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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 of National Commodity Derivatives Exchange (NCDEX) by employing Johansen’s Vector Error Correction Model (VECM) and the Bivariate ECM-EGARCH(1,1) model. The empirical result...
Persistent link: https://www.econbiz.de/10011310237
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The effect of liqudity on the price discovery process in credit derivatives markets in time of financial distress
Mayordomo, Sergio; Peña Sánchez de Rivera, Juan Ignacio; … - In: The European journal of finance 17 (2011) 9/10, pp. 851-881
Persistent link: https://www.econbiz.de/10009529136
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Sovereign and bank CDS spreads : two sides of the same coin?
Avino, Davide; Cotter, John - In: Journal of international financial markets, … 32 (2014), pp. 72-85
Persistent link: https://www.econbiz.de/10011299805
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Time-varying credit risk discovery in the stock and CDS markets : evidence from quiet and crisis times
Forte, Santiago; Lovreta, Lidija - In: European financial management : the journal of the … 21 (2015) 3, pp. 430-461
Persistent link: https://www.econbiz.de/10011317998
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The price discovery of day trading activities in futures market
Chen, Ming-Hsien; Tai, Vivian W. - In: Review of derivatives research 17 (2014) 2, pp. 217-239
Persistent link: https://www.econbiz.de/10010529623
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Price discovery process in Nifty spot and futures markets
Choudhary, Kapil; Bajaj, Sushil - In: Global business review 14 (2013) 1, pp. 55-88
Persistent link: https://www.econbiz.de/10009746434
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The effect of the financial sector on the evolution of oil prices : analysis of the contribution of the futures market to the price discovery process in the WTI spot market
Silvério, Renan; Szklo, Alexandre Salem - In: Energy economics 34 (2012) 6, pp. 1799-1808
Persistent link: https://www.econbiz.de/10009687861
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Price discovery in spot and futures markets : a reconsideration
Theissen, Erik - In: The European journal of finance 18 (2012) 9/10, pp. 969-987
Persistent link: https://www.econbiz.de/10009691772
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Greek sovereign credit market dynamics : credit default swap and bond spreads' linkages
Tampakoudis, Ioannis A.; Subeniotis, Demetres N.; … - In: International journal of trade and global markets 5 (2012) 3/4, pp. 268-280
Persistent link: https://www.econbiz.de/10009722093
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Algorithmic trading, liquidity, and price discovery : an intraday analysis of the SPI 200 futures
Viljoen, Tina; Westerholm, P. Joakim; Zheng, Hui - In: The financial review : the official publication of the … 49 (2014) 2, pp. 245-270
Persistent link: https://www.econbiz.de/10010363593