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Price Discovery and Asymmetric Volatility Spillovers in Indian Spot-Futures Gold Markets
Srinivasan, P.; Ibrahim, P. - In: International Journal of Economic Sciences and Applied … 5 (2012) 3, pp. 65-80
This study attempts to examine the price discovery process and volatility spillovers in Gold futures and spot markets … Bivariate ECM-EGARCH(1,1) model. The empirical result confirms that the spot market of Gold plays a dominant role and serves as … spot market to futures market and the spot market of gold have the capability to expose the all new information through the …
Persistent link: https://www.econbiz.de/10011310237
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Time-varying spot and futures oil price dynamics
Caporale, Guglielmo Maria; Ciferri, Davide; Girardi, … - 2010
contracts. The implications of these results for hedging and forecasting crude oil spot prices are also discussed. …
Persistent link: https://www.econbiz.de/10010270503
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Time-varying spot and futures oil price dynamics
Caporale, Guglielmo Maria; Ciferri, Davide; Girardi, … - 2010
contracts. The implications of these results for hedging and forecasting crude oil spot prices are also discussed. …
Persistent link: https://www.econbiz.de/10010271375
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Cointegration in the foreign exchange market and market efficiency since the introduction of the Euro: Evidence based on bivariate cointegration analyses
Kühl, Michael - 2007
the Euro by applying the cointegration analysis to exchange rates. The introduction of the Euro has changed the structure … the introduction of a new currency has resulted in inefficient markets, a bivariate cointegration analysis should be …
Persistent link: https://www.econbiz.de/10010300150
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Federal Transfers and Fiscal Discipline in India: An Empirical Evaluation
Bhatt, Antra; Scaramozzino, Pasquale - 2013
This paper examines the relationship between federal transfers and fiscal deficits in India. The system of federal …-variate cointegration analysis, which finds a long-run relationship between fiscal transfers, state product per capita and the primary …
Persistent link: https://www.econbiz.de/10010507396
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Economic reforms, foreign direct investment and its economic effects in India
Chakraborty, Chandana; Nunnenkamp, Peter - 2006
Foreign direct investment (FDI) has boomed in post-reform India. Moreover, the composition and type of FDI has changed … considerably since India has opened up to world markets. This has fuelled high expectations that FDI may serve as a catalyst to … higher economic growth. We assess the growth implications of FDI in India by subjecting industry-specific FDI and output data …
Persistent link: https://www.econbiz.de/10010273162
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Derivatives and Default Risk
Scholz, Sebastian - 2010
Upstream producers that possess market power, sell forwards with a lengthy duration to regional electricity companies (REC). As part of the liberalization of the electricity market, RECs have been privatized and exposed to a possible bankruptcy threat if spot prices have fallen below their...
Persistent link: https://www.econbiz.de/10010427577
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A Stable Model for Euro Area Money Demand: Revisiting the Role of Wealth
Beyer, Andreas - 2009
In this paper we present an empirically stable money demand model for Euro area M3. We show that housing wealth is an important explanatory variable of long-run money demand that captures the trending behaviour of M3 velocity, in particular its shift in the first half of this decade. We show...
Persistent link: https://www.econbiz.de/10011605157
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Structural vector autoregressions with nonnormal residuals
Lanne, Markku; Lütkepohl, Helmut - 2006
In structural vector autoregressive (SVAR) models identifying restrictions for shocks and impulse responses are usually derived from economic theory or institutional constraints. Sometimes the restrictions are insufficient for identifying all shocks and impulse responses. In this paper it is...
Persistent link: https://www.econbiz.de/10010261406
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Efficiency of South Asian capital markets: An empirical analysis
Mishra, P. K. - In: Pakistan Journal of Commerce and Social Sciences (PJCSS) 6 (2012) 1, pp. 27-34
test the weak form efficiency of select South Asian capital markets (India, Sri Lanka, Pakistan, Bangladesh, and Mauritius …
Persistent link: https://www.econbiz.de/10011938297