We propose and implement an empirical automatic bias correction (ABC) procedure for correcting the downward bias in the volatility estimators that utilize extreme value of asset prices. The bias originates from the random walk effect. The proposed estimator does not require knowledge of N, the...

In this paper, we derive a reflection principle for a random walk with the symmetric double exponential distribution. This allows us to come up with the closed form solution for the joint probability of the running maximum and the terminal value of the random walk. Based on this new theoretical...

This article examines the return, volatility, upside risk and downside risk spillover effects from crude oil prices and the US$/INR exchange rate to the major Indian industrial sectors using Hong’s (2001) approach. We make use of the generalised autoregressive conditional...

Purpose – The main purpose of this paper is to examine the asymmetry and long memory properties in the volatility of the stock indices of the PIIGS economies (Portugal, Ireland, Italy, Greece and Spain). Design/methodology/approach – The paper utilizes the wavelets approach (based on Haar,...

Purpose – In this paper, the authors aim to investigate the return, volatility and correlation spillover effects between the crude oil market and the various Indian industrial sectors (automobile, financial, service, energy, metal and mining, and commodities sectors) in order to investigate...