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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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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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Predictive analytics in operations management
Jain, Harsh; Pal, Amrit; Manish Kumar - In: Applied big data analytics in operations management, (pp. 68-92). 2017
Persistent link: https://www.econbiz.de/10011583696
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A hybrid ARIMA-EGARCH and Artificial neural network model in stock market forecasting : evidence for India and the US
Kumar, Manish; Thenmozhi, M. - In: International journal of business and emerging markets … 4 (2012) 2, pp. 160-178
Persistent link: https://www.econbiz.de/10009538145
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Forecasting stock index returns using ARIMA-SVM, ARIMA-ANN and ARIMA-random forest hybrid models
Kumar, Manish; Thenmozhi, M. - In: International journal of banking, accounting and finance 5 (2013/2014) 3, pp. 284-308
Persistent link: https://www.econbiz.de/10011474500
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A Time-Varying Parameter Vector Autoregression Model for Forecasting Emerging Market Exchange Rates
Kumar, Manish - 2011
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/10013131111