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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

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

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

Are PIIGS stock markets efficient?

Kumar, Dilip - In: Studies in economics and finance 30 (2013) 3, pp. 209-225

Persistent link: https://www.econbiz.de/10009772963

Return and volatility transmission between gold and stock sectors : application of portfolio management and hedging effectiveness

Kumar, Dilip - In: IIMB management review 26 (2014) 1, pp. 5-16

Persistent link: https://www.econbiz.de/10010383433

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

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

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

Robust volatility estimation with and without the drift parameter

Shaik, Muneer; Maheswaran, S. - In: Journal of quantitative economics 17 (2019) 1, pp. 57-91

Persistent link: https://www.econbiz.de/10012418637

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