IDEAS home Printed from https://ideas.repec.org/f/pku604.html
   My authors  Follow this author

Dilip Kumar

Personal Details

First Name:Dilip
Middle Name:
Last Name:Kumar
Suffix:
RePEc Short-ID:pku604
[This author has chosen not to make the email address public]
https://scholar.google.co.in/citations?user=N8y4jzMAAAAJ&hl=en

Affiliation

Indian Institute of Management Kashipur

Kashipur, India
http://www.iimkashipur.ac.in/
RePEc:edi:iimkain (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters

Working papers

  1. Dilip Kumar, 2016. "Estimating and forecasting value-at-risk using the unbiased extreme value volatility estimator," Proceedings of Economics and Finance Conferences 3205528, International Institute of Social and Economic Sciences.

Articles

  1. Zargar, Faisal Nazir & Kumar, Dilip, 2020. "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, Elsevier, vol. 77(C), pages 271-285.
  2. Zargar, Faisal Nazir & Kumar, Dilip, 2020. "Modeling unbiased extreme value volatility estimator in presence of heterogeneity and jumps: A study with economic significance analysis," International Review of Economics & Finance, Elsevier, vol. 67(C), pages 25-41.
  3. Dilip Kumar, 2020. "Value-at-Risk in the Presence of Structural Breaks Using Unbiased Extreme Value Volatility Estimator," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 18(3), pages 587-610, September.
  4. Dilip Kumar, 2019. "Structural Breaks in Volatility Transmission from Developed Markets to Major Asian Emerging Markets," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 18(2), pages 172-209, August.
  5. Shegorika Rajwani & Dilip Kumar, 2019. "Measuring Dependence Between the USA and the Asian Economies: A Time-varying Copula Approach," Global Business Review, International Management Institute, vol. 20(4), pages 962-980, August.
  6. Zargar, Faisal Nazir & Kumar, Dilip, 2019. "Informational inefficiency of Bitcoin: A study based on high-frequency data," Research in International Business and Finance, Elsevier, vol. 47(C), pages 344-353.
  7. Zargar, Faisal Nazir & Kumar, Dilip, 2019. "Long range dependence in the Bitcoin market: A study based on high-frequency data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 515(C), pages 625-640.
  8. Dilip Kumar, 2018. "Modeling and Forecasting Unbiased Extreme Value Volatility Estimator in Presence of Leverage Effect," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 16(2), pages 313-335, June.
  9. Srinivasa Rao Gangadharan & Dilip Kumar, 2017. "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, Inderscience Enterprises Ltd, vol. 7(2), pages 110-126.
  10. Kumar, Dilip, 2017. "Realized volatility transmission from crude oil to equity sectors: A study with economic significance analysis," International Review of Economics & Finance, Elsevier, vol. 49(C), pages 149-167.
  11. Dilip Kumar & Srinivasan Maheswaran, 2017. "Value-at-risk and expected shortfall using the unbiased extreme value volatility estimator," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 34(4), pages 506-526, October.
  12. Dilip Kumar, 2017. "A Study of Risk Spillover in the Crude Oil and the Natural Gas Markets," Global Business Review, International Management Institute, vol. 18(6), pages 1465-1477, December.
  13. Shegorika Rajwani & Dilip Kumar, 2016. "Asymmetric Dynamic Conditional Correlation Approach to Financial Contagion: A Study of Asian Markets," Global Business Review, International Management Institute, vol. 17(6), pages 1339-1356, December.
  14. Ashish Kumar Garg & Subrata Kumar Mitra & Dilip Kumar, 2016. "Do foreign institutional investors herd in emerging markets? A study of individual stocks," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, vol. 43(3), pages 281-300, September.
  15. Dilip Kumar, 2016. "Sudden changes in crude oil price volatility: an application of extreme value volatility estimator," American Journal of Finance and Accounting, Inderscience Enterprises Ltd, vol. 4(3/4), pages 215-234.
  16. Dilip Kumar, 2015. "Risk Spillover Between the GIPSI Economies and Egypt, Saudi Arabia, and Turkey," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 51(6), pages 1193-1208, November.
  17. Dilip Kumar & S. Maheswaran, 2015. "Long memory in Indian exchange rates: an application of power-law scaling analysis," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 8(1-2), pages 90-107, July.
  18. Dilip Kumar & Srinivasan Maheswaran, 2015. "Return and volatility spillover among the PIIGS economies and India," American Journal of Finance and Accounting, Inderscience Enterprises Ltd, vol. 4(1), pages 28-49.
  19. Kumar, Dilip, 2015. "Sudden changes in extreme value volatility estimator: Modeling and forecasting with economic significance analysis," Economic Modelling, Elsevier, vol. 49(C), pages 354-371.
  20. Kumar, Dilip & Maheswaran, S., 2014. "A reflection principle for a random walk with implications for volatility estimation using extreme values of asset prices," Economic Modelling, Elsevier, vol. 38(C), pages 33-44.
  21. Kumar, Dilip, 2014. "Long range dependence in the high frequency USD/INR exchange rate," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 396(C), pages 134-148.
  22. Dilip Kumar & Srinivasan Maheswaran, 2014. "Are major global stock markets efficient? An application of the martingale difference hypothesis with wild bootstrap," American Journal of Finance and Accounting, Inderscience Enterprises Ltd, vol. 3(2/3/4), pages 217-233.
  23. Kumar, Dilip & Maheswaran, S., 2014. "A new approach to model and forecast volatility based on extreme value of asset prices," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 128-140.
  24. Dilip Kumar, 2014. "Correlations, Return and Volatility Spillovers in Indian Exchange Rates," Global Business Review, International Management Institute, vol. 15(1), pages 77-91, March.
  25. Kumar, Dilip & Maheswaran, S., 2014. "Modeling and forecasting the additive bias corrected extreme value volatility estimator," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 166-176.
  26. Kumar, Dilip & Maheswaran, S., 2013. "Detecting sudden changes in volatility estimated from high, low and closing prices," Economic Modelling, Elsevier, vol. 31(C), pages 484-491.
  27. Dilip Kumar, 2013. "Are PIIGS stock markets efficient?," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 30(3), pages 209-225, July.
  28. Dilip Kumar & S. Maheswaran, 2013. "Asymmetric long memory volatility in the PIIGS economies," Review of Accounting and Finance, Emerald Group Publishing Limited, vol. 12(1), pages 23-43, February.
  29. Dilip Kumar & S. Maheswaran, 2013. "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, National Council of Applied Economic Research, vol. 7(1), pages 61-91, February.
  30. Maheswaran, S. & Kumar, Dilip, 2013. "An automatic bias correction procedure for volatility estimation using extreme values of asset prices," Economic Modelling, Elsevier, vol. 33(C), pages 701-712.
  31. Dilip Kumar & S. Maheswaran, 2011. "Volatility Persistence In The Presence Of Structural Breaks In The Indian Banking Sector," Paradigm, , vol. 15(1-2), pages 8-17, January.

Chapters

  1. Shegorika Rajwani & Dilip Kumar, 2015. "A Dynamic Conditional Correlation Analysis-Based Approach to Test Financial Contagion in Developing Markets," Springer Proceedings in Business and Economics, in: S. Chatterjee & N.P. Singh & D.P. Goyal & Narain Gupta (ed.), Managing in Recovering Markets, edition 127, chapter 0, pages 1-13, Springer.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 1 paper announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (1) 2016-03-17
  2. NEP-FOR: Forecasting (1) 2016-03-17
  3. NEP-ORE: Operations Research (1) 2016-03-17
  4. NEP-RMG: Risk Management (1) 2016-03-17

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Dilip Kumar should log into the RePEc Author Service.

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.