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A new approach to model and forecast volatility based on extreme value of asset prices
Kumar, Dilip; Maheswaran, S. - In: International review of economics & finance : IREF 33 (2014), pp. 128-140
Persistent link: https://www.econbiz.de/10010531271
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Modelling asymmetry and persistence under the impact of sudden changes in the volatility of the Indian stock market
Kumar, Dilip; Maheswaran, S. - In: IIMB management review 24 (2012) 3, pp. 123-136
Persistent link: https://www.econbiz.de/10009724325
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Detecting sudden changes in volatility estimated from high, low and closing prices
Kumar, Dilip; Maheswaran, S. - In: Economic modelling 31 (2013), pp. 484-491
Persistent link: https://www.econbiz.de/10009730777
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Testing the martingale hypothesis in the Indian stock market : evidence from multiple variance ratio tests
Kumar, Dilip; Maheswaran, S. - In: Decision 39 (2012) 2, pp. 62-85
Persistent link: https://www.econbiz.de/10009670164
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Modeling persistence and long memory under the impact of regime shifts in the PIGS stock market
Kumar, Dilip; Maheswaran, S. - In: Decision 40 (2013) 1/2, pp. 117-134
Persistent link: https://www.econbiz.de/10010381136
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An automatic bias correction procedure for volatility estimation using extreme values of asset prices
Maheswaran, S.; Kumar, Dilip - In: Economic modelling 33 (2013), pp. 701-712
Persistent link: https://www.econbiz.de/10010194420
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Sudden breaks in drift-independent volatility estimator based on multiple periods open, high, low, and close prices
Kumar, Dilip - In: IIMB management review 28 (2016) 1, pp. 31-42
Persistent link: https://www.econbiz.de/10011508738
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A reflection principle for a random walk with implications for volatility estimation using extreme values of asset prices
Kumar, Dilip; Maheswaran, S. - In: Economic modelling 38 (2014), pp. 33-44
Persistent link: https://www.econbiz.de/10010418224
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Opening noise in the Indian stock market : analysis at individual stock level
Zargar, Faisal Nazir; Kumar, Dilip - In: Theoretical economics letters 9 (2019) 1, pp. 21-32
Persistent link: https://www.econbiz.de/10012005211
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Informational inefficiency of Bitcoin : a study based on high-frequency data
Zargar, Faisal Nazir; Kumar, Dilip - In: Research in international business and finance 47 (2019), pp. 344-353
Persistent link: https://www.econbiz.de/10012135746