A new unbiased additive robust volatility estimation using extreme values of asset prices

2020 ◽  
Vol 34 (3) ◽  
pp. 313-347
Author(s):  
Muneer Shaik ◽  
S. Maheswaran
Keyword(s):  
Asset Prices ◽  
Extreme Values ◽  
Volatility Estimation

An automatic bias correction procedure for volatility estimation using extreme values of asset prices

2013 ◽  
Vol 33 ◽  
pp. 701-712 ◽  
Author(s):  
S. Maheswaran ◽  
Dilip Kumar
Keyword(s):  
Bias Correction ◽  
Asset Prices ◽  
Extreme Values ◽  
Correction Procedure ◽  
Volatility Estimation

Modelling the Paradox in Stock Markets by Variance Ratio Volatility Estimator that Utilises Extreme Values of Asset Prices

2016 ◽  
Vol 15 (3) ◽  
pp. 333-361 ◽  
Author(s):  
Muneer Shaik ◽  
S. Maheswaran
Keyword(s):  
Random Walk ◽  
Stock Markets ◽  
Asset Prices ◽  
Extreme Values ◽  
Jel Classification ◽  
Stock Index ◽  
Variance Ratio ◽  
Stock Indices ◽  
Markov Random ◽  
Markov Random Walk

We document the presence of the random walk effect in stock indices and, at the same time, find that the constituent stocks of the indices are excessively volatile. This gives rise to a paradox in stock markets between the behaviour of the stock index and its constituent stocks. We address this phenomenon in this article and reconcile the seemingly contradictory inferences by extending the Binomial Markov Random Walk (BMRW) model. JEL Classification: C15, C58, G15

Money, Credit and Asset Prices

1994 ◽  
Author(s):  
Gordon Pepper
Keyword(s):  
Asset Prices

Two essays on investor overconfidence and asset prices

2012 ◽  
Author(s):  
Biljana Nikolic
Keyword(s):  
Asset Prices

Equation of state of a nonideal plasma for extreme values of the parameters

1985 ◽  
Vol 147 (9) ◽  
pp. 192
Author(s):  
Vladimir E. Fortov
Keyword(s):  
Equation Of State ◽  
Extreme Values ◽  
Nonideal Plasma

A Behavioral Explanation to Spatial Dependencies in Commercial Real Estate Asset Prices

2019 ◽  
Author(s):  
Parmanand Sinha ◽  
Prashant Das ◽  
Julia Freybote ◽  
Roland Fuess
Keyword(s):  
Real Estate ◽  
Asset Prices ◽  
Commercial Real Estate ◽  
Spatial Dependencies

Biased Beliefs, Asset Prices, and Investment: A Structural Approach

CFA Digest ◽  
2014 ◽  
Vol 44 (5) ◽  
Author(s):  
Mathias Moersch
Keyword(s):  
Asset Prices ◽  
Structural Approach
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