Ray, Partha; Madhavan, Vinodh - International Institute of Social and Economic Sciences - 2014
/BSE-listed national stock index (Nifty/Sensex) using Level VAR models and DCC-GARCH models. Our sample comprises of Luxembourg GDRs issued … considered for this study – one trading in Mumbai and the other trading in Luxembourg (London). Further, DCC-GARCH model outcomes …