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Volatility prediction : a study with structural breaks

Kumar, Dilip - In: Theoretical economics letters 8 (2018) 6, pp. 1218-1231

Persistent link: https://www.econbiz.de/10011888198

Market efficiency in Indian exchange rates : adaptive market hypothesis

Kumar, Dilip - In: Theoretical economics letters 8 (2018) 9, pp. 1582-1598

Persistent link: https://www.econbiz.de/10011888649

Modelling and forecasting unbiased extreme value volatility estimator : a study based on EUR/USD exchange rate

Kumar, Dilip - In: Theoretical economics letters 8 (2018) 9, pp. 1599-1613

Persistent link: https://www.econbiz.de/10011888653

Realized volatility transmission from crude oil to equity sectors : a study with economic significance analysis

Kumar, Dilip - In: International review of economics & finance : IREF 49 (2017), pp. 149-167

Persistent link: https://www.econbiz.de/10011748390

Modeling and forecasting unbiased extreme value volatility estimator in presence of leverage effect

Kumar, Dilip - In: Journal of quantitative economics 16 (2018) 2, pp. 313-335

Persistent link: https://www.econbiz.de/10012418486

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

What impacts the structural breaks in volatility transmission from crude oil to agricultural commodities?

Kumar, Dilip - In: Journal of economic research 24 (2019) 1, pp. 91-127

Persistent link: https://www.econbiz.de/10012027966

Estimating and predicting value-at-risk in the presence of structural breaks : A study based on unbiased extreme value volatility estimator

Kumar, Dilip - In: The journal of prediction markets 14 (2020) 1, pp. 27-48

Persistent link: https://www.econbiz.de/10012667394

Modelling and forecasting unbiased extreme value volatility estimator : A study based on exchange rates with economic significance analysis

Kumar, Dilip - In: The journal of prediction markets 13 (2019) 1, pp. 3-28

Persistent link: https://www.econbiz.de/10012607570

Modeling Asymmetry and Persistence Under the Impact of Sudden Changes in the Volatility of the Indian Stock Market

Kumar, Dilip - 2012

In this paper, we compare the performance of Inclan and Tiao's (IT) (1994) and Sanso, Arago and Carrion's (AIT) (2004) iterated cumulative sums of squares (ICSS) algorithms by means of Monte Carlo simulation experiments for various data-generating processes with conditional and unconditional...

Persistent link: https://www.econbiz.de/10013111952