Jae Hoon Kim : Citation Profile


Are you Jae Hoon Kim?

19

H index

27

i10 index

1193

Citations

RESEARCH PRODUCTION:

60

Articles

33

Papers

RESEARCH ACTIVITY:

   22 years (1999 - 2021). See details.
   Cites by year: 54
   Journals where Jae Hoon Kim has often published
   Relations with other researchers
   Recent citing documents: 155.    Total self citations: 44 (3.56 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pki102
   Updated: 2022-06-22    RAS profile: 2021-12-07    
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Relations with other researchers


Works with:

Darné, Olivier (9)

Shamsuddin, Abul (2)

Choi, In (2)

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 (31)

Darné, Olivier (28)

Winker, Peter (20)

CHARLES, Amelie (19)

Lütkepohl, Helmut (16)

Todea, Alexandru (15)

Ruiz, Esther (14)

Uddin, Gazi (13)

Shamsuddin, Abul (13)

GUPTA, RANGAN (12)

Salisu, Afees (11)

Cites to:

Kilian, Lutz (52)

Lo, Andrew (26)

Darné, Olivier (26)

Lobato, Ignacio (20)

Campbell, John (19)

Diebold, Francis (19)

Choi, In (18)

Fama, Eugene (18)

Andrews, Donald (18)

Lim, Kian-Ping (17)

MacKinnon, James (16)

Main data


Where Jae Hoon Kim has published?


Journals with more than one article published# docs
International Journal of Forecasting5
Applied Economics5
Economic Modelling4
International Review of Financial Analysis4
Economics Letters4
Journal of Empirical Finance4
Tourism Economics3
Computational Statistics & Data Analysis3
Econometrics3
Finance Research Letters2
Journal of Forecasting2
International Review of Economics & Finance2
Abacus2

Working Papers Series with more than one paper published# docs
Post-Print / HAL7
Monash Econometrics and Business Statistics Working Papers / Monash University, Department of Econometrics and Business Statistics4
Working Papers / HAL4
MPRA Paper / University Library of Munich, Germany4
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
2021Is the Configuration of Indian Stock Market Weakly Efficient?. (2021). Sahoo, Aditya Prasad. In: ComFin Research. RePEc:acg:comfin:v:9:y:2021:i:3:p:1-6.

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2021Using the Färe-Primont Index to Measure Changes in Total Factor Productivity of Dairy Farms. (2021). Wityk, Micha . In: Problems of Agricultural Economics / Zagadnienia Ekonomiki Rolnej. RePEc:ags:iafepa:319786.

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2020On the Time-Varying Efficiency of Cryptocurrency Markets. (2019). Noda, Akihiko. In: Papers. RePEc:arx:papers:1904.09403.

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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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2021Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics. (2020). Garcin, Matthieu ; Ammy-Driss, Ayoub. In: Papers. RePEc:arx:papers:2007.10727.

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2021Statistical significance revisited. (2021). Grabinski, Michael ; Klinkova, Galiya ; Tormahlen, Maike. In: Papers. RePEc:arx:papers:2104.00262.

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2022Will Chinese Twenty-four Solar Terms Affect Stock Return: Evidence from Shanghai Index of China. (2022). Junguang, Zhao ; Xinghao, LI ; Tianbao, Zhou. In: Papers. RePEc:arx:papers:2203.12603.

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2022Learning Probability Distributions in Macroeconomics and Finance. (2022). Hanus, Lubos ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2204.06848.

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2022Stock return predictability: Evaluation based on interval forecasts. (2022). Kim, Jae H ; Darne, Olivier ; Charles, Amelie. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:74:y:2022:i:2:p:363-385.

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2021Business Strategy and Labor Investment Efficiency. (2021). Hasan, Mostafa M ; Habib, Ahsan. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:1:p:58-96.

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2021Technological Change in Dairy Farming with Increased Price Volatility. (2021). Sauer, Johannes ; Frick, Fabian. In: Journal of Agricultural Economics. RePEc:bla:jageco:v:72:y:2021:i:2:p:564-588.

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2022Do stock markets play a role in determining COVID?19 economic stimulus? A cross?country analysis. (2022). Chaudhry, Sajid M ; Khalid, Usman ; Shafiullah, Muhammad. In: The World Economy. RePEc:bla:worlde:v:45:y:2022:i:2:p:386-408.

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2020Time-varying return predictability and adaptive markets hypothesis: Evidence on MIST countries from a novel wild bootstrap likelihood ratio approach. (2020). Ozkan, Oktay. In: Bogazici Journal, Review of Social, Economic and Administrative Studies. RePEc:boz:journl:v:34:y:2020:i:2:p:101-113.

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2021Comparison of Local Projection Estimators for Proxy Vector Autoregressions. (2021). Lutkepohl, Helmut ; Bruns, Martin. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1949.

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2022An interval decomposition-ensemble approach with data-characteristic-driven reconstruction for short-term load forecasting. (2022). Wang, Shouyang ; Han, Jing ; Sun, Shaolong ; Guo, Ju-e, ; Yang, Dongchuan. In: Applied Energy. RePEc:eee:appene:v:306:y:2022:i:pa:s0306261921012952.

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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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2021Does economic integration lead to financial market integration in the Asian region?. (2021). Paramati, Sudharshan Reddy ; Zakari, Abdulrasheed ; Huang, Ruixian ; Song, Yuegang. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:69:y:2021:i:c:p:366-377.

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2021Disagreement on sunspots and soybeans futures price. (2021). Yu, Xiaohua ; Feil, Jan-Henning ; Wang, Hanjie. 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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2021Adaptive market hypothesis: The story of the stock markets and COVID-19 pandemic. (2021). Lin, Boqiang ; Okorie, David. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000322.

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2021Economic policy uncertainty and stock market returns: New evidence. (2021). Liang, Chao ; Chen, Zhonglu ; Wang, Jianqiong ; Xu, Yongan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001418.

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2022Are the least successful traders those most likely to exit the market? A survival analysis contribution to the efficient market debate. (2022). Johnson, J. E. V., ; Kansara, A P ; Sung, M ; Fraser-Mackenzie, P. A. F., . In: European Journal of Operational Research. RePEc:eee:ejores:v:299:y:2022:i:1:p:330-345.

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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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2022Oil price volatility predictability: New evidence from a scaled PCA approach. (2022). Ma, Feng ; Liang, Chao ; He, Feng ; Guo, Yangli. In: Energy Economics. RePEc:eee:eneeco:v:105:y:2022:i:c:s0140988321005648.

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2022The commodity futures historical basis in trading strategy and portfolio investment. (2022). Yang, Baochen ; Pu, Yingjian. In: Energy Economics. RePEc:eee:eneeco:v:105:y:2022:i:c:s0140988321006204.

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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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2021Efficiency of China’s carbon market: A case study of Hubei pilot market. (2021). Fantozzi, Francesco ; Bartocci, Pietro ; Zhou, Ming ; Zhao, Haibo ; Yuan, Tian ; Yang, Qing ; Chen, Yingqi. In: Energy. RePEc:eee:energy:v:222:y:2021:i:c:s036054422100195x.

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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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2021The efficiency of Bitcoin: A strongly typed genetic programming approach to smart electronic Bitcoin markets. (2021). Urquhart, Andrew ; Manahov, Viktor. In: International Review of Financial Analysis. RePEc:eee:finana:v:73:y:2021:i:c:s1057521920302726.

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2021Dynamic spillovers between energy and stock markets and their implications in the context of COVID-19. (2021). Shao, Liuguo ; Chen, Jinyu ; Zhang, Hua. In: International Review of Financial Analysis. RePEc:eee:finana:v:77:y:2021:i:c:s1057521921001629.

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2021Information uncertainty, investor sentiment, and analyst reports. (2021). Yang, Hee Jin ; Ryu, Doojin ; Kim, Karam. In: International Review of Financial Analysis. RePEc:eee:finana:v:77:y:2021:i:c:s105752192100168x.

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2021The effects of corporate name changes on firm information environment and earnings management. (2021). Zhou, Fuzhao ; Huang, Jianning ; Devos, Erik. In: International Review of Financial Analysis. RePEc:eee:finana:v:77:y:2021:i:c:s1057521921001812.

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2021Temperature and trading behaviours. (2021). Liu, Jia ; Zhang, Xiaotao. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002179.

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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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2021A Bayesian Re-Interpretation of “significant” empirical financial research. (2021). Rosch, Daniel ; Kellner, Ralf. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319309997.

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2021Information dissemination and price discovery. (2021). Zantour, Ahlem ; Amairi, Haifa ; Saadi, Samir. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319314424.

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2021Large sample size bias in empirical finance. (2021). Michaelides, Michael. In: Finance Research Letters. RePEc:eee:finlet:v:41:y:2021:i:c:s1544612320316494.

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2021Intraday interactions between high-frequency trading and price efficiency. (2021). Hellara, Slaheddine ; ben Ammar, Imen. In: Finance Research Letters. RePEc:eee:finlet:v:41:y:2021:i:c:s1544612320316767.

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2021COVID-19 and financial market efficiency: Evidence from an entropy-based analysis. (2021). Wang, Jingjing. In: Finance Research Letters. RePEc:eee:finlet:v:42:y:2021:i:c:s1544612320317025.

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2022Fertile LAND: Pricing non-fungible tokens. (2022). Dowling, Michael. In: Finance Research Letters. RePEc:eee:finlet:v:44:y:2022:i:c:s154461232100177x.

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2021Measurement of common risks in tails: A panel quantile regression model for financial returns. (2021). Baruník, Jozef ; Ech, Frantiek ; Barunik, Jozef. In: Journal of Financial Markets. RePEc:eee:finmar:v:52:y:2021:i:c:s1386418120300318.

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2021Can technical trading beat the foreign exchange market in times of crisis?. (2021). Yamani, Ehab. In: Global Finance Journal. RePEc:eee:glofin:v:48:y:2021:i:c:s1044028320300818.

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2021Liquidity and short-run predictability: Evidence from international stock markets. (2021). Newaz, Mohammad Khaleq ; Park, Jin Suk. In: Global Finance Journal. RePEc:eee:glofin:v:50:y:2021:i:c:s1044028321000715.

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2021Improving the predictability of stock returns with global financial cycle and oil price in oil-exporting African countries. (2021). Adekoya, Oluwasegun ; Oduyemi, Gabriel O ; Akinseye, Ademola B ; Ogunbowale, Gideon O. In: International Economics. RePEc:eee:inteco:v:168:y:2021:i:c:p:166-181.

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2021Exchange rate regimes and price efficiency: Empirical examination of the impact of financial crisis. (2021). Sheng, Hsia Hua ; Rasheed, Abdul A ; Diniz-Maganini, Natalia. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:73:y:2021:i:c:s1042443121000809.

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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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2021Data Snooping Bias in Tests of the Relative Performance of Multiple Forecasting Models. (2021). Anghel, Dan Gabriel. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:126:y:2021:i:c:s0378426621000716.

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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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2021Speculation and the informational efficiency of commodity futures markets. (2021). Sulewski, Christoph ; Putz, Alexander ; Bohl, Martin T. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:23:y:2021:i:c:s2405851320300362.

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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, Sanghoon ; Mensi, Walid. In: Resources Policy. RePEc:eee:jrpoli:v:69:y:2020:i:c:s0301420720308618.

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2021Financial contagion between the financial and the mining industries – Empirical evidence based on the symmetric and asymmetric CoVaR approach. (2021). Jonek-Kowalska, Izabela ; Jurkowska, Aleksandra ; Fijorek, Kamil. In: Resources Policy. RePEc:eee:jrpoli:v:70:y:2021:i:c:s0301420720309934.

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2021What do we know about the inflation-hedging property of precious metals in Africa? The case of leading producers of the commodities. (2021). Oliyide, Johnson A ; Adekoya, Oluwasegun B ; Tahir, Hammad. In: Resources Policy. RePEc:eee:jrpoli:v:72:y:2021:i:c:s0301420721001343.

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2021Clustering commodity markets in space and time: Clarifying returns, volatility, and trading regimes through unsupervised machine learning. (2021). Vo, Xuan Vinh ; Ur, Mobeen ; Chen, James Ming. In: Resources Policy. RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721001768.

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2021Analysis of major properties of metal prices using new methods: Structural breaks, non-linearity, stationarity and bubbles. (2021). Adewuyi, Adeolu O ; Wahab, Bashir A. In: Resources Policy. RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721002956.

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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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2021Quantile relationship between Islamic and non-Islamic equity markets. (2021). Kang, Sang Hoon ; Uddin, Gazi Salah ; Hedstrom, Axel ; Rahman, Md Lutfur. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:68:y:2021:i:c:s0927538x21000937.

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2021Profitability of moving-average technical analysis over the firm life cycle: Evidence from Taiwan. (2021). Shih, Yi-Cheng ; Lin, Li-Feng ; Su, Xuan-Qi ; Chen, Kuan-Hau. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:69:y:2021:i:c:s0927538x21001402.

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2021Systemically important banks in Asian emerging markets: Evidence from four systemic risk measures. (2021). Bannigidadmath, Deepa ; Powell, Robert ; Pham, Thach N. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:70:y:2021:i:c:s0927538x21001773.

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2022Predicting the Australian equity risk premium. (2022). Jurdi, Doureige J. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:71:y:2022:i:c:s0927538x21001906.

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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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2021Analysis of stock market efficiency during crisis periods in the US stock market: Differences between the global financial crisis and COVID-19 pandemic. (2021). Choi, Sun-Yong. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:574:y:2021:i:c:s0378437121002600.

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2022A model study for calculation of the temperatures of major stock markets in the world with the quantum simulation and determination of the crisis periods. (2022). TANRIOVEN, Cihan ; Susay, Aynur ; Kuzu, Erkan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:585:y:2022:i:c:s0378437121006907.

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2022Multivariate rescaled range analysis. (2022). Rodriguez, E ; Alvarez-Ramirez, J ; Meraz, M. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:589:y:2022:i:c:s0378437121008815.

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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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2021Foreign exchange market efficiency and the global financial crisis: Fundamental versus technical information. (2021). Yamani, Ehab. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:79:y:2021:i:c:p:74-89.

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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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2021Existence of long memory in crude oil and petroleum products: Generalised Hurst exponent approach. (2021). Umar, Zaghum ; Tiwari, Aviral Kumar ; Alqahtani, Faisal. In: Research in International Business and Finance. RePEc:eee:riibaf:v:57:y:2021:i:c:s0275531921000246.

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2021Impact of COVID-19 on stock market efficiency: Evidence from developed countries. (2021). Ozkan, Oktay. In: Research in International Business and Finance. RePEc:eee:riibaf:v:58:y:2021:i:c:s0275531921000660.

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2021Bitcoin’s price efficiency and safe haven properties during the COVID-19 pandemic: A comparison. (2021). Rasheed, Abdul A ; Diniz, Eduardo H ; Diniz-Maganini, Natalia. In: Research in International Business and Finance. RePEc:eee:riibaf:v:58:y:2021:i:c:s0275531921000933.

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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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2021Silver in Equity Portfolio Risk Optimization: Polish Investor Perspective. (2021). Pruchnicka-Grabias, Izabela. In: European Research Studies Journal. RePEc:ers:journl:v:xxiv:y:2021:i:3:p:716-728.

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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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2020Teaching Graduate (and Undergraduate) Econometrics: Some Sensible Shifts to Improve Efficiency, Effectiveness, and Usefulness. (2020). Arkes, Jeremy. In: Econometrics. RePEc:gam:jecnmx:v:8:y:2020:i:3:p:36-:d:409801.

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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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2021Probabilistic Day-Ahead Wholesale Price Forecast: A Case Study in Great Britain. (2021). Caudron, Julien ; Haben, Stephen ; Verma, Jake. In: Forecasting. RePEc:gam:jforec:v:3:y:2021:i:3:p:38-632:d:623967.

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2021Improving Hotel Room Demand Forecasts for Vienna across Hotel Classes and Forecast Horizons: Single Models and Combination Techniques Based on Encompassing Tests. (2021). Gunter, Ulrich. In: Forecasting. RePEc:gam:jforec:v:3:y:2021:i:4:p:54-919:d:689837.

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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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More than 100 citations found, this list is not complete...

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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2006Quantile Forecasts of Daily Exchange Rate Returns from Forecasts of Realized Volatility In: Economic Research Papers.
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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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paper
2001Bootstrap-after-Bootstrap Prediction Intervals for Autoregressive Models. In: Journal of Business & Economic Statistics.
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2018Significance Testing in Accounting Research: A Critical Evaluation Based on Evidence In: Abacus.
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2021Choosing the Level of Significance: A Decision?theoretic Approach In: Abacus.
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2010Short?Horizon Return Predictability in International Equity Markets In: The Financial Review.
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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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paper
2019TACKLING FALSE POSITIVES IN BUSINESS RESEARCH: A STATISTICAL TOOLBOX WITH APPLICATIONS In: Journal of Economic Surveys.
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article2
2014Market efficiency in Asian and Australasian stock markets: a fresh look at the evidence In: Working Papers.
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paper5
2005Bias-Corrected Bootstrap Inference for Regression Models with Autocorrelated Errors In: Economics Bulletin.
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article0
2004International linkage of real interest rates: the case of East Asian countries In: Econometric Society 2004 Australasian Meetings.
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paper0
2004Nonlinear Modelling of Purchasing Power Parity in Indonesia In: Econometric Society 2004 Australasian Meetings.
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paper1
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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paper2
2007Half-life estimation based on the bias-corrected bootstrap: A highest density region approach In: Computational Statistics & Data Analysis.
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article8
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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article22
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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paper
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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article4
2011Trade openness and the informational efficiency of emerging stock markets In: Economic Modelling.
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article24
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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article19
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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article23
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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2011Common stocks as a hedge against inflation: Evidence from century-long US data In: Economics Letters.
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article19
2015Market sentiment and the Fama–French factor premia In: Economics Letters.
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article2
2006Wild bootstrapping variance ratio tests In: Economics Letters.
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2008Are Asian stock markets efficient? Evidence from new multiple variance ratio tests In: Journal of Empirical Finance.
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article100
2011Stock return predictability and the adaptive markets hypothesis: Evidence from century-long U.S. data In: Journal of Empirical Finance.
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article110
2015Significance testing in empirical finance: A critical review and assessment In: Journal of Empirical Finance.
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article15
2019Can energy prices predict stock returns? An extreme bounds analysis In: Energy Economics.
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article6
2008Financial crisis and stock market efficiency: Empirical evidence from Asian countries In: International Review of Financial Analysis.
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article102
2015Will precious metals shine? A market efficiency perspective In: International Review of Financial Analysis.
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article25
2015Will precious metals shine ? A market efficiency perspective.(2015) In: Post-Print.
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2017Stock returns and investors mood: Good day sunshine or spurious correlation? In: International Review of Financial Analysis.
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article8
2016Stock Returns and Investors’ Mood: Good Day Sunshine or Spurious Correlation?.(2016) In: MPRA Paper.
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2017International stock return predictability: Evidence from new statistical tests In: International Review of Financial Analysis.
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article7
2017International Stock Return Predictability: Evidence from New Statistical Tests.(2017) In: Post-Print.
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2020A bootstrap test for predictability of asset returns In: Finance Research Letters.
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article1
2009Automatic variance ratio test under conditional heteroskedasticity In: Finance Research Letters.
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article59
2017Adaptive markets hypothesis for Islamic stock indices: Evidence from Dow Jones size and sector-indices In: International Economics.
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article8
2017Adaptive markets hypothesis for Islamic stock indices: Evidence from Dow Jones size and sector-indices.(2017) In: Post-Print.
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paper
2003Integration and interdependence of stock and foreign exchange markets: an Australian perspective In: Journal of International Financial Markets, Institutions and Money.
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article13
1999Asymptotic and bootstrap prediction regions for vector autoregression In: International Journal of Forecasting.
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article32
2003Forecasting autoregressive time series with bias-corrected parameter estimators In: International Journal of Forecasting.
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article23
2004Bootstrap prediction intervals for autoregression using asymptotically mean-unbiased estimators In: International Journal of Forecasting.
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article10
2011Beyond point forecasting: Evaluation of alternative prediction intervals for tourist arrivals In: International Journal of Forecasting.
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article16
2011Beyond point forecasting: Evaluation of alternative prediction intervals for tourist arrivals.(2011) In: International Journal of Forecasting.
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article
2009Beyond point forecasting: evaluation of alternative prediction intervals for tourist arrivals.(2009) In: Monash Econometrics and Business Statistics Working Papers.
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paper
2012Exchange-rate return predictability and the adaptive markets hypothesis: Evidence from major foreign exchange rates In: Journal of International Money and Finance.
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article43
2012Exchange-rate return predictability and the adaptive markets hypothesis: Evidence from major foreign exchange rates.(2012) In: Post-Print.
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paper
2010Exchange-Rate Return Predictability and the Adaptive Markets Hypothesis: Evidence from Major Foreign Exchange Rates.(2010) In: Working Papers.
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2012Realized dual-betas for leading Australian stocks: An evaluation of the estimation methods and the effect of the sampling interval In: Mathematics and Computers in Simulation (MATCOM).
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article0
2006International cross-listings by Australian firms: A stochastic dominance analysis of equity returns In: Journal of Multinational Financial Management.
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article3
2007A comparison of variance ratio tests of random walk: A case of Asian emerging stock markets In: International Review of Economics & Finance.
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article95
2009Real interest rate linkages in the Pacific-Basin region In: International Review of Economics & Finance.
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article5
2005Real Interest Rate Linkages in the Pacific Basin Region.(2005) In: Monash Econometrics and Business Statistics Working Papers.
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paper
2017Unit Roots in Economic and Financial Time Series: A Re-Evaluation at the Decision-Based Significance Levels In: Econometrics.
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article4
2019Interval-Based Hypothesis Testing and Its Applications to Economics and Finance In: Econometrics.
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article1
2020Towards a New Paradigm for Statistical Evidence in the Use of p -Value In: Econometrics.
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article0
2016Stock Exchange Mergers and Market In: Post-Print.
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paper1
2017Adaptive Markets Hypothesis for Islamic Stock Portfolios: Evidence from Dow Jones Size and Sector-Indices In: Post-Print.
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paper7
2014Stock Exchange Mergers and Market Efficiency In: Working Papers.
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2016Stock exchange mergers and market efficiency.(2016) In: Applied Economics.
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2014Precious metals shine? A market efficiency perspective In: Working Papers.
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paper0
2016Stock Return Predictability: Evaluation based on prediction intervals In: Working Papers.
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2016Stock Return Predictability: Evaluation based on Prediction Intervals.(2016) In: MPRA Paper.
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2004Forecasting the Velocity of Circulation in the Japanese Economy In: Hitotsubashi Journal of Economics.
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article0
2002Bootstrap Prediction Intervals for Autoregressive Models of Unknown or Infinite Lag Order. In: Journal of Forecasting.
[Citation analysis]
article6
2004Bias-corrected bootstrap prediction regions for vector autoregression In: Journal of Forecasting.
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article25
2005The Size and Power of the Bias-Corrected Bootstrap Test for Regression Models with Autocorrelated Errors In: Computational Economics.
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article0
2005Realized Volatility and Correlation in Grain Futures Markets: Testing for Spill-Over Effects In: Monash Econometrics and Business Statistics Working Papers.
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paper7
2015How to Choose the Level of Significance: A Pedagogical Note In: MPRA Paper.
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paper4
2015Unit Roots in Economic and Financial Time Series: A Re-Evaluation based on Enlightened Judgement In: MPRA Paper.
[Full Text][Citation analysis]
paper0
2008Weak-Form Efficiency of Foreign Exchange Markets of Developing Economies In: Journal of Emerging Market Finance.
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article2
1999Forecasting Monthly Tourist Departures from Australia In: Tourism Economics.
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article10
2001Seasonal Behaviour of Monthly International Tourist Flows: Specification and Implications for Forecasting Models In: Tourism Economics.
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article5
2001Modelling and Forecasting Monthly Airline Passenger Flows among Three Major Australian Cities In: Tourism Economics.
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article6
2020Decision-Theoretic Hypothesis Testing: A Primer With R Package OptSig In: The American Statistician.
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article3
2012Are Gulf stock markets efficient? Evidence from new multiple variance ratio tests In: Applied Economics.
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article20
2013Are US stock index returns predictable? Evidence from automatic autocorrelation-based tests In: Applied Economics.
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article37
2005Investigating the advertising-sales relationship in the Lydia Pinkham data: a bootstrap approach In: Applied Economics.
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article0
2006Estimating technical efficiency of Australian dairy farms using alternative frontier methodologies In: Applied Economics.
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article22
2000Estimation and inference in sur models when the number of equations is large In: Econometric Reviews.
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article10
2004Direct and indirect forecasting of the money multiplier and velocity of circulation in the United Kingdom In: International Economic Journal.
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article2
2015A closer look at return predictability of the US stock market: evidence from new panel variance ratio tests In: Quantitative Finance.
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article4
2003Exchange Rate Pass-Through and Market Response: The Case of the US Steel Market In: Economics Discussion / Working Papers.
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