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Volatility behavior of asset returns based on robust volatility ratio : empirical analysis on global stock indices

Shaik, Muneer; Maheswaran, S. - In: Cogent economics & finance 7 (2019) 1, pp. 1-27

In this paper we come up with an alternate theoretical proof for the independence and unbiased property of extreme value robust volatility estimator with respect to the standard robust volatility estimator as proposed in the paper by Muneer & Maheswaran (2018b). We show that the robust...

Persistent link: https://www.econbiz.de/10012023869

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

Modeling persistence and long memory under the impact of regime shifts in the PIGS stock market

Kumar, Dilip; Maheswaran, S. - In: Decision 40 (2013) 1/2, pp. 117-134

Persistent link: https://www.econbiz.de/10010381136

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

Return, volatility and risk spillover from oil prices and the US dollar exchange rate to the Indian industrial sectors

Kumar, Dilip; Maheswaran, S. - In: Margin: the journal of applied economic research 7 (2013) 1, pp. 61-91

Persistent link: https://www.econbiz.de/10009738171

Back to normal? : a study of the behaviour of volatility in the Indian stock market

Viswanathan, Lakshmi; Maheswaran, S. - In: IIMB management review 31 (2019) 1, pp. 63-70

Persistent link: https://www.econbiz.de/10012106074

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

A new statistic to capture the level dependence in stock price volatility

Padmakumari, Lakshmi; Maheswaran, S. - In: The quarterly review of economics and finance : journal … 65 (2017), pp. 355-362

Persistent link: https://www.econbiz.de/10011792503

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

Modelling asymmetry and persistence under the impact of sudden changes in the volatility of the Indian stock market

Kumar, Dilip; Maheswaran, S. - In: IIMB management review 24 (2012) 3, pp. 123-136

Persistent link: https://www.econbiz.de/10009724325