Econometric estimation using simulation techniques, such as the efficient method of moments, may betime consuming. The use of ordinary matrix programming languages such as Gauss, Matlab, Ox or S-plus will very often cause extra delay. For the Efficient Method of Moments implemented to...

High frequency data is a recent entrant to the world of statistics as they relate to the markets. With tick by tick data we get to see the microstructure of the markets and often are better able to see how they vary from the traditional portrayal. Traditional tools used to look at daily and...

This study focuses on the Indian gold futures market where primary participants hold sentimental value for the underlying asset and are globally ranked number two in terms of the largest private holdings in the physical form. The trade of gold futures relates to seasons, festivity, and...

The major purpose of this research exercise is to assess the volatility dynamics of the stock returns of the banks of India and to determine the factor which influence and explains the stock returns. For this the two important methodologies are applied, for understanding the sensitivity of stock...

This paper evaluates how different types of speculation affect the volatility of commodities' futures prices. We adopt four indexes of speculation: Working's T, the market share of non-commercial traders, the percentage of net long speculators over total open interest in future markets, which...