In this study we model the monthly and the daily US, Euro Zone, UK and Australian exchange rates in India using the symmetric (sGARCH) and the asymmetric (GJR-GARCH and EGARCH) volatility models with the normal, the student t and the skewed student t error distributions. We also investigate the...

The study tests the adaptive market hypothesis for the US (Dow Jones and S&P 500), Hong Kong (Hang Seng) and Indian (BSE Sensex) stock markets by testing the 20 years of daily and the weekly data for the return predictability. The indices exhibit the time varying realized risk premia, and the...

We address the issue of the financial risk that Bitcoin poses for the Indian investors and traders by comparing various risk measures, risk adjusted performance measures and the volatility behaviour for Bitcoin with those for INR/USD exchange rate, gold futures, Indian equity index (Nifty 50)...

This paper investigates the change in the sentiments expressed in the annual reports/10-K filings of the firms in the New Age Technology Sectoral Indices and Nifty IT Index during COVID -19 Pandemic. We use tf.idf Weighted and simple proportion methodologies, and eight word lists from Loughran...

This study presents stylized facts of the fungible token exchange rates (MANA/USD and SAND/USD) in the Metaverses (Decentraland and The Sandbox). Metaverse currency exchange rate market exhibits very high conditional volatility - albeit no leverage effect, minor impact of the real-world crisis...

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 models. We also assess the impact of Global...

The structure of a typical rainfall insurance is complex; insurance payoffs are based on many parameters such as the rainfall volume, the rainfall distribution (the number of consecutive dry days), the number of days with excess rainfall etc. Such a complex insurance structure is essential to...

Securitization of the rainfall risk involves pooling of the rainfall contingent insurance policies to issue financial instruments in the capital markets to transfer the rainfall risk from the insurers to the investors. Low income households, especially in the developing countries like India...

Cyber risk, a type of operational risk, is today considered a key component in the enterprise risk management framework. Under BASEL regulations, a bank could recognize the risk mitigating impact of the Cyber Liability Insurance (CLI) contract while calculating the minimum operational risk...

Low income households, especially in the developing countries could suffer losses due to weather related events such as drought, hurricanes, floods etc. Such losses could cast a household into a chronic poverty cycle - a poverty trap from which the household may find it difficult to re-emerge....