Mallikarjunappa, T.; M, Afsal E. - In: Asian Academy of Management Journal of Accounting and … 4 (2008) 2, pp. 42-66
This paper studies the volatility implications of the introduction of derivatives on stock market volatility in India using the S&P CNX Nifty Index as a benchmark. To account for non-constant error variance in the return series, a GARCH model is fitted by incorporating futures and options dummy...
