In this paper we model the volatility patterns of the BSE Bankex index based on daily data using both symmetric and asymmetric GARCH models. Our findings reveal asymmetric GARCH models having leverage property uncover uneven market reactions to positive and negative innovations thus rendering...

The paper undertakes a macroprudential analysis of the credit risk of Public Sector Banks during the liberalization period. Using the Vector Autoregression methodology, the paper investigates the dynamic impact of changes in the macroeconomic variables on the default rate, the Financial...

The paper undertakes a macroprudential analysis of the credit risk of Public Sector Banks during the liberalization period. Using the Vector Autoregression methodology, the paper investigates the dynamic impact of changes in the macroeconomic variables on the default rate, the Financial...

The experiences of the global financial crisis reveal that the spillover effects of the current global financial imbalances undermine the financial stability of different countries. In this emerging scenario, country-specific studies for identifying leading indicators of financial crisis appear...

This study investigates the day -of -the -week -effect on the return and conditional variance of the BSE bank stock index (BSE Bankex) in the emerging stock market of India using close-to-close data during the period after the introduction of rolling settlement. OLS, GARCH, GARCH-M and TGARCH...

While there are many evidences of nonlinearity in developed markets, there has not been many works in this direction in Indian financial markets. In this study we wish to bridge this gap by testing for nonlinearity in the Indian stock and commodity market. We consider the index movements in...