Staff profile

Professor Jae H. (Paul) Kim

Professor

Faculty of Business, Economics and Law

La Trobe Business School
Department of Finance

DWB 331, Melbourne (Bundoora)

 

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 papers and citations, see: http://scholar.google.com/citations?user=zEs_RAgAAAAJ&hl=en

Research specialisation

- Financial econometrics and time series analysis

- Quantitative finance

Recent Publications

 

Charles, A. Darne, O. and Kim, J. H., 2012, Exchange-rate return predictability and adaptive markets hypothesis: evidence from Major Foreign Exchange Rates, Journal of International Money and Finance, forthcoming.  

Rushdi, M., Kim, J.H., Silvapulle, P. 2012, ARDL bounds tests and robust inference for the long run relationship between real stock returns and inflation in Australia, Economic Modelling, 29, 535-543.  

Kim, J. H., Shamsuddin, A., Lim, K.-P, 2011, Stock Return Predictability and the Adaptive Markets Hypothesis: Evidence from century-long U.S. data, Journal of Empirical Finance, 18, 868-879.

Lim, K.-P., Luo, W. and Kim, J. H., 2011, Are U.S. Stock Index Returns Predictable? Evidence from Automatic   Autocorrelation-based Tests. Applied Economics, forthcoming.

Kim, J. H. and Ryoo, H., 2011, Common stocks as a hedge against inflation: Evidence from centry-long US. data. Economics Letters, 113, 168-171.  

Lim, K.-P. and Kim, J.H., 2011, Trade Openness and the Informational Efficiency of Emerging Stock Market, Economic  Modelling, 28 (5), 2228-2238.  

Kim, J.H. and Ji, P.I., 2011, Mean reversion in international real interest rates, Economic Modelling, 28, 1959-1966.

Kim, J. H., Fraser, I. and Hyndman, R, 2011, Improved Interval Estimation of Long Run Response from a Dynamic Linear Model: A Highest Density Region Approach, Computational Statistics and Data Analysis 55(8), 2477-2489.

Al-Ajmi, J. and Kim. J.H., 2011, Are Gulf Stock Markets Efficient? Evidence from New Multiple Variance Ratio Tests, Applied Economics, forthcoming.

Charles, A. Darne, O. and Kim. J. H., 2011, Small Sample Properties of Alternative Tests for Martingale Difference Hypothesis, Economics Letters, 110, 151-154.

Kim, J. H., Wong, K., Athanasopoulos, G. Liu, S. 2011, Beyond point forecasting: Evaluation of alternative prediction intervals for tourist arrivals, International Journal of Forecasting, 27, 887-901.

Shamsuddin, A. and Kim, J. H., 2010, Short-horizon return predictability in international equity markets, The Financial Review, 45(2), 469-484.

Song, H., Kim, J.H., and Yang, S. 2010, Confidence Intervals for Tourism Demand Elasticity, Annals of Tourism Research, 37(2), 377-396.

Kim, J. H., Song, H., and Wong, K., 2010, Bootstrap Prediction Interval for Autoregressive Model: New Alternatives with Applications to Tourism Forecasting, Journal of Forecasting, 29, 7, 655-672.   

Kim, J. H., 2009, Automatic Variance Ratio Test under Conditional Heteroskedascity, Finance Research Letters, 6(3) 179-185.  

Clements, M., Galvao, B. A. and Kim, J. H., 2008, Quantile Forecasts of Daily Exchange Rate Returns from Forecasts of Realized Volatility, Journal of Empirical Finance, 15, 729-750.  

Kim, J. H. and Shamsuddin, A., 2008, Are Asian Stock Markets Efficient? Evidence from New Multiple Variance Ratio Tests. Journal of Empirical Finance, 15, 3, 518-532.  (a top-ten cited article of the journal, 2010, 2011)

Kim, J. H., Silvapulle, P. and Hyndman, R, 2007, Half-Life Estimation based on the Bias-Corrected Bootstrap: A Highest Density Region Approach, Computational Statistics and Data Analysis, 51, 7, 3418-3432.  

Clements, M. P., and Kim, J. H., 2007, Bootstrap Prediction Intervals for Autoregressive Time Series, Computational Statistics and Data Analysis, 51, 7, 3580-3594.  

Kim, J.H., 2006, Wild Bootstrapping Variance Ratio Tests. Economics Letters, 92, 38-43.  (adopted by Eviews 7, http://www.eviews.com/) (a top-ten cited article of the journal, 2011)

Balcombe, K. Fraser, I. and Kim, J.H. 2006, Estimating Technical Efficiency of Australian Dairy Farms Using Alternative Frontier Methodologies, Applied Economics, 38, 2221-2236.  

Kim, J.H., 2005, Investigating the Advertising-Sales Relationship in the Lydia Pinkham Data: A Bootstrap Approach, Applied Economics, 37, 347 - 354.   

Kim, J.H. and Moosa, I., 2005, Forecasting International Tourist Flows to Australia: a Comparison between the Direct and Indirect Methods, Tourism Management, 26, 1, 69-78.  

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/)

Resume

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