Pati, Pratap Chandra; Rajib, Prabina - In: Journal of Risk Finance 11 (2010) May, pp. 296-309
Purpose – The purpose of this paper is to estimate time-varying conditional volatility, and examine the extent to which trading volume, as a proxy for information arrival, explain the persistence of futures market volatility using National Stock Exchange S&P CRISIL NSE Index Nifty index...