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Economic benefits of using realized covariance forecasts in risk-based portfolios

Sharma, Prateek; Vipul - In: Applied economics 48 (2016) 4/6, pp. 502-516

Persistent link: https://www.econbiz.de/10011412934

Forecasting stock market volatility using Realized GARCH model : international evidence

Sharma, Prateek; Vipul - In: The quarterly review of economics and finance : journal … 59 (2016), pp. 222-230

Persistent link: https://www.econbiz.de/10011627288

Impact of the introduction of derivatives on underlying volatility : evidence from India

Vipul - In: Applied financial economics 16 (2006) 9, pp. 687-697

Persistent link: https://www.econbiz.de/10003334980

Mispricing, volume, volatility and open interest : evidence form Indian futures market

Vipul - In: Journal of emerging market finance 7 (2008) 3, pp. 263-292

Persistent link: https://www.econbiz.de/10003815261

Volatility forecasting performance of two-scale realized volatility

Garg, S.; Vipul - In: Applied financial economics 24 (2014) 16/18, pp. 1111-1121

Persistent link: https://www.econbiz.de/10010418949

Forecasting performance of extreme-value volatility estimators

Vipul; Jacob, Joshy - In: The journal of futures markets 27 (2007) 11, pp. 1085-1105

Persistent link: https://www.econbiz.de/10003627061

Does opening call-auction enhance market quality?

Garg, Sonia; Vipul - In: Praj̄nȧn : journal of social and management sciences 44 (2016) 4, pp. 315-336

Persistent link: https://www.econbiz.de/10011490056

Volatility risk premium in Indian options prices

Garg, Sonia; Vipul - In: The journal of futures markets 35 (2015) 9, pp. 795-812

Persistent link: https://www.econbiz.de/10011392659

Forecasting stock index volatility with GARCH models: international evidence

Sharma, Prateek; _, Vipul - In: Studies in Economics and Finance 32 (2015) 4, pp. 445-463

Purpose – The purpose of this paper is to compare the daily conditional variance forecasts of seven GARCH-family models. This paper investigates whether the advanced GARCH models outperform the standard GARCH model in forecasting the variance of stock indices. Design/methodology/approach –...

Persistent link: https://www.econbiz.de/10015014210

Corruption and Stock Price Volatility : Firm-Level Evidence

Jha, Chandan Kumar; Mishra, Tapas; sharma, prateek; … - 2023

This paper investigates the effects of corruption on equity price volatility using a sample of over 10,000 firm-level observations from 35 countries for 2003--2014. Utilizing approximately 16,000 responses from the World Bank Enterprise Survey, we construct experience-based annual corruption...

Persistent link: https://www.econbiz.de/10014355319