Volatility-volume causality across single stock spot-futures markets in India
Year of publication: |
Jul-Aug 2016
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Authors: | Jain, Anshul ; Biswal, Pratap Chandra ; Ghosh, Sajal |
Published in: |
Applied economics. - Abingdon : Routledge, ISSN 0003-6846, ZDB-ID 280176-0. - Vol. 48.2016, 34/36, p. 3228-3243
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Subject: | Volatility | volume | futures market | spot market | asymmetric vector autoregression | causality | NIFTY | Indien | India | Volatilität | Kausalanalyse | Causality analysis | VAR-Modell | VAR model | Spotmarkt | Spot market | Derivat | Derivative | Börsenkurs | Share price | Handelsvolumen der Börse | Trading volume |
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