This study attempts to examine the price discovery process and volatility spillovers in Gold futures and spot markets of National Commodity Derivatives Exchange (NCDEX) by employing Johansen’s Vector Error Correction Model (VECM) and the Bivariate ECM-EGARCH(1,1) model. The empirical result...

The present study examines the performance of various hedge ratios estimated under different econometric models (viz., OLS, VECM and time-varying MGARCH) and compared in terms of variance minimization criterion over the in-sample and out-of-sample periods for the 21 underlying stocks of National...

Johansen's cointegration technique followed by the Vector Error Correction Model (VECM) were employed to examine the causal relationship between National Stock Exchange (NSE) spot and futures markets prices of selected nine oil and gas industry stocks of India. The empirical analysis was...

This study attempts to examine the price discovery process and volatility spillovers in Gold futures and spot markets of National Commodity Derivatives Exchange (NCDEX) by employing Johansen’s Vector Error Correction Model (VECM) and the Bivariate ECM-EGARCH(1,1) model. The empirical result...