Chandra Gulati

University of Wollongong

Northfields Avenue

Wollongong, New South Wales 2522

Australia

SCHOLARLY PAPERS

3

DOWNLOADS

290

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

Hilbert-Huang Based Volatility Forecasts for High Frequency Data and Simulated Option Markets

27th Australasian Finance and Banking Conference 2014 Paper
Number of pages: 20 Posted: 19 Aug 2014
Carson Drummond, Pamela Davy and Chandra Gulati
University of Wollongong, School of Mathematics and Applied Statistics, University of Wollongong and University of Wollongong
Downloads 207 (154,777)

Abstract:

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Volatility, Hilbert-Huang transform, empirical mode decomposition, realized volatility, virtual option market, straddle options, microstructure noise, spot volatility

2.

The Impact of Trading-Restricted, Business Days and Trading, Non-Business Days on Australian Small-Cap, Large-Cap and Market Returns

Number of pages: 18 Posted: 29 Oct 2008
affiliation not provided to SSRN, Griffith University, The University of Sydney and University of Wollongong
Downloads 83 (313,529)

Abstract:

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security trading, settlement and clearing, market efficiency, holiday effect

3.

Scaling by the Square-Root-of-Time Rule: An Empirical Investigation Using Five Market Indexes

Journal of Risk, Forthcoming
Number of pages: 20 Posted: 23 Nov 2016
James Cameron, Chandra Gulati and Yan-Xia Lin
University of Wollongong, University of Wollongong and University of Wollongong
Downloads 0 (699,889)
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Abstract:

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scaling, volatility, square-root-of-time rule, GARCH model, EGARCH model