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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

Return and volatility spillovers : evidence from Indian exchange rates

Kumar, Manish - In: International journal of economics and business research 3 (2011) 4, pp. 371-387

Persistent link: https://www.econbiz.de/10009348242

An approximate entropy approach to examine the non-linear dependence in daily Indian exchange rates

Kumar, Manish - In: International journal of monetary economics and finance 4 (2011) 3, pp. 309-325

Persistent link: https://www.econbiz.de/10009376172

Returns and volatility spillover between stock prices and exchange rates : empirical evidence from IBSA countries

Kumar, Manish - In: International journal of emerging markets 8 (2013) 2, pp. 108-128

Persistent link: https://www.econbiz.de/10009739545

Causal effect of volume on stock returns and conditional volatility in developed and emerging market

Kumar, Manish; Thenmozhi, M. - In: American journal of finance and accounting 2 (2011/12) 4, pp. 346-362

Persistent link: https://www.econbiz.de/10009783491