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Detecting sudden changes in volatility estimated from high, low and closing prices. (2013). Kumar, Dilip ; Maheswaran, S..
In: Economic Modelling.
RePEc:eee:ecmode:v:31:y:2013:i:c:p:484-491.

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Cited: 16

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  1. Liner and nonliner sectoral response of stock markets to oil price movements: The case of Saudi Arabia. (2020). Hamdan, Reem Khamis.
    In: International Journal of Finance & Economics.
    RePEc:wly:ijfiec:v:25:y:2020:i:3:p:336-348.

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  2. Time Varying Efficiency in Indian Sectors: An Event Study on Demonetization. (2020). Paul, Samit.
    In: Journal of Quantitative Economics.
    RePEc:spr:jqecon:v:18:y:2020:i:1:d:10.1007_s40953-019-00171-1.

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  3. Interaction between oil and US dollar exchange rate: nonlinear causality, time-varying influence and structural breaks in volatility. (2018). Xia, Xiao-Hua ; Huang, Chuangxia ; Xiao, Jihong ; Wen, Fenghua.
    In: Applied Economics.
    RePEc:taf:applec:v:50:y:2018:i:3:p:319-334.

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  4. Time-Varying Volatility Feedback of Energy Prices: Evidence from Crude Oil, Petroleum Products, and Natural Gas Using a TVP-SVM Model. (2018). Yang, Xiao-Guang ; Ma, Chao-Qun ; Jiang, Yong ; Ren, Yi-Shuai.
    In: Sustainability.
    RePEc:gam:jsusta:v:10:y:2018:i:12:p:4705-:d:189489.

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  5. Correlation of Oil Prices and Gross Domestic Product in Oil Producing Countries. (2018). Tang, Bao-Jun ; Mikhaylov, Alexey Yurievich ; Nyangarika, Anthony Msafiri.
    In: International Journal of Energy Economics and Policy.
    RePEc:eco:journ2:2018-05-6.

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  6. Volatility Spillover Effect between Stock and Exchange Rate in Oil Exporting Countries. (2018). Mikhaylov, Alexey Yurievich.
    In: International Journal of Energy Economics and Policy.
    RePEc:eco:journ2:2018-03-39.

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  7. The impact of foreign equity flows on market volatility during politically tranquil and turbulent times: The Egyptian experience. (2017). Ahmed, Walid.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:40:y:2017:i:c:p:61-77.

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  8. Sudden changes in crude oil price volatility: an application of extreme value volatility estimator. (2016). Kumar, Dilip.
    In: American Journal of Finance and Accounting.
    RePEc:ids:amerfa:v:4:y:2016:i:3/4:p:215-234.

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  9. Abrupt Changes in Volatility: Evidence from TEPIX Index in Tehran Stock Exchange. (2015). Ghazani, Majid Mirzaee ; Araghi, Mansour Khalili.
    In: Iranian Economic Review.
    RePEc:eut:journl:v:19:y:2015:i:3:p:377.

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  10. Structural breaks, dynamic correlations, asymmetric volatility transmission, and hedging strategies for petroleum prices and USD exchange rate. (2015). Yoon, Seong-Min ; Mensi, walid ; Hammoudeh, Shawkat.
    In: Energy Economics.
    RePEc:eee:eneeco:v:48:y:2015:i:c:p:46-60.

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  11. Sudden changes in extreme value volatility estimator: Modeling and forecasting with economic significance analysis. (2015). Kumar, Dilip.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:49:y:2015:i:c:p:354-371.

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  12. Structural Breaks, Dynamic Correlations, Volatility Transmission, and Hedging Strategies for International Petroleum Prices and U.S. Dollar Exchange Rate. (2014). Yoon, Seong-Min ; Mensi, walid ; Hammoude, Shawkat .
    In: Working Papers.
    RePEc:erg:wpaper:884.

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  13. A new approach to model and forecast volatility based on extreme value of asset prices. (2014). Kumar, Dilip ; Maheswaran, S..
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:33:y:2014:i:c:p:128-140.

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  14. Structural breaks and long memory in modeling and forecasting volatility of foreign exchange markets of oil exporters: The importance of scheduled and unscheduled news announcements. (2014). Yoon, Seong-Min ; Mensi, walid ; Hammoudeh, Shawkat.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:30:y:2014:i:c:p:101-119.

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  15. Modelling and forecasting value at risk and expected shortfall for GCC stock markets: Do long memory, structural breaks, asymmetry, and fat-tails matter?. (2014). Aloui, Chaker ; ben Hamida, Hela .
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:29:y:2014:i:c:p:349-380.

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  16. Dynamic relationship between precious metals. (2013). Sensoy, Ahmet ; Åžensoy, Ahmet.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:38:y:2013:i:4:p:504-511.

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References

References cited by this document

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  10. Maheswaran, S. ; Balasubramanian, G. ; Yoonus, C.A. Post-colonial finance. 2011 Journal of Emerging Market Finance. 10 175-196

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  15. Rogers, L.C.G. ; Satchell, S.E. ; Yoon, Y. Estimating the volatility of stock prices: a comparison of methods that use high and low prices. 1994 Applied Financial Economics. 4 241-247
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  16. Schwert, G.W. Why does stock market volatility change over time?. 1989 Journal of Finance. 44 1115-1153

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  2. Structural breaks, dynamic correlations, asymmetric volatility transmission, and hedging strategies for petroleum prices and USD exchange rate. (2015). Yoon, Seong-Min ; Mensi, walid ; Hammoudeh, Shawkat.
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  3. Testing for Causality in Mean and Variance between the Stock Market and the Foreign Exchange Market: An Application to the Major Central and Eastern European Countries. (2013). Çevik, Emrah ; Cevik, Emrah Ismail ; KOSEOGLU, Sinem Derindere .
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  4. Volatility transmission between gold and oil futures under structural breaks. (2013). Ewing, Bradley ; Malik, Farooq .
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