Do expirations of Bank nifty contracts on F&O segment of NSE affect spot market volatility?
Year of publication: |
April-June 2016
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Authors: | Lakshmi, VDMV ; Joshi, Medha Shriram |
Published in: |
GITAM journal of management : a quarterly publication of GITAM Institute of Management. - Visakhapatnam, ISSN 0972-740X, ZDB-ID 2813773-5. - Vol. 14.2016, 2, p. 1-15
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Subject: | Spot Volatility | GARCH | Volatility Clustering | ARCH effects | Long Return Series | Volatilität | Volatility | ARCH-Modell | ARCH model | Spotmarkt | Spot market | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis | Börsenkurs | Share price |
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