Showing 1 - 10 of 25
An attempt is made in this paper to examine whether stock returns in two premier two exchanges in India namely, Bombay Stock Exchange (BSE), and National Stock Exchange (NSE) follow a random walk. Towards this end, data on major indices during the period 1997 to 2009 are analyzed by using...
Persistent link: https://www.econbiz.de/10011113811
This paper investigates the relationship between stock market returns and volatility in the Indian stock markets using AR(1)-EGARCH(p, q)-in-Mean model. The study considers daily closing prices of two major indexes of Indian stock exchanges, viz., S&P CNX NIFTY and the BSE-SENSEX of National...
Persistent link: https://www.econbiz.de/10011107467
Article aims to demonstrate the significant impact of dynamics of the relationship between financial intermediaries on …
Persistent link: https://www.econbiz.de/10011112004
prediction errors than the one-month contracts. The also paper finds that the prediction errors have information content which …
Persistent link: https://www.econbiz.de/10011111648
The effect of options’ introduction on underlying market is one of the frequently debated themes in financial research. A significant body of literature addresses the question of effects of options’ introduction. The critical review of the literature shows that there is no consensus among...
Persistent link: https://www.econbiz.de/10011258169
The purpose of this paper is to study the direction of causality between the stock market and macroeconomic variables. India is taken as a case study. Although, there have been many studies which attempted to find out the relationship between Indian stock market and economic variables, this...
Persistent link: https://www.econbiz.de/10011212585
Estimating and assessing the risk of a large portfolio is an important topic in financial econometrics and risk management. The risk is often estimated by a substitution of a good estimator of the volatility matrix. However, the accuracy of such a risk estimator for large portfolios is largely...
Persistent link: https://www.econbiz.de/10011112630
In this paper I introduce a latent variable augmented version of the conditional autoregressive range (CARR) model. The new model, called stochastic conditional- range (SCR) can be estimated by Kalman filter or by efficient importance sampling depending on the hypotheses on the distributional...
Persistent link: https://www.econbiz.de/10011112722
In this paper we introduce a parameter driven model for the dynamics of range, the stochastic conditional range (SCR …
Persistent link: https://www.econbiz.de/10011113646
This paper investigates the time-varying relationship between the oil price and disaggregated stock market of India using DCC-MGARCH and Continuous Wavelet Transformation methodologies. Our findings reveal the evolving relationship between the oil price and disaggregated stock market. The...
Persistent link: https://www.econbiz.de/10011114152