Similar Search Results

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

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

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

Covariance estimation using random permutations

Padmakumari, Lakshmi; Maheswaran, S. - In: International journal of financial engineering 5 (2018) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10011922956

Speed of price adjustment towards market efficiency : evidence from emerging countries

Kayal, Parthajit; Maheswaran, S. - In: Journal of emerging market finance 17 (2018), pp. 112-135

Persistent link: https://www.econbiz.de/10011925668

Expected lifetime range ratio to find mean reversion : evidence from Indian stock market

Shaik, Muneer; Maheswaran, S. - In: Cogent economics & finance 6 (2018) 1, pp. 1-23

We use the expected lifetime range (ELR) ratio based on the extreme values of asset prices to detect the presence of mean reversion in stock returns. We find that the actual cross-sectional average of the ELR ratio is significantly less than its bootstrap means, thereby indicating a considerable...

Persistent link: https://www.econbiz.de/10011905649

Modelling the paradox in stock markets by variance ratio volatility estimator that utilises extreme values of asset prices

Shaik, Muneer; Maheswaran, S. - In: Journal of emerging market finance 15 (2016) 3, pp. 333-361

Persistent link: https://www.econbiz.de/10011691166

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

Random walk in emerging Asian stock markets

Shaik, Muneer; Maheswaran, S. - In: International journal of economics and finance 9 (2017) 1, pp. 20-31

Persistent link: https://www.econbiz.de/10011617588

Is USD-INR really an excessively volatile currency pair?

Kayal, Parthajit; Maheswaran, S. - In: Journal of quantitative economics 15 (2017) 2, pp. 329-342

Persistent link: https://www.econbiz.de/10012418291