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The present paper examines the price discovery process and volatility spillovers in Indian spot-futures commodity markets through Johansen cointegration, Vector Error Correction Model (VECM) and the bivariate EGARCH model. The study uses four futures and spot indices of the Multi Commodity...
Persistent link: https://www.econbiz.de/10013100230
This paper empirically investigates the impact of exchange rate volatility on the real exports in India using the ARDL bounds testing procedure proposed by Pesaran et al. (2001). Using annual time series data, the empirical analyses has been carried out for the period 1970 to 2011. The study...
Persistent link: https://www.econbiz.de/10013082330
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 model. The empirical result confirms...
Persistent link: https://www.econbiz.de/10013088169
Persistent link: https://www.econbiz.de/10009507588
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...
Persistent link: https://www.econbiz.de/10009717381
Persistent link: https://www.econbiz.de/10011299487
Persistent link: https://www.econbiz.de/10011707393
Persistent link: https://www.econbiz.de/10011674298
Despite the rise in markets for cryptocurrencies at an outstanding pace, with consistently high trading volume and market capitalization, the increasing volatility of the virtual currencies raise various concerns. One of the major concerns is regarding (in)efficiency, viz. whether there exist...
Persistent link: https://www.econbiz.de/10012816801
Volatility forecasting is an important area of research in financial markets and immense effort has been expended in improving volatility models since better forecasts translate themselves into better pricing of options and better risk management. In this direction, the present paper attempts to...
Persistent link: https://www.econbiz.de/10013013898