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Value-at-risk in the presence of structural breaks using unbiased extreme value volatility estimator
Kumar, Dilip - In: Journal of quantitative economics 18 (2020) 3, pp. 587-610
Persistent link: https://www.econbiz.de/10012418856
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Sudden changes in crude oil price volatility : an application of extreme value volatility estimator
Kumar, Dilip - In: American journal of finance and accounting 4 (2015/2016) 3/4, pp. 215-234
Persistent link: https://www.econbiz.de/10011713524
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Empirical implications of arbitrage-free asset markets
Maheswaran, S.; Sims, Christopher A. - 1992
Persistent link: https://www.econbiz.de/10000835838
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Modelling the paradox in stock markets by variance ratio volatility estimator that utilises extreme values of asset prices
Shaik, Muneer; Maheswaran, S. - In: Journal of emerging market finance 15 (2016) 3, pp. 333-361
Persistent link: https://www.econbiz.de/10011691166
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A new method based on range to detect mean reversion
Shaik, Muneer; Maheswaran, S. - In: IIMB management review 32 (2020) 2, pp. 208-216
Persistent link: https://www.econbiz.de/10012489711
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Covariance estimation using high-low prices with implications for futures vs spot volatility
Padmakumari, Lakshmi; Maheswaran, S. - In: Finance India : the quarterly journal of Indian … 34 (2020) 1, pp. 75-92
Persistent link: https://www.econbiz.de/10012663836
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Second order duality for nondifferentiable multiobjective programming problem involving (F, α, ρ, d)-V-type I functions
Jayswal, Anuarg; Kumar, Dilip; Kumar, Rajnish - In: Optimization letters 4 (2010) 2, pp. 211-226
Persistent link: https://www.econbiz.de/10003958315
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On detecting sudden changes in the unconditional volatility of a time series
Kumar, Dilip - In: Theoretical economics letters 6 (2016) 2, pp. 256-261
Persistent link: https://www.econbiz.de/10011545581
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Weighted bootstrap approach for the variance ratio tests : a test of market efficiency
Kumar, Dilip - In: Theoretical economics letters 6 (2016) 3, pp. 426-431
Persistent link: https://www.econbiz.de/10011546643
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Are major global stock markets efficient? : an application of the martingale difference hypothesis with wild bootstrap
Kumar, Dilip; Maheswaran, Srinivasan - In: American journal of finance and accounting 3 (2013/14) 2/4, pp. 217-233
Persistent link: https://www.econbiz.de/10010403610