Jae H. Kim
La Trobe University
105 Papers
540 Citations
Jae H. Kim is an academic researcher from La Trobe University. The author has contributed to research in topics: Autoregressive model & Predictability. The author has an hindex of 30, co-authored 104 publications. Previous affiliations of Jae H. Kim include Monash University & James Cook University.
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Papers
Stock return predictability and the adaptive markets hypothesis: Evidence from century-long U.S. data☆
TL;DR: In this article, the authors provide strong evidence of time-varying return predictability of the Dow Jones Industrial Average (DIA) from 1900 to 2009, and show that return prediction is driven by changing market conditions, consistent with the implication of the adaptive markets hypothesis.
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Stock Return Predictability and the Adaptive Markets Hypothesis: Evidence from Century Long U.S. Data
TL;DR: This article studied the return predictability of the Dow Jones Industrial Average indices from 1900 to 2009 and found strong evidence that time-varying return prediction is driven by changing market conditions, consistent with the implications of the adaptive markets hypothesis.
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Wild bootstrapping variance ratio tests
TL;DR: In this article, the wild bootstrap is proposed as a means of improving small sample properties of variance ratio tests, and it is found that the wildbootstrap tests have desirable size properties and exhibit higher power than their alternatives in most cases.
229
Automatic variance ratio test under conditional heteroskedasticity
TL;DR: In this article, an extensive Monte Carlo experiment is conducted to evaluate small sample properties of the automatic variance ratio test under conditional heteroskedasticity, and it is found that the test shows serious size distortion in small samples.
179
Are US stock index returns predictable? Evidence from automatic autocorrelation-based tests
TL;DR: In this paper, the authors re-examine the evidence of return predictability for three major US stock indices using two recently developed data-driven tests, namely the automatic portmanteau Box-Pierce test and the wild bootstrapped automatic variance ratio test.
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