Kumar, Dilip; Maheswaran, S. - In: Margin: The Journal of Applied Economic Research 7 (2013) 1, pp. 61-91
This article examines the return, volatility, upside risk and downside risk spillover effects from crude oil prices and the US$/INR exchange rate to the major Indian industrial sectors using Hong’s (2001) approach. We make use of the generalised autoregressive conditional...