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This paper investigates the time-varying correlation and the volatility behaviour of the New Age Technology (Industry 4 ….0) sectors and, traditional sectors in US (NASDAQ sectoral indices) and India (Nifty sectoral indices) using ADCC/DCC – GARCH … COVID -19 pandemic on the volatility behaviour and the time – varying correlation of these indices. Risk measures – VaR and …
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-GARCH model for volatility and DCC model for correlation to allow for inclusion of indexes that measure financial conditions. In … returns, especially during crises. Moreover, including the FCI in volatility and correlation modeling improves Value …
Persistent link: https://www.econbiz.de/10013007323
et al.,JoI: 23, 2014). In our study, we use sample entropy and approximate entropy indicators - derived from the India … Volatility Index (India VIX) - to explore the feasibility of style, size and time horizon-based portfolio rotation strategies. We …, sample entropy and percentage change in India VIX …
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fear towers, stock markets see high volatility. India VIX signifies how investors sense the instant future. Retail … investors, can pursue India VIX to chart out successful entry and exit in stocks. Such an index is more pertinent for short … the volatility index (India VIX). The study also examines the presence of volatility clustering in the data set. Results …
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Using high-frequency stock price data, we investigate the effect of various stock-specific and market-wide events on intraday volatility dynamics in the Indian market. Modeling intraday volatility dynamics using FFF regressions, we examine the effect of – cross-listing, weekends and holidays,...
Persistent link: https://www.econbiz.de/10013097346
This research investigates the existence long-run relationships between oil prices and stock market indices in five GCC country implementing panel co-integration techniques and Seemingly Unrelated regression (SUR) methods, using two different (weekly and monthly) datasets covering respectively...
Persistent link: https://www.econbiz.de/10013074447