Dilip Kumar : Citation Profile


Are you Dilip Kumar?

Indian Institute of Management Kashipur

6

H index

5

i10 index

106

Citations

RESEARCH PRODUCTION:

31

Articles

1

Papers

1

Chapters

RESEARCH ACTIVITY:

   7 years (2013 - 2020). See details.
   Cites by year: 15
   Journals where Dilip Kumar has often published
   Relations with other researchers
   Recent citing documents: 45.    Total self citations: 15 (12.4 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pku604
   Updated: 2022-07-02    RAS profile: 2021-12-08    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Dilip Kumar.

Is cited by:

Ahmed, Walid (4)

Yoon, Seong-Min (4)

Mensi, walid (3)

Narayan, Paresh (3)

Chan, Jennifer (3)

NG, KOK HAUR (3)

Hammoudeh, Shawkat (2)

Davidson, Russell (2)

Sensoy, Ahmet (2)

Mikhaylov, Alexey (2)

Vo, Xuan Vinh (2)

Cites to:

Bollerslev, Tim (53)

Diebold, Francis (26)

Andersen, Torben (25)

Engle, Robert (20)

Granger, Clive (18)

Narayan, Paresh (15)

Sharma, Susan (11)

Corsi, Fulvio (11)

Chou, Ray (10)

Hansen, Peter (10)

Stulz, René (9)

Main data


Where Dilip Kumar has published?


Journals with more than one article published# docs
Economic Modelling4
Global Business Review4
International Review of Economics & Finance3
American Journal of Finance and Accounting3
Studies in Economics and Finance2
Physica A: Statistical Mechanics and its Applications2
Journal of Quantitative Economics2

Recent works citing Dilip Kumar (2021 and 2020)


YearTitle of citing document
2021A Peek into the Unobservable: Hidden States and Bayesian Inference for the Bitcoin and Ether Price Series. (2019). Piliouras, Georgios ; Leonardos, Stefanos ; Koki, Constandina. In: Papers. RePEc:arx:papers:1909.10957.

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2021Power-Law Return-Volatility Cross Correlations of Bitcoin. (2021). Takaishi, T. In: Papers. RePEc:arx:papers:2102.08187.

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2021Modelling risk for commodities in Brazil: An application to live cattle spot and futures prices. (2021). J. A. C. Santos, ; Eg, A D ; Bernardino, W ; Alcoforado, R G. In: Papers. RePEc:arx:papers:2107.07556.

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2020A complete empirical ensemble mode decomposition and support vector machine-based approach to predict Bitcoin prices. (2020). Annamalai, Balamurugan ; Chandrasekaran, Shabana ; Aggarwal, Divya. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:27:y:2020:i:c:s2214635019302266.

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2021Window effect with Markov-switching GARCH model in cryptocurrency market. (2021). Wu, Chuanzhen. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:146:y:2021:i:c:s0960077921002563.

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2021Asymmetric volatility connectedness among U.S. stock sectors. (2021). Vo, Xuan Vinh ; Kang, Sang Hoon ; Suleman, Tahir ; Nekhili, Ramzi ; Mensi, Walid. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940820302126.

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2021What drives dynamic connectedness of the U.S equity sectors during different business cycles?. (2021). Ngene, Geoffrey M. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001133.

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2021Financial stress, economic policy uncertainty, and oil price uncertainty. (2021). Apostolakis, George ; Wohar, Mark ; Gkillas, Konstantinos ; Floros, Christos. In: Energy Economics. RePEc:eee:eneeco:v:104:y:2021:i:c:s0140988321005405.

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2021The efficiency of Bitcoin: A strongly typed genetic programming approach to smart electronic Bitcoin markets. (2021). Urquhart, Andrew ; Manahov, Viktor. In: International Review of Financial Analysis. RePEc:eee:finana:v:73:y:2021:i:c:s1057521920302726.

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2021Dynamic efficiency and arbitrage potential in Bitcoin: A long-memory approach. (2021). Ye, Jinqiang ; Urquhart, Andrew ; Li, Zeming ; Duan, Kun. In: International Review of Financial Analysis. RePEc:eee:finana:v:75:y:2021:i:c:s1057521921000685.

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2020Rough volatility of Bitcoin. (2020). Takaishi, Tetsuya. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s154461231930337x.

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2020Efficiency in the markets of crypto-currencies. (2020). Leirvik, Thomas ; le Tran, VU. In: Finance Research Letters. RePEc:eee:finlet:v:35:y:2020:i:c:s1544612319310438.

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2021Asymmetric efficiency of cryptocurrencies during COVID19. (2021). Vo, Xuan Vinh ; Shahzad, Syed Jawad Hussain ; Hussain, Syed Jawad ; Peng, Zhe ; Bouri, Elie ; Naeem, Muhammad Abubakr. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:565:y:2021:i:c:s0378437120308608.

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2021On the hysteresis of financial crises in the US: Evidence from S&P 500. (2021). Bentes, Sonia R. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:565:y:2021:i:c:s0378437120308815.

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2020Dynamic impacts of crude oil price on Chinese investor sentiment: Nonlinear causality and time-varying effect. (2020). He, Zhifang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:66:y:2020:i:c:p:131-153.

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2020Mapping the oil price-stock market nexus researches: A scientometric review. (2020). Lin, Boqiang ; Su, Tong. In: International Review of Economics & Finance. RePEc:eee:reveco:v:67:y:2020:i:c:p:133-147.

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2020Intraday price jumps, market liquidity, and the magnet effect of circuit breakers. (2020). Zhou, Jie ; Jian, Zhi Hong ; Wu, Shuai ; Zhu, Zhican. In: International Review of Economics & Finance. RePEc:eee:reveco:v:70:y:2020:i:c:p:168-186.

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2021Pandemic-related financial market volatility spillovers: Evidence from the Chinese COVID-19 epicentre. (2021). Oxley, Les ; Corbet, Shaen ; Xu, Danyang ; Hu, Yang ; Hou, Yang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:71:y:2021:i:c:p:55-81.

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2021Do higher-order realized moments matter for cryptocurrency returns?. (2021). Ahmed, Walid ; al Mafrachi, Mustafa. In: International Review of Economics & Finance. RePEc:eee:reveco:v:72:y:2021:i:c:p:483-499.

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2020How does economic policy uncertainty affect the bitcoin market?. (2020). Li, Xiao ; Wang, Pengfei ; Zhang, Wei ; Shen, Dehua. In: Research in International Business and Finance. RePEc:eee:riibaf:v:53:y:2020:i:c:s0275531919308037.

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2020A systematic review of the bubble dynamics of cryptocurrency prices. (2020). Corbet, Shaen ; Kyriazis, Nikolaos ; Papadamou, Stephanos. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531919310037.

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2020Are stablecoins truly diversifiers, hedges, or safe havens against traditional cryptocurrencies as their name suggests?. (2020). Ma, Xin-Yu ; Wang, Gang-Jin ; Wu, Hao-Yu. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531919311146.

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2020Studying the properties of the Bitcoin as a diversifying and hedging asset through a copula analysis: Constant and time-varying. (2020). Benito, Sonia ; Garcia-Jorcano, Laura. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531920300192.

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2022COVID-19 pandemic and economic policy uncertainty: The first test on the hedging and safe haven properties of cryptocurrencies. (2022). Mokni, Khaled ; Ajmi, Ahdi Noomen ; Youssef, Manel. In: Research in International Business and Finance. RePEc:eee:riibaf:v:60:y:2022:i:c:s027553192100194x.

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2021Is It Possible to Forecast the Price of Bitcoin?. (2021). Goutte, Stéphane ; Chevallier, Julien ; Guegan, Dominique. In: Forecasting. RePEc:gam:jforec:v:3:y:2021:i:2:p:24-420:d:564101.

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2021How Many Stocks Are Sufficient for Equity Portfolio Diversification? A Review of the Literature. (2021). Arnaut-Berilo, Almira ; Omanovic, Adna ; Zaimovic, Azra. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:11:p:551-:d:679488.

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2021Fantastic Beasts: Blockchain Based Banking. (2021). Daluwathumullagamage, Dulani Jayasuriya ; Sims, Alexandra. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:14:y:2021:i:4:p:170-:d:533154.

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2021Dynamic Connectedness and Portfolio Diversification during the Coronavirus Disease 2019 Pandemic: Evidence from the Cryptocurrency Market. (2021). Yoon, Seong-Min ; Tiwari, Aviral Kumar ; Nasreen, Samia. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:14:p:7672-:d:591227.

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2020Bitcoins innovative aspects, return volatility and uncertainty shocks. (2020). Frascaroli, Bruno Ferreira. In: International Journal of Financial Markets and Derivatives. RePEc:ids:ijfmkd:v:7:y:2020:i:3:p:224-245.

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2020Market Efficiency, Liquidity, and Multifractality of Bitcoin: A Dynamic Study. (2020). Adachi, Takanori ; Takaishi, Tetsuya. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:27:y:2020:i:1:d:10.1007_s10690-019-09286-0.

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2020A new unbiased additive robust volatility estimation using extreme values of asset prices. (2020). Maheswaran, S ; Shaik, Muneer. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:34:y:2020:i:3:d:10.1007_s11408-020-00355-3.

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2021Global Economic Policy Uncertainty (GEPU) and Non-Performing Loans (NPL) in Irans Banking System: Dynamic Correlation using the DCC-GARCH Approach. (2021). Abdollahi, Mohammad Sadegh ; Soureh, Reza H ; Takaloo, Amir ; Botshekan, Mohammad Hashem. In: Journal of Money and Economy. RePEc:mbr:jmonec:v:16:y:2021:i:2:p:187-212.

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2021Do Investors Overreact for Property and Financial Service Sectors?. (2021). Sing, Tien Foo ; Dong, Zhi. In: Journal of Emerging Market Finance. RePEc:sae:emffin:v:20:y:2021:i:1:p:79-123.

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2020.

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2021Excess Volatility in Bitcoin: Extreme Value Volatility Estimation. (2021). Balasubramanian, G ; Kayal, Parthajit. In: IIM Kozhikode Society & Management Review. RePEc:sae:iimkoz:v:10:y:2021:i:2:p:222-231.

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2021The Accuracy of the Tick Rule in the Bitcoin Market. (2021). Zhai, Pengxiang ; Ma, Donglian. In: SAGE Open. RePEc:sae:sagope:v:11:y:2021:i:2:p:21582440211014504.

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2021Dynamic cross-correlation and dynamic contagion of stock markets: a sliding windows approach with the DCCA correlation coefficient. (2021). el Boukfaoui, My Youssef ; Ferreira, Paulo ; Tilfani, Oussama. In: Empirical Economics. RePEc:spr:empeco:v:60:y:2021:i:3:d:10.1007_s00181-019-01806-1.

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2021Modeling Bitcoin price volatility: long memory vs Markov switching. (2021). Chkili, Walid . In: Eurasian Economic Review. RePEc:spr:eurase:v:11:y:2021:i:3:d:10.1007_s40822-021-00180-7.

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2021Efficiency in cryptocurrency markets: new evidence. (2021). Muela, Sonia Benito ; Lopez-Martin, Carmen ; Arguedas, Raquel. In: Eurasian Economic Review. RePEc:spr:eurase:v:11:y:2021:i:3:d:10.1007_s40822-021-00182-5.

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2022Intraday patterns of price clustering in Bitcoin. (2022). Tanizaki, Hisashi ; Ma, Donglian. In: Financial Innovation. RePEc:spr:fininn:v:8:y:2022:i:1:d:10.1186_s40854-021-00307-4.

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2020Time 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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2020Liner 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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2021Are industry?level indicators more helpful to forecast industrial stock volatility? Evidence from Chinese manufacturing purchasing managers index. (2021). Bai, Lan ; Wei, YU ; Yang, Kun. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:1:p:17-39.

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2021Intermediary capital risk and commodity futures volatility. (2021). Han, Liyan ; Nie, Jing ; Yin, Libo. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:5:p:577-640.

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2020The decade-long cryptocurrencies and the blockchain rollercoaster: Mapping the intellectual structure and charting future directions. (2020). Klarin, Anton. In: Research in International Business and Finance. RePEc:eee:riibaf:v:51:y:2020:i:c:s0275531919300558.

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Works by Dilip Kumar:


YearTitleTypeCited
2013Detecting sudden changes in volatility estimated from high, low and closing prices In: Economic Modelling.
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article13
2013An automatic bias correction procedure for volatility estimation using extreme values of asset prices In: Economic Modelling.
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article3
2014A reflection principle for a random walk with implications for volatility estimation using extreme values of asset prices In: Economic Modelling.
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article3
2015Sudden changes in extreme value volatility estimator: Modeling and forecasting with economic significance analysis In: Economic Modelling.
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article11
2014Modeling and forecasting the additive bias corrected extreme value volatility estimator In: International Review of Financial Analysis.
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article2
2014Long range dependence in the high frequency USD/INR exchange rate In: Physica A: Statistical Mechanics and its Applications.
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article3
2019Long range dependence in the Bitcoin market: A study based on high-frequency data In: Physica A: Statistical Mechanics and its Applications.
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article10
2020Heterogeneous market hypothesis approach for modeling unbiased extreme value volatility estimator in presence of leverage effect: An individual stock level study with economic significance analysis In: The Quarterly Review of Economics and Finance.
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article0
2014A new approach to model and forecast volatility based on extreme value of asset prices In: International Review of Economics & Finance.
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article1
2017Realized volatility transmission from crude oil to equity sectors: A study with economic significance analysis In: International Review of Economics & Finance.
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article15
2020Modeling unbiased extreme value volatility estimator in presence of heterogeneity and jumps: A study with economic significance analysis In: International Review of Economics & Finance.
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article1
2019Informational inefficiency of Bitcoin: A study based on high-frequency data In: Research in International Business and Finance.
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article21
2013Asymmetric long memory volatility in the PIIGS economies In: Review of Accounting and Finance.
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article4
2017Value-at-risk and expected shortfall using the unbiased extreme value volatility estimator In: Studies in Economics and Finance.
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article0
2013Are PIIGS stock markets efficient? In: Studies in Economics and Finance.
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article0
2014Are major global stock markets efficient? An application of the martingale difference hypothesis with wild bootstrap In: American Journal of Finance and Accounting.
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article0
2015Return and volatility spillover among the PIIGS economies and India In: American Journal of Finance and Accounting.
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article1
2016Sudden changes in crude oil price volatility: an application of extreme value volatility estimator In: American Journal of Finance and Accounting.
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article0
2017Integration of the Indian stock market with the world market: a study based on the time-varying Kalman filter approach In: International Journal of Accounting and Finance.
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article0
2015Risk Spillover Between the GIPSI Economies and Egypt, Saudi Arabia, and Turkey In: Emerging Markets Finance and Trade.
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article2
2019Structural Breaks in Volatility Transmission from Developed Markets to Major Asian Emerging Markets In: Journal of Emerging Market Finance.
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article2
2014Correlations, Return and Volatility Spillovers in Indian Exchange Rates In: Global Business Review.
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article6
2016Asymmetric Dynamic Conditional Correlation Approach to Financial Contagion: A Study of Asian Markets In: Global Business Review.
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article4
2017A Study of Risk Spillover in the Crude Oil and the Natural Gas Markets In: Global Business Review.
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article0
2019Measuring Dependence Between the USA and the Asian Economies: A Time-varying Copula Approach In: Global Business Review.
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article1
2013Return, Volatility and Risk Spillover from Oil Prices and the US Dollar Exchange Rate to the Indian Industrial Sectors In: Margin: The Journal of Applied Economic Research.
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article1
In: .
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article0
2016Estimating and forecasting value-at-risk using the unbiased extreme value volatility estimator In: Proceedings of Economics and Finance Conferences.
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paper0
2016Do foreign institutional investors herd in emerging markets? A study of individual stocks In: DECISION: Official Journal of the Indian Institute of Management Calcutta.
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article0
2018Modeling and Forecasting Unbiased Extreme Value Volatility Estimator in Presence of Leverage Effect In: Journal of Quantitative Economics.
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article0
2020Value-at-Risk in the Presence of Structural Breaks Using Unbiased Extreme Value Volatility Estimator In: Journal of Quantitative Economics.
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article0
2015A Dynamic Conditional Correlation Analysis-Based Approach to Test Financial Contagion in Developing Markets In: Springer Proceedings in Business and Economics.
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chapter0
2015Long memory in Indian exchange rates: an application of power-law scaling analysis In: Macroeconomics and Finance in Emerging Market Economies.
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article2

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