Price Discovery and Asymmetric Volatility Spillovers in Indian Spot-Futures Gold Markets
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- Eleftherios Giovanis, 2014. "The Turn-of-the-Month-Effect: Evidence from Periodic Generalized Autoregressive Conditional Heteroskedasticity (PGARCH) Model," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Eastern Macedonia and Thrace Institute of Technology (EMATTECH), Kavala, Greece, vol. 7(3), pages 43-61, December.
- Sanjay Sehgal & Wasim Ahmad & Florent Deisting, 2015. "An investigation of price discovery and volatility spillovers in India’s foreign exchange market," Journal of Economic Studies, Emerald Group Publishing, vol. 42(2), pages 261-284, May.
- repec:spr:jqecon:v:16:y:2018:i:1:d:10.1007_s40953-017-0074-7 is not listed on IDEAS
- repec:eee:phsmap:v:490:y:2018:i:c:p:203-211 is not listed on IDEAS
- Sinha, Pankaj & Mathur, Kritika, 2016. "Impact of Global Financial Crisis and Implied Volatility in the Equity Market on Gold Futures Traded on Multi Commodity Exchange, India," MPRA Paper 72966, University Library of Munich, Germany.
- repec:spr:fininn:v:3:y:2017:i:1:d:10.1186_s40854-017-0066-9 is not listed on IDEAS
More about this item
KeywordsPrice Discovery; Asymmetric Volatility Spillover; Cointegration; VECM; EGARCH Model;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
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