Details about Dilip Kumar

Access statistics for papers by Dilip Kumar.

Last updated 2021-12-08. Update your information in the RePEc Author Service.

Short-id: pku604

Working Papers

2016

1. Estimating and forecasting value-at-risk using the unbiased extreme value volatility estimator
   Proceedings of Economics and Finance Conferences, International Institute of Social and Economic Sciences

Journal Articles

2020

1. Heterogeneous market hypothesis approach for modeling unbiased extreme value volatility estimator in presence of leverage effect: An individual stock level study with economic significance analysis
   The Quarterly Review of Economics and Finance, 2020, 77, (C), 271-285
2. Modeling unbiased extreme value volatility estimator in presence of heterogeneity and jumps: A study with economic significance analysis
   International Review of Economics & Finance, 2020, 67, (C), 25-41 View citations (2)
3. Value-at-Risk in the Presence of Structural Breaks Using Unbiased Extreme Value Volatility Estimator
   Journal of Quantitative Economics, 2020, 18, (3), 587-610 View citations (2)

2019

4. Informational inefficiency of Bitcoin: A study based on high-frequency data
   Research in International Business and Finance, 2019, 47, (C), 344-353 View citations (31)
5. Long range dependence in the Bitcoin market: A study based on high-frequency data
   Physica A: Statistical Mechanics and its Applications, 2019, 515, (C), 625-640 View citations (11)
6. Measuring Dependence Between the USA and the Asian Economies: A Time-varying Copula Approach
   Global Business Review, 2019, 20, (4), 962-980 View citations (4)
7. Structural Breaks in Volatility Transmission from Developed Markets to Major Asian Emerging Markets
   Journal of Emerging Market Finance, 2019, 18, (2), 172-209 View citations (2)

2018

8. Modeling and Forecasting Unbiased Extreme Value Volatility Estimator in Presence of Leverage Effect
   Journal of Quantitative Economics, 2018, 16, (2), 313-335

2017

9. A Study of Risk Spillover in the Crude Oil and the Natural Gas Markets
   Global Business Review, 2017, 18, (6), 1465-1477
10. Integration of the Indian stock market with the world market: a study based on the time-varying Kalman filter approach
    International Journal of Accounting and Finance, 2017, 7, (2), 110-126
11. Realized volatility transmission from crude oil to equity sectors: A study with economic significance analysis
    International Review of Economics & Finance, 2017, 49, (C), 149-167 View citations (16)
12. Value-at-risk and expected shortfall using the unbiased extreme value volatility estimator
    Studies in Economics and Finance, 2017, 34, (4), 506-526

2016

13. Asymmetric Dynamic Conditional Correlation Approach to Financial Contagion: A Study of Asian Markets
    Global Business Review, 2016, 17, (6), 1339-1356 View citations (8)
14. Do foreign institutional investors herd in emerging markets? A study of individual stocks
    DECISION: Official Journal of the Indian Institute of Management Calcutta, 2016, 43, (3), 281-300 View citations (1)
15. Sudden changes in crude oil price volatility: an application of extreme value volatility estimator
    American Journal of Finance and Accounting, 2016, 4, (3/4), 215-234

2015

16. Long memory in Indian exchange rates: an application of power-law scaling analysis
    Macroeconomics and Finance in Emerging Market Economies, 2015, 8, (1-2), 90-107 View citations (2)
17. Return and volatility spillover among the PIIGS economies and India
    American Journal of Finance and Accounting, 2015, 4, (1), 28-49 View citations (3)
18. Risk Spillover Between the GIPSI Economies and Egypt, Saudi Arabia, and Turkey
    Emerging Markets Finance and Trade, 2015, 51, (6), 1193-1208 View citations (2)
19. Sudden changes in extreme value volatility estimator: Modeling and forecasting with economic significance analysis
    Economic Modelling, 2015, 49, (C), 354-371 View citations (12)

2014

20. A new approach to model and forecast volatility based on extreme value of asset prices
    International Review of Economics & Finance, 2014, 33, (C), 128-140 View citations (1)
21. A reflection principle for a random walk with implications for volatility estimation using extreme values of asset prices
    Economic Modelling, 2014, 38, (C), 33-44 View citations (10)
22. Are major global stock markets efficient? An application of the martingale difference hypothesis with wild bootstrap
    American Journal of Finance and Accounting, 2014, 3, (2/3/4), 217-233
23. Correlations, Return and Volatility Spillovers in Indian Exchange Rates
    Global Business Review, 2014, 15, (1), 77-91 View citations (7)
24. Long range dependence in the high frequency USD/INR exchange rate
    Physica A: Statistical Mechanics and its Applications, 2014, 396, (C), 134-148 View citations (4)
25. Modeling and forecasting the additive bias corrected extreme value volatility estimator
    International Review of Financial Analysis, 2014, 34, (C), 166-176 View citations (9)

2013

26. An automatic bias correction procedure for volatility estimation using extreme values of asset prices
    Economic Modelling, 2013, 33, (C), 701-712 View citations (9)
27. Are PIIGS stock markets efficient?
    Studies in Economics and Finance, 2013, 30, (3), 209-225
28. Asymmetric long memory volatility in the PIIGS economies
    Review of Accounting and Finance, 2013, 12, (1), 23-43 View citations (4)
29. Detecting sudden changes in volatility estimated from high, low and closing prices
    Economic Modelling, 2013, 31, (C), 484-491 View citations (16)
30. Return, Volatility and Risk Spillover from Oil Prices and the US Dollar Exchange Rate to the Indian Industrial Sectors
    Margin: The Journal of Applied Economic Research, 2013, 7, (1), 61-91 View citations (3)

2011

31. Volatility Persistence In The Presence Of Structural Breaks In The Indian Banking Sector
    Paradigm, 2011, 15, (1-2), 8-17

Chapters

2015

1. A Dynamic Conditional Correlation Analysis-Based Approach to Test Financial Contagion in Developing Markets
   Springer View citations (1)