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

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02_prelim pages.pdf52.79 kBAdobe PDFView/Open
03_content.pdf27.36 kBAdobe PDFView/Open
04_abstract.pdf14.11 kBAdobe PDFView/Open
05_chapter 1.pdf719.46 kBAdobe PDFView/Open
06_chapter 2.pdf244.83 kBAdobe PDFView/Open
07_chapter 3.pdf626.67 kBAdobe PDFView/Open
08_chapter 4.pdf606.69 kBAdobe PDFView/Open
09_chapter 5.pdf392.81 kBAdobe PDFView/Open
10_chapter 6.pdf32.22 kBAdobe PDFView/Open
11_chapter 7.pdf432.25 kBAdobe PDFView/Open
12_chapter 8.pdf74.35 kBAdobe PDFView/Open
13_chapter 9.pdf86.12 kBAdobe PDFView/Open
14_chapter 10.pdf45.62 kBAdobe PDFView/Open
15_annexures.pdf18.37 MBAdobe PDFView/Open
80_recommendation.pdf45.62 kBAdobe PDFView/Open
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