Mukhopadhyay, Debabrata; Sarkar, Nityananda - In: International Econometric Review (IER) 13 (2021) 2, pp. 41-58
ratio, Treynor ratio, and Jensen's Alpha, on all the five indices, we have also applied GARCH-in-mean model to find if there …, the two green indices and BSESENSEX show significant presence of risk premium in the framework of GARCH-in-mean model …