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Improving the accuracy: volatility modeling and forecasting using high-frequency data and the variational component
Kumar, Manish - In: Journal of industrial engineering and management : JIEM 3 (2010) 1, pp. 199-220
In this study, we predict the daily volatility of the S&P CNX NIFTY market index of India using the basic "heterogeneous autoregressive" (HAR) and its variant. In doing so, we estimated several HAR and Log form of HAR models using different regressor. The different regressors were obtained by...
Persistent link: https://www.econbiz.de/10011899155
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The government's retreat from agricultural policy : experiences from Bihar
Kumar, Manish - In: Economic developments in India : quarterly update : … 251/252 (2021), pp. 161-170
Persistent link: https://www.econbiz.de/10012669236
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A time-varying parameter vector autoregression model for forecasting emerging market exchange rates
Kumar, Manish - In: International journal of economic sciences and applied … 3 (2010) 2, pp. 21-39
In this study, a vector autoregression (VAR) model with time-varying parameters (TVP) to predict the daily Indian rupee (INR)/US dollar (USD) exchange rates for the Indian economy is developed. The method is based on characterization of the TVP as an optimal control problem. The methodology is a...
Persistent link: https://www.econbiz.de/10009958060
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An approximate entropy approach to examine the non-linear dependence in daily Indian exchange rates
Kumar, Manish - In: International journal of monetary economics and finance 4 (2011) 3, pp. 309-325
Persistent link: https://www.econbiz.de/10009925228
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Modelling exchange rate returns using non-linear models
Kumar, Manish - In: Margin: the journal of applied economic research 4 (2010) 1, pp. 101-125
Persistent link: https://www.econbiz.de/10009934757
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Causal relationship between stock price and exchange rate : evidence for India
Kumar, Manish - In: International journal of economic policy in emerging … 3 (2010) 1, pp. 85-101
Persistent link: https://www.econbiz.de/10009955694
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Return and volatility spillovers : evidence from Indian exchange rates
Kumar, Manish - In: International journal of economics and business research 3 (2011) 4, pp. 371-387
Persistent link: https://www.econbiz.de/10009348242
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Modelling exchange rate returns using non-linear models
Kumar, Manish - In: Margin: the journal of applied economic research 4 (2010) 1, pp. 101-125
Persistent link: https://www.econbiz.de/10008991706
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A time-varying parameter vector autoregression model for forecasting emerging market exchange rates
Kumar, Manish - In: International journal of economic sciences and applied … 3 (2010) 2, pp. 21-39
In this study, a vector autoregression (VAR) model with time-varying parameters (TVP) to predict the daily Indian rupee (INR)/US dollar (USD) exchange rates for the Indian economy is developed. The method is based on characterization of the TVP as an optimal control problem. The methodology is a...
Persistent link: https://www.econbiz.de/10009010936
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An approximate entropy approach to examine the non-linear dependence in daily Indian exchange rates
Kumar, Manish - In: International journal of monetary economics and finance 4 (2011) 3, pp. 309-325
Persistent link: https://www.econbiz.de/10009376172