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The effects of errors in means, variances, and correlations on the mean-variance framework

Chung, Munki; Lee, Yongjae; Kim, Jang Ho; Kim, Woo Chang; … - In: Quantitative finance 22 (2022) 10, pp. 1893-1903

Persistent link: https://www.econbiz.de/10013367960

Estimating historical downside risks of global financial market indices via inflation rate-adjusted dependence graphs

Choi, Insu; Kim, Woo Chang - In: Research in international business and finance 66 (2023), pp. 1-24

Persistent link: https://www.econbiz.de/10014463360

Market sentiment and the Fama-French factor premia

Shamsuddin, Abdul; Kim, Jae H. - In: Economics letters 136 (2015), pp. 129-132

Persistent link: https://www.econbiz.de/10011435995

Will precious metals shine? : a market efficiency perspective

Charles, Amélie; Darné, Olivier; Kim, Jae H. - In: International review of financial analysis 41 (2015), pp. 284-291

Persistent link: https://www.econbiz.de/10011508971

Can energy prices predict stock returns? : an extreme bounds analysis

Kim, Jae H.; Rahman, Md Lutfur; Shamsuddin, Abul - In: Energy economics 81 (2019), pp. 822-834

Persistent link: https://www.econbiz.de/10012172994

Adaptive markets hypothesis for Islamic stock indices : evidence from Dow Jones size and sector-indices

Charles, Amélie; Darné, Olivier; Kim, Jae H. - In: International economics : a journal published by CEPII … 151 (2017), pp. 100-112

Persistent link: https://www.econbiz.de/10011793836

International stock return predictability : evidence from new statistical tests

Charles, Amélie; Darné, Olivier; Kim, Jae H. - In: International review of financial analysis 54 (2017), pp. 97-113

Persistent link: https://www.econbiz.de/10011878164

ARDL bounds tests and robust inference for the long run relationship between real stock returns and inflation in Australia

Rushdi, Mustabshira; Kim, Jae H.; Silvapulle, Paramsothy - In: Economic modelling 29 (2012) 3, pp. 535-543

Persistent link: https://www.econbiz.de/10009544884

Estimating systematic and partial exchange rate exposures : the case of Japanese firms

Kim, Jae H.; Kitamura, Yoshihiro - In: International journal of empirical economics 1 (2022) 1, pp. 1-31

We decompose exchange rate exposure into systematic and partial parts. The former is the product of the exposure of the market portfolio and a firm’s market beta, reflecting the risk of the exchange rate to a macroeconomy. The latter is the residual one that most previous studies have...

Persistent link: https://www.econbiz.de/10014331047

Stock return predictability and the adaptive markets hypothesis : evidence from century-long US data

Kim, Jae H.; Shamsuddin, Abul; Lim, Kian-Ping - In: Journal of empirical finance 18 (2011) 5, pp. 868-879

Persistent link: https://www.econbiz.de/10009492527