Fjesme, Sturla. In: Finance Research Letters. RePEc:eee:finlet:v:36:y:2020:i:c:s1544612318305476.

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2020Stock market oscillations during the corona crash: The role of fear and uncertainty. (2020). Molnár, Peter ; Lyócsa, Štefan ; Molnar, Peter ; Lyocsa, Tefan. In: Finance Research Letters. RePEc:eee:finlet:v:36:y:2020:i:c:s1544612320309818.

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2020Semi-parametric dynamic asymmetric Laplace models for tail risk forecasting, incorporating realized measures. (2020). Wang, Chao ; Gerlach, Richard. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:489-506.

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2020Forecasting risk measures using intraday data in a generalized autoregressive score framework. (2020). Xue, Xiaohan ; Lazar, Emese. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:1057-1072.

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2020Herding in the Singapore stock Exchange. (2020). Ramlakhan, Prakash ; Bhatnagar, Chandra Shekhar ; Arjoon, Vaalmikki. In: Journal of Economics and Business. RePEc:eee:jebusi:v:109:y:2020:i:c:s0148619519300712.

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2020The kids are alright - labour market effects of unexpected parental hospitalisations in the Netherlands. (2020). Van Doorslaer, Eddy ; Garcia-Gomez, Pilar ; Bakx, Pieter ; Rellstab, Sara. In: Journal of Health Economics. RePEc:eee:jhecon:v:69:y:2020:i:c:s0167629618304442.

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2020Forecasting excess returns of the gold market: Can we learn from stock market predictions?. (2020). Dichtl, Hubert. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:19:y:2020:i:c:s2405851319300716.

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2020The inflation hedging properties of gold, stocks and real estate: A comparative analysis. (2020). Salisu, Afees ; Raheem, Ibrahim ; Ndako, Umar. In: Resources Policy. RePEc:eee:jrpoli:v:66:y:2020:i:c:s0301420719302697.

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2020Impact of COVID-19 outbreak on asymmetric multifractality of gold and oil prices. (2020). Vo, Xuan Vinh ; Sensoy, Ahmet ; Kang, Sang Hoon ; Mensi, Walid. In: Resources Policy. RePEc:eee:jrpoli:v:69:y:2020:i:c:s0301420720308618.

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2020Do Islamic stocks outperform conventional stock sectors during normal and crisis periods? Extreme co-movements and portfolio management analysis. (2020). Vo, Xuan Vinh ; Ur, Mobeen ; Mensi, Walid ; Al-Yahyaee, Khamis Hamed ; Kang, Sang Hoon. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:62:y:2020:i:c:s0927538x20300718.

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2020Does herding behavior exist in the Mongolian stock market?. (2020). Wong, Wing-Keung ; Batmunkh, Munkh-Ulzii ; Vieito, Joo Paulo ; Choijil, Enkhbayar ; Espinosa-Mendez, Christian. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:62:y:2020:i:c:s0927538x20301347.

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2020Testing the efficient market hypothesis in Latin American stock markets. (2020). Sanchez-Granero, M A ; Trinidad-Segovia, J E ; Ramos-Requena, J P ; Balladares, K A. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:540:y:2020:i:c:s037843711931739x.

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2020Predictive intraday correlations in stable and volatile market environments: Evidence from deep learning. (2020). Ibikunle, Gbenga ; Moews, Ben. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:547:y:2020:i:c:s0378437120301503.

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2020Forecast model for financial time series: An approach based on harmonic oscillators. (2020). Bosco, A R ; Acebal, J L ; Machado, A C ; Garcia, M M. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:549:y:2020:i:c:s0378437120301321.

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2020Are clean energy stocks efficient? Asymmetric multifractal scaling behaviour. (2020). Krištoufek, Ladislav ; Nasir, Rana Muhammad ; Kayani, Ghulam Mujtaba ; Bouri, Elie ; Hussain, Syed Jawad. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:550:y:2020:i:c:s037843712030234x.

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2020The profitability of Bollinger Bands: Evidence from the constituent stocks of Taiwan 50. (2020). Yu, Shang-Ru ; Huang, Paoyu ; Day, Min-Yuh ; Ni, Yensen. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:551:y:2020:i:c:s0378437120300078.

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2020Heterogeneous market hypothesis approach for modeling unbiased extreme value volatility estimator in presence of leverage effect: An individual stock level study with economic significance analysis. (2020). Kumar, Dilip ; Zargar, Faisal Nazir. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:77:y:2020:i:c:p:271-285.

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2020How do sovereign wealth funds pay their portfolio companies’ executives? Evidence from Kuwait. (2020). Albader, Sulaiman H ; Alhashel, Bader S. In: International Review of Economics & Finance. RePEc:eee:reveco:v:67:y:2020:i:c:p:303-322.

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2021Nonlinearity in stock returns: Do risk aversion, investor sentiment and, monetary policy shocks matter?. (2021). Slim, Skander ; Boughrara, Adel ; Dahmene, Meriam. In: International Review of Economics & Finance. RePEc:eee:reveco:v:71:y:2021:i:c:p:676-699.

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2020Regulatory reform and market efficiency: The case of Indian agricultural commodity futures markets. (2020). Mishra, Sibanjan ; Mohanty, Sunil K. In: Research in International Business and Finance. RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531918308109.

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2020Does the tea market require a futures contract? Evidence from the Sri Lankan tea market. (2020). Biakowski, Jdrzej ; Perera, Devmali ; Bohl, Martin T. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531920300714.

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2020Technical Efficiency of Dairy Farms: An Empirical Study of Producers in Poland. (2020). Switlyk, Michal ; Koloszycz, Ewa ; Wilczynski, Artur. In: European Research Studies Journal. RePEc:ers:journl:v:xxiii:y:2020:i:1:p:117-127.

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2020Are Some Forecasters’ Probability Assessments of Macro Variables Better Than Those of Others?. (2020). Clements, Michael. In: Econometrics. RePEc:gam:jecnmx:v:8:y:2020:i:2:p:16-:d:354665.

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2020Does Trade Openness Affect Bank Risk-Taking Behavior? Evidence from BRICS Countries. (2020). Kaium, Md Abdul ; Ashraf, Badar Nadeem ; Begum, Munni ; Rahman, Mohammed Mizanur. In: Economies. RePEc:gam:jecomi:v:8:y:2020:i:3:p:75-:d:413428.

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2020An Interval Forecasting Model Based on Phase Space Reconstruction and Weighted Least Squares Support Vector Machine for Time Series of Dissolved Gas Content in Transformer Oil. (2020). Huang, Sixu ; Zhu, Wenqiang ; Zeng, Bing ; Xiao, Zhihuai ; Guo, Jiang ; Yuan, Fang. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:7:p:1687-:d:340835.

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2020Multifractal Analysis of Market Efficiency across Structural Breaks: Implications for the Adaptive Market Hypothesis. (2020). Rastogi, Shailesh ; Patil, Ashok Chanabasangouda. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:10:p:248-:d:431596.

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2020On the Market Efficiency and Liquidity of High-Frequency Cryptocurrencies in a Bull and Bear Market. (2020). Sulieman, Hana ; Chu, Jeffrey ; Chan, Stephen ; Zhang, Yuanyuan. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:1:p:8-:d:304875.

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2020A Tale of Two Layers: The Mutual Relationship between Bitcoin and Lightning Network. (2020). Flori, Andrea ; Regoli, Daniele ; Martinazzi, Stefano. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:4:p:129-:d:454506.

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2020Analysis of the Influence Factors on the Reputation of Food-Delivery Companies: Evidence from Romania. (2020). Tatarusanu, Maria ; Dospinescu, Octavian. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:10:p:4142-:d:360017.

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2020Stability and predictability of the monetary multiplier in the Democratic Republic of the Congo. (2020). Muanza, Henock Katuala. In: Working Papers. RePEc:hal:wpaper:hal-02610767.

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2020MONETARY POLICY, MONETARY STABILITY AND ECONOMIC GROWTH IN THE DEMOCRATIC REPUBLIC OF CONGO. (2020). Katuala, Henock. In: Working Papers. RePEc:hal:wpaper:hal-02616124.

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2020Mining for Mood Effect in the Field. (2020). Samahita, Margaret ; Holm, Hakan. In: Working Papers. RePEc:hhs:lunewp:2020_002.

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2020The Influence of Ambient Temperature on Social Perception and Social Behavior. (2020). Schmidt, Ulrich ; Schunk, Daniel ; Ring, Patrick ; Nanninga, Gerrit ; Krause, Jan S. In: Working Papers. RePEc:jgu:wpaper:2013.

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2020Market Adaptability and Evolving Predictability of Stock Returns: An Evidence from India. (2020). Patra, Subhamitra ; Bhuyan, Biswabhusan ; Bhuian, Ranjan Kumar. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:27:y:2020:i:4:d:10.1007_s10690-020-09308-2.

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2020A Non-parametric Test and Predictive Model for Signed Path Dependence. (2020). Dias, Fabio S ; Peters, Gareth W. In: Computational Economics. RePEc:kap:compec:v:56:y:2020:i:2:d:10.1007_s10614-019-09934-7.

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2021Should Stock Returns Predictability be hooked on Long Horizon Regressions?. (2021). Dergiades, Theologos ; Pouliasis, Panos K. In: Discussion Paper Series. RePEc:mcd:mcddps:2021_03.

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2020Testing the white noise hypothesis in high-frequency housing returns of the United States. (2020). GUPTA, RANGAN ; Tiwari, Aviral Kumar ; Sheng, Xin ; Cunado, Juncal. In: Economics and Business Letters. RePEc:ove:journl:aid:14521.

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2020Causality between Energy Consumption and Economic Development: Empirical Evidence from Morocco. (2020). Harkat, Tahar. In: MPRA Paper. RePEc:pra:mprapa:98313.

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2020Nexus between Energy Consumption, Economic Development, and CO2 Emissions: Empirical Evidence from Morocco. (2020). Harkat, Tahar. In: MPRA Paper. RePEc:pra:mprapa:98476.

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2020Productivity, Efficiency and Firm Size Distribution: Evidence from Vietnam. (2020). Takayama, Shino ; Phan, Nhan Buu ; Pham, Hien Thu . In: Discussion Papers Series. RePEc:qld:uq2004:617.

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2020.

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2020Multidimensional Perspective of Firms’ IT Capability Between Digital Business Strategy and Firms’ Efficiency: A Case of Chinese SMEs. (2020). Mohsin, Muhammad ; Abbas, Qaiser ; Hanif, Imran ; Ullah, Hafeez ; Mahmood, Memon Rafait ; Wang, Zhuquan. In: SAGE Open. RePEc:sae:sagope:v:10:y:2020:i:4:p:2158244020970564.

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2020Testing the efficacy of the economic policy uncertainty index on tourism demand in USMCA: Theory and evidence. (2020). Ongan, Serdar ; Sirakaya-Turk, Ercan ; Iak, Cem. In: Tourism Economics. RePEc:sae:toueco:v:26:y:2020:i:8:p:1344-1357.

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2020Skewness-adjusted bootstrap confidence intervals and confidence bands for impulse response functions. (2020). Winker, Peter ; Staszewska-Bystrova, Anna ; Grabowski, Daniel. In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:104:y:2020:i:1:d:10.1007_s10182-018-00347-9.

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2020S&P BSE Sensex and S&P BSE IT return forecasting using ARIMA. (2020). Rao, Siva Nageswara ; Malepati, Venkataramanaiah ; Challa, Madhavi Latha. In: Financial Innovation. RePEc:spr:fininn:v:6:y:2020:i:1:d:10.1186_s40854-020-00201-5.

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2020Lagged country returns and international stock return predictability during business cycle recession periods. (2020). Li, Bin ; Wen, Yi-Chieh. In: Applied Economics. RePEc:taf:applec:v:52:y:2020:i:46:p:5005-5019.

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2020Mining for Mood Effect in the Field. (2020). Samahita, Margaret ; Holm, Hakan. In: Working Papers. RePEc:ucn:wpaper:202002.

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2020Differencing versus nondifferencing in factor‐based forecasting. (2020). Choi, In ; Jeong, Hanbat. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:35:y:2020:i:6:p:728-750.

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2020On the directional predictability of equity premium using machine learning techniques. (2020). Iworiso, Jonathan ; Vrontos, Spyridon. In: Journal of Forecasting. RePEc:wly:jforec:v:39:y:2020:i:3:p:449-469.

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2021Equity return predictability, its determinants, and profitable trading strategies. (2021). Uddin, Gazi ; Rahman, Md Lutfur ; Vigne, Samuel A ; Khan, Mahbub. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:1:p:162-186.

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2021Out?of?sample performance of bias?corrected estimators for diffusion processes. (2021). Guo, Ziyi. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:2:p:243-268.

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2021Impact of bitcoin futures on the informational efficiency of bitcoin spot market. (2021). Shynkevich, Andrei. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:1:p:115-134.

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Works by Jae Hoon Kim:


YearTitleTypeCited
2007International and Internal Market Integration in Indian agriculture: A study of the Indian Rice Market In: 106th Seminar, October 25-27, 2007, Montpellier, France.
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paper3
2006Quantile Forecasts of Daily Exchange Rate Returns from Forecasts of Realized Volatility In: Economic Research Papers.
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paper72
2008Quantile forecasts of daily exchange rate returns from forecasts of realized volatility.(2008) In: Journal of Empirical Finance.
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2006Quantile Forecasts of Daily Exchange Rate Returns from Forecasts of Realized Volatility.(2006) In: The Warwick Economics Research Paper Series (TWERPS).
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2001Bootstrap-after-Bootstrap Prediction Intervals for Autoregressive Models. In: Journal of Business & Economic Statistics.
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article19
2018Significance Testing in Accounting Research: A Critical Evaluation Based on Evidence In: Abacus.
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article3
2010Short‐Horizon Return Predictability in International Equity Markets In: The Financial Review.
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article4
2009Short-Horizon Return Predictability in International Equity Markets.(2009) In: Working Papers.
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2009Short-Horizon Return Predictability in International Equity Markets.(2009) In: Working Papers.
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2019TACKLING FALSE POSITIVES IN BUSINESS RESEARCH: A STATISTICAL TOOLBOX WITH APPLICATIONS In: Journal of Economic Surveys.
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article0
2014Market efficiency in Asian and Australasian stock markets: a fresh look at the evidence In: Working Papers.
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paper3
2005Bias-Corrected Bootstrap Inference for Regression Models with Autocorrelated Errors In: Economics Bulletin.
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2004International linkage of real interest rates: the case of East Asian countries In: Econometric Society 2004 Australasian Meetings.
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2004Nonlinear Modelling of Purchasing Power Parity in Indonesia In: Econometric Society 2004 Australasian Meetings.
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2004Testing for the martingale hypothesis in Asian stock prices: evidence from a new joint variance ratio test In: Econometric Society 2004 Australasian Meetings.
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2007Half-life estimation based on the bias-corrected bootstrap: A highest density region approach In: Computational Statistics & Data Analysis.
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article7
2006Half-Life Estimation based on the Bias-Corrected Bootstrap: A Highest Density Region Approach.(2006) In: Monash Econometrics and Business Statistics Working Papers.
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2007Bootstrap prediction intervals for autoregressive time series In: Computational Statistics & Data Analysis.
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article17
2011Improved interval estimation of long run response from a dynamic linear model: A highest density region approach In: Computational Statistics & Data Analysis.
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article4
2010Improved Interval Estimation of Long Run Response from a Dynamic Linear Model: A Highest Density Region Approach.(2010) In: Working Papers.
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2010Improved Interval Estimation of Long Run Response from a Dynamic Linear Model: A Highest Density Region Approach.(2010) In: Working Papers.
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2011Mean-reversion in international real interest rates In: Economic Modelling.
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2011Trade openness and the informational efficiency of emerging stock markets In: Economic Modelling.
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article21
2012ARDL bounds tests and robust inference for the long run relationship between real stock returns and inflation in Australia In: Economic Modelling.
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2014Testing for parameter restrictions in a stationary VAR model: A bootstrap alternative In: Economic Modelling.
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article2
2011Small sample properties of alternative tests for martingale difference hypothesis In: Economics Letters.
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2011Small Sample Properties of Alternative Tests for Martingale Difference Hypothesis.(2011) In: Post-Print.
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2010Small Sample Properties of Alternative Tests for Martingale Difference Hypothesis.(2010) In: Working Papers.
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2010Small Sample Properties of Alternative Tests for Martingale Difference Hypothesis.(2010) In: Working Papers.
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