The properties of realized volatility and realized correlation: Evidence from the Indian stock market
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- Christos Floros & Konstantinos Gkillas & Christoforos Konstantatos & Athanasios Tsagkanos, 2020. "Realized Measures to Explain Volatility Changes over Time," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 13(6), pages 1-19, June.
- Lahmiri, Salim & Bekiros, Stelios & Salvi, Antonio, 2018. "Long-range memory, distributional variation and randomness of bitcoin volatility," Chaos, Solitons & Fractals, Elsevier, vol. 107(C), pages 43-48.
- Tiwari, Aviral Kumar & Aye, Goodness C. & Gupta, Rangan & Gkillas, Konstantinos, 2020.
"Gold-oil dependence dynamics and the role of geopolitical risks: Evidence from a Markov-switching time-varying copula model,"
Energy Economics, Elsevier, vol. 88(C).
- Aviral Kumar Tiwari & Goodness C. Aye & Rangan Gupta & Konstantinos Gkillas, 2019. "Gold-Oil Dependence Dynamics and the Role of Geopolitical Risks: Evidence from a Markov-Switching Time-Varying Copula Model," Working Papers 201918, University of Pretoria, Department of Economics.
- Zhuang, Chunjuan, 2018. "Improving performance of exchange rate momentum strategy using volatility information," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 510(C), pages 741-753.
More about this item
KeywordsRealized volatility; Realized correlation; Statistical properties; Indian stock market;
- F30 - International Economics - - International Finance - - - General
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- O53 - Economic Development, Innovation, Technological Change, and Growth - - Economywide Country Studies - - - Asia including Middle East
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