Staff profile
Professor Jae H. (Paul) Kim
Professor
Faculty of Business, Economics and Law
La Trobe Business SchoolDepartment of Finance
DWB 331, Melbourne (Bundoora)
- T: +61 3 9479 6616
- F: +61 3 9479 1654
- E: j.kim@latrobe.edu.au
Qualifications
BEc, MEc, PhD
Area of study
Finance
Brief profile
Jae (Paul) Kim is a Professor of Finance in the Department of Finance at La Trobe University. He has published widely in the areas of empirical finance, econometrics, and time series forecasting. His current research areas in finance include return predictability, testing for market efficiency, capital market integration, and realized beta and volatility estimation.
He is an author of two software packages written in R: one for time series forecasting and the other for testing for asset market efficiency and return predictability. The wild bootstrap variance ratio test he has proposed is available in Eviews 7, accessible to a mass of students and researchers around the world.
After completing his PhD at the University of Sydney in 1997, he has worked at James Cook University, La Trobe University, and Monash University, before returning to La Trobe in June 2009.
For the published papers and citations, see: http://scholar.google.com/citations?user=zEs_RAgAAAAJ&hl=en
For working papers, see http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=376395
Research specialisation
- Financial econometrics and time series analysis
- Quantitative finance
Teaching units
FIN5EME, FIN3QRA
Recent publications
Software
Kim, J. H., 2010, vrtest: Variance Ratio tests and other Tests for Martingale Difference Hypothesis. R package ver. 0.95. (available freely from http://www.r-project.org/)
Kim, J. H., 2009, BootPR: Bootstrap Prediction Intervals and Bias-Corrected Forecasting. R package version 0.56. (available freely from http://www.r-project.org/)
