Search Results - subject:"random walk effect"

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

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) C, pp. 33-44

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...

Persistent link: https://www.econbiz.de/10011048828

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

An automatic bias correction procedure for volatility estimation using extreme values of asset prices

Maheswaran, S.; Kumar, Dilip - In: Economic Modelling 33 (2013) C, pp. 701-712

volatility estimators that utilize extreme value of asset prices. The bias originates from the random walk effect. The proposed …

Persistent link: https://www.econbiz.de/10010738022

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