Please use this identifier to cite or link to this item:
http://hdl.handle.net/10603/444145
Title: | Volatility Spillover Effect and Regime Switch A Study of NSE and Selected International Stock Markets |
Researcher: | Yadav, Ajay Kumar |
Guide(s): | Srivastava, Rakesh Kumar |
Keywords: | Business Finance Economics and Business Social Sciences |
University: | Gautam Buddha University |
Completed Date: | 2020 |
Abstract: | newlineThis explains the process of volatility spillover happening from one market to newlineanother market. The current study analyses the volatility dynamics in context of Indian newlinestock markets vis-s-vis some selected international stock markets. It addresses certain newlinepertinent issues specially related to the research points such as: conditional volatility in newlinethe stock market series; volatility clustering in the stock market series; structural break in newlinethe stock market series; volatility spillover from foreign exchange markets to stock newlinemarkets and relationship between trading volumes and volatility in these markets. To newlineexamine these issues, the current study uses multiple econometric and statistical newlinetechniques. This includes the application of the Autoregressive Heteroscedasticity newline(ARCH) models and the extended version of these models namely Autoregressive newlineHeteroscedasticity (GARCH), Exponential Generalized Autoregressive newlineHeteroscedasticity (EGARCH) and Threshold Autoregressive Heteroscedasticity newline(TARCH) models |
Pagination: | All Pages |
URI: | http://hdl.handle.net/10603/444145 |
Appears in Departments: | Department of Business Management |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
01_title.pdf | Attached File | 27.41 kB | Adobe PDF | View/Open |
02_prelim pages.pdf | 52.79 kB | Adobe PDF | View/Open | |
03_content.pdf | 27.36 kB | Adobe PDF | View/Open | |
04_abstract.pdf | 14.11 kB | Adobe PDF | View/Open | |
05_chapter 1.pdf | 719.46 kB | Adobe PDF | View/Open | |
06_chapter 2.pdf | 244.83 kB | Adobe PDF | View/Open | |
07_chapter 3.pdf | 626.67 kB | Adobe PDF | View/Open | |
08_chapter 4.pdf | 606.69 kB | Adobe PDF | View/Open | |
09_chapter 5.pdf | 392.81 kB | Adobe PDF | View/Open | |
10_chapter 6.pdf | 32.22 kB | Adobe PDF | View/Open | |
11_chapter 7.pdf | 432.25 kB | Adobe PDF | View/Open | |
12_chapter 8.pdf | 74.35 kB | Adobe PDF | View/Open | |
13_chapter 9.pdf | 86.12 kB | Adobe PDF | View/Open | |
14_chapter 10.pdf | 45.62 kB | Adobe PDF | View/Open | |
15_annexures.pdf | 18.37 MB | Adobe PDF | View/Open | |
80_recommendation.pdf | 45.62 kB | Adobe PDF | View/Open |
Items in Shodhganga are licensed under Creative Commons Licence Attribution-NonCommercial-ShareAlike 4.0 International (CC BY-NC-SA 4.0).
Altmetric Badge: