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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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Modeling and forecasting the additive bias corrected extreme value volatility estimator
Kumar, Dilip; Maheswaran, S. - In: International review of financial analysis 34 (2014), pp. 166-176
Persistent link: https://www.econbiz.de/10010529043
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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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Detecting sudden changes in the extreme value volatility estimator
Kumar, Dilip; Maheswaran, S. - In: Decision 39 (2012) 3, pp. 44-67
Persistent link: https://www.econbiz.de/10009718085
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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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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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Long memory in Indian exchange rates : an application of power-law scaling analysis
Kumar, Dilip; Maheswaran, S. - In: Macroeconomics and finance in emerging market economies 8 (2015) 1/3, pp. 90-107
Persistent link: https://www.econbiz.de/10011402342
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Modelling and forecasting unbiased extreme value volatility estimator : A study based on exchange rates with economic significance analysis
Kumar, Dilip - In: The journal of prediction markets 13 (2019) 1, pp. 3-28
Persistent link: https://www.econbiz.de/10012607570
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Estimating and predicting value-at-risk in the presence of structural breaks : A study based on unbiased extreme value volatility estimator
Kumar, Dilip - In: The journal of prediction markets 14 (2020) 1, pp. 27-48
Persistent link: https://www.econbiz.de/10012667394
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Modeling and forecasting unbiased extreme value volatility estimator in presence of leverage effect
Kumar, Dilip - In: Journal of quantitative economics 16 (2018) 2, pp. 313-335
Persistent link: https://www.econbiz.de/10012418486