6
H index
5
i10 index
138
Citations
Dilip Kumar : Citation Profile
Indian Institute of Management Kashipur | RESEARCH PRODUCTION: 31 Articles 1 Papers 1 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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7 years (2013 - 2020). 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:
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Main data
Where Dilip Kumar has published?
Recent works citing Dilip Kumar (2025 and 2024)
| Year | Title of citing document |
|---|---|
| 2024 | Heterogeneity effect of positive and negative jumps on the realized volatility: Evidence from China. (2024). Xu, Yang ; Zhang, Qichao ; Huang, Jiefei ; Song, Yuping. In: Economic Modelling. RePEc:eee:ecmode:v:136:y:2024:i:c:s0264999324001019. Full description at Econpapers || Download paper |
| 2024 | Good vs. bad volatility in major cryptocurrencies: The dichotomy and drivers of connectedness. (2024). Sila, Jan ; Kočenda, Evžen ; Kocenda, Evzen ; Kukacka, Jiri ; Kristoufek, Ladislav. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:96:y:2024:i:c:s1042443124001288. Full description at Econpapers || Download paper |
| 2024 | Stylized facts of metaverse non-fungible tokens. (2024). Chandrashekhar, Durga ; Chu, Jeffrey ; Osterrieder, Joerg ; Lord, Nicholas ; Zhang, Yuanyuan ; Almazloum, Ward. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:653:y:2024:i:c:s0378437124006125. Full description at Econpapers || Download paper |
| 2025 | Multi-Scale Event Detection in Financial Time Series. (2025). Ogasawara, Eduardo ; Bezerra, Eduardo ; Coutinho, Rafaelli ; Assis, Laura ; Mello, Carlos E ; Gea, Cristiane ; Salles, Diego Silva. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:1:d:10.1007_s10614-024-10582-9. Full description at Econpapers || Download paper |
| 2024 | On the Risk-based Contagion of G7 Banking System and the COVID-19 Pandemic. (2024). da Silva, Cristiano ; Costa, Antonio ; Matos, Paulo. In: Global Business Review. RePEc:sae:globus:v:25:y:2024:i:6:p:1634-1654. Full description at Econpapers || Download paper |
| 2024 | Salience theory value spillovers between China’s systemically important banks: evidence from quantile connectedness. (2024). Jin, Xiaoye. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-023-00582-3. Full description at Econpapers || Download paper |
Works by Dilip Kumar:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2013 | Detecting sudden changes in volatility estimated from high, low and closing prices In: Economic Modelling. [Full Text][Citation analysis] | article | 13 |
| 2013 | An automatic bias correction procedure for volatility estimation using extreme values of asset prices In: Economic Modelling. [Full Text][Citation analysis] | article | 3 |
| 2014 | A reflection principle for a random walk with implications for volatility estimation using extreme values of asset prices In: Economic Modelling. [Full Text][Citation analysis] | article | 3 |
| 2015 | Sudden changes in extreme value volatility estimator: Modeling and forecasting with economic significance analysis In: Economic Modelling. [Full Text][Citation analysis] | article | 12 |
| 2014 | Modeling and forecasting the additive bias corrected extreme value volatility estimator In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 3 |
| 2014 | Long range dependence in the high frequency USD/INR exchange rate In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 3 |
| 2019 | Long range dependence in the Bitcoin market: A study based on high-frequency data In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 11 |
| 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 In: The Quarterly Review of Economics and Finance. [Full Text][Citation analysis] | article | 0 |
| 2014 | A new approach to model and forecast volatility based on extreme value of asset prices In: International Review of Economics & Finance. [Full Text][Citation analysis] | article | 1 |
| 2017 | Realized volatility transmission from crude oil to equity sectors: A study with economic significance analysis In: International Review of Economics & Finance. [Full Text][Citation analysis] | article | 17 |
| 2020 | Modeling unbiased extreme value volatility estimator in presence of heterogeneity and jumps: A study with economic significance analysis In: International Review of Economics & Finance. [Full Text][Citation analysis] | article | 2 |
| 2019 | Informational inefficiency of Bitcoin: A study based on high-frequency data In: Research in International Business and Finance. [Full Text][Citation analysis] | article | 36 |
| 2013 | Asymmetric long memory volatility in the PIIGS economies In: Review of Accounting and Finance. [Full Text][Citation analysis] | article | 4 |
| 2017 | Value-at-risk and expected shortfall using the unbiased extreme value volatility estimator In: Studies in Economics and Finance. [Full Text][Citation analysis] | article | 0 |
| 2013 | Are PIIGS stock markets efficient? In: Studies in Economics and Finance. [Full Text][Citation analysis] | article | 0 |
| 2014 | Are major global stock markets efficient? An application of the martingale difference hypothesis with wild bootstrap In: American Journal of Finance and Accounting. [Full Text][Citation analysis] | article | 0 |
| 2015 | Return and volatility spillover among the PIIGS economies and India In: American Journal of Finance and Accounting. [Full Text][Citation analysis] | article | 1 |
| 2016 | Sudden changes in crude oil price volatility: an application of extreme value volatility estimator In: American Journal of Finance and Accounting. [Full Text][Citation analysis] | article | 0 |
| 2017 | Integration 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. [Full Text][Citation analysis] | article | 0 |
| 2015 | Risk Spillover Between the GIPSI Economies and Egypt, Saudi Arabia, and Turkey In: Emerging Markets Finance and Trade. [Full Text][Citation analysis] | article | 2 |
| 2019 | Structural Breaks in Volatility Transmission from Developed Markets to Major Asian Emerging Markets In: Journal of Emerging Market Finance. [Full Text][Citation analysis] | article | 2 |
| 2014 | Correlations, Return and Volatility Spillovers in Indian Exchange Rates In: Global Business Review. [Full Text][Citation analysis] | article | 6 |
| 2016 | Asymmetric Dynamic Conditional Correlation Approach to Financial Contagion: A Study of Asian Markets In: Global Business Review. [Full Text][Citation analysis] | article | 8 |
| 2017 | A Study of Risk Spillover in the Crude Oil and the Natural Gas Markets In: Global Business Review. [Full Text][Citation analysis] | article | 0 |
| 2019 | Measuring Dependence Between the USA and the Asian Economies: A Time-varying Copula Approach In: Global Business Review. [Full Text][Citation analysis] | article | 4 |
| 2013 | Return, 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. [Full Text][Citation analysis] | article | 1 |
| In: . [Full Text][Citation analysis] | article | 0 | |
| 2016 | Estimating and forecasting value-at-risk using the unbiased extreme value volatility estimator In: Proceedings of Economics and Finance Conferences. [Full Text][Citation analysis] | paper | 0 |
| 2016 | Do foreign institutional investors herd in emerging markets? A study of individual stocks In: DECISION: Official Journal of the Indian Institute of Management Calcutta. [Full Text][Citation analysis] | article | 1 |
| 2018 | Modeling and Forecasting Unbiased Extreme Value Volatility Estimator in Presence of Leverage Effect In: Journal of Quantitative Economics. [Full Text][Citation analysis] | article | 0 |
| 2020 | Value-at-Risk in the Presence of Structural Breaks Using Unbiased Extreme Value Volatility Estimator In: Journal of Quantitative Economics. [Full Text][Citation analysis] | article | 3 |
| 2015 | A Dynamic Conditional Correlation Analysis-Based Approach to Test Financial Contagion in Developing Markets In: Springer Proceedings in Business and Economics. [Citation analysis] | chapter | 0 |
| 2015 | Long memory in Indian exchange rates: an application of power-law scaling analysis In: Macroeconomics and Finance in Emerging Market Economies. [Full Text][Citation analysis] | article | 2 |
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