IDEAS home Printed from https://ideas.repec.org/e/pth170.html
   My authors  Follow this author

Susan Thomas

Personal Details

First Name:Susan
Middle Name:
Last Name:Thomas
Suffix:
RePEc Short-ID:pth170
[This author has chosen not to make the email address public]
http://www.xkdr.org

Affiliation

xKDR Forum

Mumbai, India
http://xkdr.org
RePEc:edi:xkdrfin (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters Books

Working papers

  1. R. A. Mashelkar & Ajay Shah & Susan Thomas, 2024. "Rethinking innovation policy in India: Amplifying spillovers through contracting-out," Working Papers 32, xKDR.
  2. Pavithra Manivannan & Geetika Palta & Susan Thomas & Bhargavi Zaveri-Shah, 2023. "Evaluating courts from a litigant's perspective: A project report," Working Papers 29, xKDR.
  3. Indradeep Ghosh & Susan Thomas, 2023. "Financial Inclusion Measurement: Deepening the Evidence," Working Papers 20, xKDR.
  4. Aneesha Chitgupi & Susan Thomas, 2023. "Learning by doing for public procurement," Working Papers 22, xKDR.
  5. Bhargavi Zaveri-Shah & Susan Thomas, 2023. "Estimating Capacity Requirements of the National Company Law Tribunal: Notes from the Field," Working Papers 24, xKDR.
  6. Nidhi Aggarwal & Manish K. Singh & Susan Thomas, 2022. "Informational efficiency of credit ratings," Working Papers 14, xKDR.
  7. Pavithra Manivannan & Susan Thomas & Bhargavi Zaveri, 2022. "Evaluating contract enforcement by courts in India: a litigant's lens," Working Papers 16, xKDR.
  8. NIdhi Aggarwal & Venkatesh Panchapagesan & Susan Thomas, 2022. "When is the order-to-trade ratio fee effective?," Working Papers 11, xKDR.
  9. Ayush Patnaik & Ajay Shah & Susan Thomas, 2022. "Foundations for nighttime lights data analysis," Working Papers 19, xKDR.
  10. Anjali Sharma & Susan Thomas, 2021. "The footprint of union government procurement in India," Working Papers 10, xKDR.
  11. Susan Thomas & Diya Uday, 2021. "Does the quality of land records affect credit access of households in India?," Working Papers 1, xKDR.
  12. Ayush Patnaik & Ajay Shah & Anshul Tayal & Susan Thomas, 2021. "But clouds got in my way: Bias and bias correction of VIIRS nighttime lights data in the presence of clouds," Working Papers 7, xKDR.
  13. Nidhi Aggarwal & Venkatesh Panchapagesan & Susan Thomas, 2019. "When do regulatory interventions work?," Working Papers id:13040, eSocialSciences.
  14. Susan Thomas, 2017. "Response of Firms to Listing: Evidence from SME Exchanges," Working Papers id:12295, eSocialSciences.
  15. Rajeswari Sengupta & Anjali Sharma & Susan Thomas, 2016. "Evolution of the insolvency framework for non-financial firms in India," Working Papers id:11054, eSocialSciences.
  16. Renuka Sane & Susan Thomas, 2016. "From participation to repurchase: Low-income households and micro-insurance," Working Papers id:11133, eSocialSciences.
  17. Siva Raman & Susan Thomas & Renuka Sane, 2016. "Reforming Personal Insolvency Law in India," Working Papers id:10696, eSocialSciences.
  18. Nidhi Aggarwal & Sargam Jain & Susan Thomas, 2014. "Do futures markets help in price discovery and risk management for commodities in India?," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2014-020, Indira Gandhi Institute of Development Research, Mumbai, India.
  19. Nidhi Aggarwal & Susan Thomas, 2014. "The causal impact of algorithmic trading on market quality," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2014-023, Indira Gandhi Institute of Development Research, Mumbai, India.
  20. Renuka Sane & Susan Thomas, 2014. "The way forward for India's National Pension System," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2014-022, Indira Gandhi Institute of Development Research, Mumbai, India.
  21. Renuka Sane & Susan Thomas, 2013. "The real cost of credit constraints: Evidence from micro-finance," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2013-013, Indira Gandhi Institute of Development Research, Mumbai, India.
  22. Renuka Sane & Susan Thomas, 2013. "In Search of Inclusion: Informal Sector Participation in a Voluntary, Defined Contribution Pension System," Working Papers id:5553, eSocialSciences.
  23. Monika Halan & Renuka Sane & Susan Thomas, 2013. "Estimating losses to customers on account of mis-selling life insurance policies in India," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2013-007, Indira Gandhi Institute of Development Research, Mumbai, India.
  24. Renuka Sane & Susan Thomas, 2012. "What should regulation do in the field of micro-finance?," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2012-012, Indira Gandhi Institute of Development Research, Mumbai, India.
  25. Rajat Tayal & Susan Thomas, 2012. "Measuring and explaining the asymmetry of liquidity," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2012-011, Indira Gandhi Institute of Development Research, Mumbai, India.
  26. M. Sahoo & Renuka Sane & Susan Thomas, 2012. "How is financial regulation different for micro-finance?," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2012-005, Indira Gandhi Institute of Development Research, Mumbai, India.
  27. Nidhi Aggarwal & Manish Singh & Susan Thomas, 2012. "Do changes in distance-to-default anticipate changes in the credit rating?," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2012-010, Indira Gandhi Institute of Development Research, Mumbai, India.
  28. Rohini Grover & Susan Thomas, 2011. "Liquidity considerations in estimating implied volatility," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2011-006, Indira Gandhi Institute of Development Research, Mumbai, India.
  29. Shubho Roy & Renuka Sane & Susan Thomas, 2011. "An Economic policy and legal analysis of the Micro Finance Institutions (Development & Regulation) Bill, 2011," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2011-025, Indira Gandhi Institute of Development Research, Mumbai, India.
  30. Renuka Sane & Susan Thomas, 2011. "The role of government in India's micro-finance industry," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2011-007, Indira Gandhi Institute of Development Research, Mumbai, India.
  31. Nidhi Aggarwal & Susan Thomas, 2011. "When do stock futures dominate price discovery," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2011-016, Indira Gandhi Institute of Development Research, Mumbai, India.
  32. Susan Thomas, 2010. "Call auctions : A solution to some difficulties in Indian finance," Finance Working Papers 23028, East Asian Bureau of Economic Research.
  33. Susan Thomas, 1995. "Heteroscedasticity models on the BSE," Finance 9507007, University Library of Munich, Germany.

Articles

  1. Aggarwal, Nidhi & Panchapagesan, Venkatesh & Thomas, Susan, 2023. "When is the order-to-trade ratio fee effective?," Journal of Financial Markets, Elsevier, vol. 62(C).
  2. Aggarwal, Nidhi & Singh, Manish K. & Thomas, Susan, 2023. "Do decreases in Distance-to-Default predict rating downgrades?," Economic Modelling, Elsevier, vol. 129(C).
  3. Renuka Sane & Susan Thomas, 2020. "From Participation To Repurchase: Low Income Households And Micro‐insurance," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 87(3), pages 783-814, September.
  4. Nidhi Aggarwal & Susan Thomas, 2019. "When stock futures dominate price discovery," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(3), pages 263-278, March.
  5. Sane Renuka & Thomas Susan, 2016. "The Real Cost of Credit Constraints: Evidence from Micro-finance," The B.E. Journal of Economic Analysis & Policy, De Gruyter, vol. 16(1), pages 151-183, January.
  6. Renuka Sane & Susan Thomas, 2015. "In Search of Inclusion: Informal Sector Participation in a Voluntary, Defined Contribution Pension System," Journal of Development Studies, Taylor & Francis Journals, vol. 51(10), pages 1409-1424, October.
  7. Monika Halan & Renuka Sane & Susan Thomas, 2014. "The case of the missing billions: estimating losses to customers due to mis-sold life insurance policies," Journal of Economic Policy Reform, Taylor and Francis Journals, vol. 17(4), pages 285-302, October.
  8. Rohini Grover & Susan Thomas, 2012. "Liquidity Considerations in Estimating Implied Volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 32(8), pages 714-741, August.
  9. Susan Thomas & Mandira Sarma & Ajay Shah, 2003. "Selection of Value-at-Risk models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 22(4), pages 337-358.

Chapters

  1. Susan Thomas, 2022. "An Overview," India Studies in Business and Economics, in: Susan Thomas (ed.), Insolvency and Bankruptcy Reforms in India, pages 1-7, Springer.

Books

  1. Susan Thomas (ed.), 2022. "Insolvency and Bankruptcy Reforms in India," India Studies in Business and Economics, Springer, number 978-981-16-0854-4, December.
  2. Shah, Ajay & Thomas, Susan & Gorham, Michael, 2008. "Indian Financial Markets," Elsevier Monographs, Elsevier, edition 1, number 9780123742513.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Rohini Grover & Susan Thomas, 2011. "Liquidity considerations in estimating implied volatility," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2011-006, Indira Gandhi Institute of Development Research, Mumbai, India.

    Mentioned in:

    1. New insights into the events on the Indian stock market in the mid-1990s
      by Ajay Shah in Ajay Shah's blog on 2012-04-11 22:22:00
    2. Interesting readings
      by Ajay Shah in Ajay Shah's blog on 2011-05-20 09:33:00
    3. The rupee: Frequently asked questions
      by Ajay Shah in Ajay Shah's blog on 2011-12-02 00:26:00
    4. Interesting Readings for May 20, 2011
      by Ajay Shah in Citizen Economists on 2011-05-20 22:20:24
    5. The rupee: Frequently asked questions
      by Ajay Shah in Citizen Economists on 2011-12-02 20:50:18
    6. New insights into the events on the Indian stock market in the mid-1990s
      by Ajay Shah in Citizen Economists on 2012-04-14 00:10:04
  2. Shubho Roy & Renuka Sane & Susan Thomas, 2011. "An Economic policy and legal analysis of the Micro Finance Institutions (Development & Regulation) Bill, 2011," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2011-025, Indira Gandhi Institute of Development Research, Mumbai, India.

    Mentioned in:

    1. Addressing ponzi schemes: the three parts of the solution strategy
      by Ajay Shah in Ajay Shah's blog on 2013-04-30 07:36:00
    2. Interesting readings
      by Ajay Shah in Ajay Shah's blog on 2012-05-15 17:33:00
  3. Susan Thomas, 2010. "Call auctions: A Solution to some difficulties in Indian finance," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2010-006, Indira Gandhi Institute of Development Research, Mumbai, India.

    Mentioned in:

    1. Obtaining liquidity for illiquid stocks
      by Ajay Shah in Ajay Shah's blog on 2013-04-06 17:24:00
    2. India's privatisation problem
      by Ajay Shah in Ajay Shah's blog on 2011-06-11 00:47:00
    3. India’s Privatisation Problem
      by Ajay Shah in Citizen Economists on 2011-06-13 16:40:34
    4. Obtaining liquidity for illiquid stocks
      by Ajay Shah in Citizen Economists on 2013-04-08 22:00:45
  4. Monika Halan & Renuka Sane & Susan Thomas, 2013. "Estimating losses to customers on account of mis-selling life insurance policies in India," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2013-007, Indira Gandhi Institute of Development Research, Mumbai, India.

    Mentioned in:

    1. Mis-selling: from impressions to evidence
      by Ajay Shah in Ajay Shah's blog on 2013-04-30 18:18:00
    2. Implications of the Pensions Act
      by Ajay Shah in Ajay Shah's blog on 2013-09-04 19:19:00
    3. Mis-selling: from impressions to evidence
      by Ajay Shah in Citizen Economists on 2013-05-02 00:00:40
    4. Mis-selling: from impressions to evidence
      by Ajay Shah in Citizen Economists on 2013-05-07 00:00:40
  5. Rajat Tayal & Susan Thomas, 2012. "Measuring and explaining the asymmetry of liquidity," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2012-011, Indira Gandhi Institute of Development Research, Mumbai, India.

    Mentioned in:

    1. The costs in buying versus the costs in selling
      by Ajay Shah in Ajay Shah's blog on 2012-05-26 01:48:00
    2. The costs in buying versus the costs in selling
      by Ajay Shah in Citizen Economists on 2012-06-01 00:10:43
  6. Renuka Sane & Susan Thomas, 2011. "The role of government in India's micro-finance industry," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2011-007, Indira Gandhi Institute of Development Research, Mumbai, India.

    Mentioned in:

    1. Interesting readings
      by Ajay Shah in Ajay Shah's blog on 2011-08-21 10:29:00
    2. Difficulties with PFRDA's Draft Aggregator Regulations, 2014
      by Ajay Shah in Ajay Shah's blog on 2014-07-02 09:43:00
    3. Interesting Readings for August 23, 2011
      by Ajay Shah in Citizen Economists on 2011-08-23 21:40:50

Working papers

  1. Aneesha Chitgupi & Susan Thomas, 2023. "Learning by doing for public procurement," Working Papers 22, xKDR.

    Cited by:

    1. R. A. Mashelkar & Ajay Shah & Susan Thomas, 2024. "Rethinking innovation policy in India: Amplifying spillovers through contracting-out," Working Papers 32, xKDR.

  2. Pavithra Manivannan & Susan Thomas & Bhargavi Zaveri, 2022. "Evaluating contract enforcement by courts in India: a litigant's lens," Working Papers 16, xKDR.

    Cited by:

    1. Pavithra Manivannan & Geetika Palta & Susan Thomas & Bhargavi Zaveri-Shah, 2023. "Evaluating courts from a litigant's perspective: A project report," Working Papers 29, xKDR.

  3. Susan Thomas & Diya Uday, 2021. "Does the quality of land records affect credit access of households in India?," Working Papers 1, xKDR.

    Cited by:

    1. Brijkumar Aggarwal & Diya Uday, 2023. "Technology in Land Administration," Working Papers 27, xKDR.

  4. Susan Thomas, 2017. "Response of Firms to Listing: Evidence from SME Exchanges," Working Papers id:12295, eSocialSciences.

    Cited by:

    1. Swati Agrawal & Poonam Singh & Mainak Mazumdar, 2021. "Innovation, Firm Size and Ownership: A Study of Firm Transition in India," International Journal of Global Business and Competitiveness, Springer, vol. 16(1), pages 15-27, June.
    2. Disse, Sabrina & Sommer, Christoph, 2020. "Digitalisation and its impact on SME finance in Sub-Saharan Africa: Reviewing the hype and actual developments," IDOS Discussion Papers 4/2020, German Institute of Development and Sustainability (IDOS).

  5. Rajeswari Sengupta & Anjali Sharma & Susan Thomas, 2016. "Evolution of the insolvency framework for non-financial firms in India," Working Papers id:11054, eSocialSciences.

    Cited by:

    1. Choorikkad Veeramani & Lakshmi Aerath & Prachi Gupta, 2018. "Intensive and extensive margins of exports: What can India learn from China?," The World Economy, Wiley Blackwell, vol. 41(5), pages 1196-1222, May.
    2. Agarwal, Shivangi & Singhvi, Bhavya, 2023. "Creditor-controlled insolvency and firm financing– Evidence from India," Finance Research Letters, Elsevier, vol. 54(C).
    3. Rajeswari Sengupta & Harsh Vardhan, 2023. "Bankruptcy regime change and credit risk premium on corporate bonds: Evidence from the Indian economy," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2023-001, Indira Gandhi Institute of Development Research, Mumbai, India.
    4. Surbhi Bhatia & Manish K. Singh, 2022. "Fifty years since Altman (1968): Performance of financial distress prediction models," Working Papers 12, xKDR.
    5. Nirupama Kulkarni & S.K. Ritadhi & Sayan Mukherjee, 2021. "Unearthing Zombies," Working Papers 59, Ashoka University, Department of Economics.
    6. Pratik Datta, 2019. "Value Destruction and Wealth Transfer Under the Insolvency and Bankruptcy Code, 2016," Working Papers id:12965, eSocialSciences.
    7. Ahmad, Wasim & Tiwari, Shiv Ratan & Wadhwani, Akshay & Khan, Mohammad Azeem & Bekiros, Stelios, 2023. "Financial networks and systemic risk vulnerabilities: A tale of Indian banks," Research in International Business and Finance, Elsevier, vol. 65(C).
    8. Prasad Rohit & Gupta Gaurav & Mathur Yogesh B., 2020. "A Game Theoretic Analysis of the Relative Payouts to Operational Creditors and Financial Creditors from Bankruptcy Resolution in India," Asian Journal of Law and Economics, De Gruyter, vol. 11(2), pages 1-21, August.
    9. Kariya, Ankitkumar, 2021. "Borrowing from government owned banks & firm's liquidation risk," Journal of Corporate Finance, Elsevier, vol. 69(C).
    10. Datta, Pratik, 2018. "Value Destruction and Wealth Transfer under the Insolvency and Bankruptcy Code, 2016," Working Papers 18/247, National Institute of Public Finance and Policy.
    11. Sreyan Chatterjee & Gausia Shaikh & Bhargavi Zaveri, 2017. "Watching India's Insolvency Reforms: A New Dataset of Insolvency Cases," Working Papers id:12105, eSocialSciences.
    12. Bose, Udichibarna & Filomeni, Stefano & Mallick, Sushanta, 2021. "Does bankruptcy law improve the fate of distressed firms? The role of credit channels," Journal of Corporate Finance, Elsevier, vol. 68(C).

  6. Nidhi Aggarwal & Sargam Jain & Susan Thomas, 2014. "Do futures markets help in price discovery and risk management for commodities in India?," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2014-020, Indira Gandhi Institute of Development Research, Mumbai, India.

    Cited by:

    1. Rahul Kumar Singh, 2023. "Efficiency of Wheat Futures across APMC Mandis," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 21(3), pages 681-701, September.
    2. Meenakshi Malhotra, 2015. "Evaluating the Hedging Performance of Oil and Oilseeds Futures in India," Paradigm, , vol. 19(2), pages 184-196, December.
    3. Shashi Gupta & Himanshu Choudhary & D.R. Agarwal, 2017. "Hedging Efficiency of Indian Commodity Futures," Paradigm, , vol. 21(1), pages 1-20, June.
    4. A.N. Vijayakumar, 2023. "Declining trade interest in Indian commodity derivatives: a survey-based study on cardamom futures contract," Global Business and Economics Review, Inderscience Enterprises Ltd, vol. 28(3), pages 333-346.
    5. Raushan Kumar, 2017. "Price Discovery in Some Primary Commodity Markets in India," Economics Bulletin, AccessEcon, vol. 37(3), pages 1817-1829.

  7. Nidhi Aggarwal & Susan Thomas, 2014. "The causal impact of algorithmic trading on market quality," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2014-023, Indira Gandhi Institute of Development Research, Mumbai, India.

    Cited by:

    1. Mestel, Roland & Murg, Michael & Theissen, Erik, 2018. "Algorithmic trading and liquidity: Long term evidence from Austria," Finance Research Letters, Elsevier, vol. 26(C), pages 198-203.
    2. Zhou, Hao & Kalev, Petko S. & Frino, Alex, 2020. "Algorithmic trading in turbulent markets," Pacific-Basin Finance Journal, Elsevier, vol. 62(C).
    3. Dubey, Ritesh Kumar & Chauhan, Yogesh & Syamala, Sudhakara Reddy, 2017. "Evidence of algorithmic trading from Indian equity market: Interpreting the transaction velocity element of financialization," Research in International Business and Finance, Elsevier, vol. 42(C), pages 31-38.
    4. Nidhi Aggarwal & Venkatesh Panchapagesan & Susan Thomas, 2019. "When do regulatory interventions work?," Working Papers id:13040, eSocialSciences.
    5. Ritesh Kumar Dubey & A. Sarath Babu & Rajneesh Ranjan Jha & Urvashi Varma, 2022. "Algorithmic Trading Efficiency and its Impact on Market-Quality," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 29(3), pages 381-409, September.
    6. Syamala, Sudhakara Reddy & Wadhwa, Kavita, 2020. "Trading performance and market efficiency: Evidence from algorithmic trading," Research in International Business and Finance, Elsevier, vol. 54(C).
    7. Zhou, Hao & Kalev, Petko S., 2019. "Algorithmic and high frequency trading in Asia-Pacific, now and the future," Pacific-Basin Finance Journal, Elsevier, vol. 53(C), pages 186-207.

  8. Renuka Sane & Susan Thomas, 2013. "The real cost of credit constraints: Evidence from micro-finance," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2013-013, Indira Gandhi Institute of Development Research, Mumbai, India.

    Cited by:

    1. Ajay Shah, 2023. "The journey of Indian finance," Working Papers 25, xKDR.
    2. Saxena, Vibhor & Bindal, Ishaan & LeMay-Boucher, Philippe, 2020. "Social groups and credit shocks: Evidence of inequalities in consumption smoothing," Economic Analysis and Policy, Elsevier, vol. 68(C), pages 311-326.

  9. Renuka Sane & Susan Thomas, 2013. "In Search of Inclusion: Informal Sector Participation in a Voluntary, Defined Contribution Pension System," Working Papers id:5553, eSocialSciences.

    Cited by:

    1. Mitchell, Olivia S. & Mukherjee, Anita, 2017. "Assessing the demand for micropensions among India’s poor," The Journal of the Economics of Ageing, Elsevier, vol. 9(C), pages 30-40.

  10. Monika Halan & Renuka Sane & Susan Thomas, 2013. "Estimating losses to customers on account of mis-selling life insurance policies in India," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2013-007, Indira Gandhi Institute of Development Research, Mumbai, India.

    Cited by:

    1. Renuka Sane & Susan Thomas, 2014. "The way forward for India's National Pension System," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2014-022, Indira Gandhi Institute of Development Research, Mumbai, India.
    2. Rashmi Baura & Renuka Sane, 2014. "Repayment in microfinance: The Role of financial literacy and caste," Discussion Papers 14-06, Indian Statistical Institute, Delhi.

  11. Rajat Tayal & Susan Thomas, 2012. "Measuring and explaining the asymmetry of liquidity," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2012-011, Indira Gandhi Institute of Development Research, Mumbai, India.

    Cited by:

    1. Szymon Stereńczak, 2021. "Minimum tick size reduction and stock liquidity: lessons from the Warsaw Stock Exchange," Bank i Kredyt, Narodowy Bank Polski, vol. 52(6), pages 545-576.
    2. Omar Euch & Masaaki Fukasawa & Mathieu Rosenbaum, 2018. "The microstructural foundations of leverage effect and rough volatility," Finance and Stochastics, Springer, vol. 22(2), pages 241-280, April.
    3. El Euch Omar & Fukasawa Masaaki & Rosenbaum Mathieu, 2016. "The microstructural foundations of leverage effect and rough volatility," Papers 1609.05177, arXiv.org.

  12. Nidhi Aggarwal & Manish Singh & Susan Thomas, 2012. "Do changes in distance-to-default anticipate changes in the credit rating?," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2012-010, Indira Gandhi Institute of Development Research, Mumbai, India.

    Cited by:

    1. Marta Gómez-Puig & Simón Sosvilla-Rivero & Manish K. Singh, 2015. "Sovereigns and banks in the euro area: A tale of two crises," Working Papers 15-01, Asociación Española de Economía y Finanzas Internacionales.
    2. Manish K. Singh & Marta Gómez-Puig & Simón Sosvilla-Rivero, 2015. "“Bank risk behavior and connectedness in EMU countries”," IREA Working Papers 201517, University of Barcelona, Research Institute of Applied Economics, revised Jun 2015.
    3. Marta Gómez-Puig & Simón Sosvilla-Rivero & Manish K. Singh, 2018. "“Incorporating creditors' seniority into contingent claim models:Application to peripheral euro area countries”," IREA Working Papers 201803, University of Barcelona, Research Institute of Applied Economics, revised Feb 2018.
    4. Manish K. Singh & Marta Gómez-Puig & Simón Sosvilla-Rivero, 2014. "“Forward Looking Banking Stress in EMU Countries”," IREA Working Papers 201421, University of Barcelona, Research Institute of Applied Economics, revised Oct 2014.

  13. Rohini Grover & Susan Thomas, 2011. "Liquidity considerations in estimating implied volatility," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2011-006, Indira Gandhi Institute of Development Research, Mumbai, India.

    Cited by:

    1. Chaiyuth Padungsaksawasdi & Robert T. Daigler, 2014. "The Return‐Implied Volatility Relation for Commodity ETFs," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 34(3), pages 261-281, March.
    2. Sankar, Ganesh & Ramachandran, Shankar & Lukose P J, Jijo, 2020. "Dynamics of variance risk premium: Evidence from India," International Review of Economics & Finance, Elsevier, vol. 70(C), pages 321-334.
    3. Alok Dixit & Shivam Singh, 2018. "Ad-Hoc Black–Scholes vis-à-vis TSRV-based Black–Scholes: Evidence from Indian Options Market," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 16(1), pages 57-88, March.
    4. Sensoy, Ahmet & Omole, John, 2018. "Implied volatility indices: A review and extension in the Turkish case," International Review of Financial Analysis, Elsevier, vol. 60(C), pages 151-161.
    5. Rohini Grover & Ajay Shah, 2014. "The imprecision of volatility indexes," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2014-031, Indira Gandhi Institute of Development Research, Mumbai, India.

  14. Shubho Roy & Renuka Sane & Susan Thomas, 2011. "An Economic policy and legal analysis of the Micro Finance Institutions (Development & Regulation) Bill, 2011," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2011-025, Indira Gandhi Institute of Development Research, Mumbai, India.

    Cited by:

    1. Renuka Sane & Susan Thomas, 2012. "What should regulation do in the field of micro-finance?," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2012-012, Indira Gandhi Institute of Development Research, Mumbai, India.

  15. Nidhi Aggarwal & Susan Thomas, 2011. "When do stock futures dominate price discovery," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2011-016, Indira Gandhi Institute of Development Research, Mumbai, India.

    Cited by:

    1. Zhang, Dan & Farnoosh, Arash & Lantz, Frédéric, 2022. "Does something change in the oil market with the COVID-19 crisis?," International Economics, Elsevier, vol. 169(C), pages 252-268.
    2. George J. Jiang & Yoshiki Shimizu & Cuyler Strong, 2020. "When trading options is not the only option: The effects of single‐stock futures trading on options market quality," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(9), pages 1398-1419, September.
    3. Aggarwal, Nidhi & Panchapagesan, Venkatesh & Thomas, Susan, 2023. "When is the order-to-trade ratio fee effective?," Journal of Financial Markets, Elsevier, vol. 62(C).
    4. Guntur Anjana Raju & Sanjeeta Shirodkar, 2020. "The Lead Lag Relationship between Spot and Futures Markets in the Energy Sector: Empirical Evidence from Indian Markets," International Journal of Energy Economics and Policy, Econjournals, vol. 10(5), pages 409-414.
    5. Madhusudan Karmakar & Sarveshwar Inani, 2019. "Information share and its predictability in the Indian stock market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(10), pages 1322-1343, October.
    6. Nidhi Aggarwal & Venkatesh Panchapagesan & Susan Thomas, 2019. "When do regulatory interventions work?," Working Papers id:13040, eSocialSciences.
    7. Gbenga Ibikunle & Vito Mollica & Qiao Sun, 2021. "Jumps in foreign exchange spot rates and the informational efficiency of currency forwards," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(8), pages 1201-1219, August.
    8. Sarveshwar Kumar Inani, 2017. "Price discovery in Indian stock index futures market: new evidence based on intraday data," International Journal of Indian Culture and Business Management, Inderscience Enterprises Ltd, vol. 14(1), pages 23-43.
    9. Edward Curran & Jack Hunt & Vito Mollica, 2020. "Trading protocols and price discovery: Implicit transaction costs in Indian single stock futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(11), pages 1793-1806, November.
    10. Jiang, George J. & Shimizu, Yoshiki & Strong, Cuyler, 2022. "Back to the futures: When short selling is banned," Journal of Financial Markets, Elsevier, vol. 61(C).

  16. Susan Thomas, 2010. "Call auctions : A solution to some difficulties in Indian finance," Finance Working Papers 23028, East Asian Bureau of Economic Research.

    Cited by:

    1. Agarwalla, Sobhesh Kumar & Jacob, Joshy & Pandey, Ajay, 2015. "Impact of the introduction of call auction on price discovery: Evidence from the Indian stock market using high-frequency data," International Review of Financial Analysis, Elsevier, vol. 39(C), pages 167-178.
    2. Rajesh Acharya & Vishal Gaikwad, 2014. "Pre-open call auction and price discovery: Evidence from India," Cogent Economics & Finance, Taylor & Francis Journals, vol. 2(1), pages 1-11, December.
    3. Nidhi Aggarwal & Susan Thomas, 2011. "When do stock futures dominate price discovery," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2011-016, Indira Gandhi Institute of Development Research, Mumbai, India.
    4. Nidhi Aggarwal & Susan Thomas, 2014. "The causal impact of algorithmic trading on market quality," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2014-023, Indira Gandhi Institute of Development Research, Mumbai, India.

  17. Susan Thomas, 1995. "Heteroscedasticity models on the BSE," Finance 9507007, University Library of Munich, Germany.

    Cited by:

    1. Amir Rafique, 2011. "Comparing the Leverage Effect of Different Frequencies of Stock Returns in an Emerging Market: A Case Study of Pakistan," Information Management and Business Review, AMH International, vol. 3(6), pages 283-288.
    2. Amir Rafique, 2011. "Comparing the Volatility Clustering Of Different Frequencies of Stock Returns in an Emerging Market: A Case Study of Pakistan," Journal of Economics and Behavioral Studies, AMH International, vol. 3(6), pages 332-336.
    3. Stuart Locke & Kartick Gupta, 2009. "Applicability of Contrarian Strategy in the Bombay Stock Exchange," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 8(2), pages 165-189, May.
    4. M. Kabir Hassan & Anisul M. Islam & Syed Abul Basher, 2000. "Market Efficiency, Time-Varying Volatility and Equity Returns in Bangladesh Stock Market," Working Papers 2002_6, York University, Department of Economics, revised Jun 2002.

Articles

  1. Nidhi Aggarwal & Susan Thomas, 2019. "When stock futures dominate price discovery," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(3), pages 263-278, March.
    See citations under working paper version above.
  2. Sane Renuka & Thomas Susan, 2016. "The Real Cost of Credit Constraints: Evidence from Micro-finance," The B.E. Journal of Economic Analysis & Policy, De Gruyter, vol. 16(1), pages 151-183, January.
    See citations under working paper version above.
  3. Renuka Sane & Susan Thomas, 2015. "In Search of Inclusion: Informal Sector Participation in a Voluntary, Defined Contribution Pension System," Journal of Development Studies, Taylor & Francis Journals, vol. 51(10), pages 1409-1424, October.
    See citations under working paper version above.
  4. Monika Halan & Renuka Sane & Susan Thomas, 2014. "The case of the missing billions: estimating losses to customers due to mis-sold life insurance policies," Journal of Economic Policy Reform, Taylor and Francis Journals, vol. 17(4), pages 285-302, October.

    Cited by:

    1. Malhotra, Shefali & Patnaik, Ila & Roy, Shubho & Shah, Ajay, 2018. "Fair play in Indian Health Insurance," Working Papers 18/228, National Institute of Public Finance and Policy.
    2. Saibal Ghosh, 2020. "Access to and use of finance in India: does religion matter?," Indian Economic Review, Springer, vol. 55(1), pages 67-92, June.
    3. Stefan J. Vella & Simon Grima & Eleftherios I. Thalassinos, 2020. "The Impact and Challenges of the Insurance Distribution Directive (IDD) on Maltese Insurance Undertakings," International Journal of Finance, Insurance and Risk Management, International Journal of Finance, Insurance and Risk Management, vol. 10(1), pages 120-134.
    4. Renuka Sane & Susan Thomas, 2014. "The way forward for India's National Pension System," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2014-022, Indira Gandhi Institute of Development Research, Mumbai, India.
    5. Halan, Monika & Sane, Renuka, 2017. "Regulating consumer finance: Do disclosures matter? The case of life insurance," Working Papers 17/212, National Institute of Public Finance and Policy.
    6. Reurink, Arjan, 2016. "Financial fraud: A literature review," MPIfG Discussion Paper 16/5, Max Planck Institute for the Study of Societies.
    7. Ajay Shah, 2023. "The journey of Indian finance," Working Papers 25, xKDR.
    8. Renuka Sane, 2019. "The Way Forward for Personal Insolvency in the Indian Insolvency and Bankruptcy Code," Working Papers id:12987, eSocialSciences.
    9. Renuka Sane, 2018. "Stock Market Trading in the Aftermath of an Accounting Scandal," Working Papers id:12835, eSocialSciences.
    10. Sane, Renuka & Halan, Monika, 2017. "Misled and mis-sold: financial misbehaviour in retail banks?," Journal of Comparative Economics, Elsevier, vol. 45(3), pages 429-444.
    11. Rashmi Baura & Renuka Sane, 2014. "Repayment in microfinance: The Role of financial literacy and caste," Discussion Papers 14-06, Indian Statistical Institute, Delhi.
    12. Chul Choi, 2024. "The Microstructure of Mis-Selling: Financial Investment Markets and Regulation in Korea," Academic Journal of Interdisciplinary Studies, Richtmann Publishing Ltd, vol. 13, January.

  5. Rohini Grover & Susan Thomas, 2012. "Liquidity Considerations in Estimating Implied Volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 32(8), pages 714-741, August.
    See citations under working paper version above.
  6. Susan Thomas & Mandira Sarma & Ajay Shah, 2003. "Selection of Value-at-Risk models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 22(4), pages 337-358.

    Cited by:

    1. Nieto, María Rosa & Ruiz Ortega, Esther, 2008. "Measuring financial risk : comparison of alternative procedures to estimate VaR and ES," DES - Working Papers. Statistics and Econometrics. WS ws087326, Universidad Carlos III de Madrid. Departamento de Estadística.
    2. Reboredo, Juan C., 2013. "Is gold a safe haven or a hedge for the US dollar? Implications for risk management," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 2665-2676.
    3. Marcin Faldzinski & Magdalena Osinska, 2016. "Volatility estimators in econometric analysis of risk transfer on capital markets," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 16, pages 21-35.
    4. Chiu, Yen-Chen & Chuang, I-Yuan & Lai, Jing-Yi, 2010. "The performance of composite forecast models of value-at-risk in the energy market," Energy Economics, Elsevier, vol. 32(2), pages 423-431, March.
    5. Louzis, Dimitrios P. & Xanthopoulos-Sisinis, Spyros & Refenes, Apostolos P., 2011. "Are realized volatility models good candidates for alternative Value at Risk prediction strategies?," MPRA Paper 30364, University Library of Munich, Germany.
    6. Abad, Pilar & Benito, Sonia, 2013. "A detailed comparison of value at risk estimates," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 258-276.
    7. Emrah Altun & Huseyin Tatlidil & Gamze Ozel & Saralees Nadarajah, 2018. "Does the Assumption on Innovation Process Play an Important Role for Filtered Historical Simulation Model?," JRFM, MDPI, vol. 11(1), pages 1-13, January.
    8. Georgios Fatouros & Georgios Makridis & Dimitrios Kotios & John Soldatos & Michael Filippakis & Dimosthenis Kyriazis, 2023. "DeepVaR: a framework for portfolio risk assessment leveraging probabilistic deep neural networks," Digital Finance, Springer, vol. 5(1), pages 29-56, March.
    9. Anastassios A. Drakos & Georgios P. Kouretas & Leonidas P. Zarangas, 2010. "Forecasting financial volatility of the Athens stock exchange daily returns: an application of the asymmetric normal mixture GARCH model," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(4), pages 331-350.
    10. Christopher F Baum & Paola Zerilli & Liyuan Chen, 2018. "Stochastic volatility, jumps and leverage in energy and stock markets: evidence from high frequency data," Boston College Working Papers in Economics 952, Boston College Department of Economics, revised 29 May 2019.
    11. Nomikos, Nikos & Andriosopoulos, Kostas, 2012. "Modelling energy spot prices: Empirical evidence from NYMEX," Energy Economics, Elsevier, vol. 34(4), pages 1153-1169.
    12. Juan Reboredo & José Matías & Raquel Garcia-Rubio, 2012. "Nonlinearity in Forecasting of High-Frequency Stock Returns," Computational Economics, Springer;Society for Computational Economics, vol. 40(3), pages 245-264, October.
    13. Liu, Hung-Chun & Chiang, Shu-Mei & Cheng, Nick Ying-Pin, 2012. "Forecasting the volatility of S&P depositary receipts using GARCH-type models under intraday range-based and return-based proxy measures," International Review of Economics & Finance, Elsevier, vol. 22(1), pages 78-91.
    14. Reboredo, Juan C. & Rivera-Castro, Miguel A., 2014. "Gold and exchange rates: Downside risk and hedging at different investment horizons," International Review of Economics & Finance, Elsevier, vol. 34(C), pages 267-279.
    15. Hung, Jui-Cheng & Lee, Ming-Chih & Liu, Hung-Chun, 2008. "Estimation of value-at-risk for energy commodities via fat-tailed GARCH models," Energy Economics, Elsevier, vol. 30(3), pages 1173-1191, May.
    16. Xuehai Zhang, 2019. "Value at Risk and Expected Shortfall under General Semi-parametric GARCH models," Working Papers CIE 126, Paderborn University, CIE Center for International Economics.
    17. Laura Garcia-Jorcano & Alfonso Novales, 2019. "A dominance approach for comparing the performance of VaR forecasting models," Documentos de Trabajo del ICAE 2019-23, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    18. Robert Buch & Stefanie Grimm & Ralf Korn & Ivo Richert, 2023. "Estimating the Value-at-Risk by Temporal VAE," Risks, MDPI, vol. 11(5), pages 1-26, April.
    19. Toktam Valizadeh & Saeid Rezakhah & Ferdous Mohammadi Basatini, 2021. "On time‐varying amplitude HGARCH model," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2538-2547, April.
    20. Fiszeder, Piotr & Fałdziński, Marcin & Molnár, Peter, 2019. "Range-based DCC models for covariance and value-at-risk forecasting," Journal of Empirical Finance, Elsevier, vol. 54(C), pages 58-76.
    21. Su, Jung-Bin & Hung, Jui-Cheng, 2011. "Empirical analysis of jump dynamics, heavy-tails and skewness on value-at-risk estimation," Economic Modelling, Elsevier, vol. 28(3), pages 1117-1130, May.
    22. Halkos, George & Tsirivis, Apostolos, 2019. "Using Value-at-Risk for effective energy portfolio risk management," MPRA Paper 91674, University Library of Munich, Germany.
    23. Louzis, Dimitrios P. & Xanthopoulos-Sisinis, Spyros & Refenes, Apostolos P., 2011. "The role of high frequency intra-daily data, daily range and implied volatility in multi-period Value-at-Risk forecasting," MPRA Paper 35252, University Library of Munich, Germany.
    24. Ajay Shah, 2023. "The journey of Indian finance," Working Papers 25, xKDR.
    25. Cheng, Wan-Hsiu & Hung, Jui-Cheng, 2011. "Skewness and leptokurtosis in GARCH-typed VaR estimation of petroleum and metal asset returns," Journal of Empirical Finance, Elsevier, vol. 18(1), pages 160-173, January.
    26. Laura Garcia‐Jorcano & Alfonso Novales, 2021. "Volatility specifications versus probability distributions in VaR forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(2), pages 189-212, March.
    27. Nieto, Maria Rosa & Ruiz, Esther, 2016. "Frontiers in VaR forecasting and backtesting," International Journal of Forecasting, Elsevier, vol. 32(2), pages 475-501.
    28. Christian T. Brownlees & Giampiero M. Gallo, 2007. "Comparison of Volatility Measures: a Risk Management Perspective," Econometrics Working Papers Archive wp2007_15, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
    29. Reboredo, Juan C., 2013. "Modeling EU allowances and oil market interdependence. Implications for portfolio management," Energy Economics, Elsevier, vol. 36(C), pages 471-480.
    30. Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009. "A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk," CIRJE F-Series CIRJE-F-644, CIRJE, Faculty of Economics, University of Tokyo.
    31. Alexander, Carol & Lazar, Emese & Stanescu, Silvia, 2013. "Forecasting VaR using analytic higher moments for GARCH processes," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 36-45.
    32. Buczyński Mateusz & Chlebus Marcin, 2018. "Comparison of Semi-Parametric and Benchmark Value-At-Risk Models in Several Time Periods with Different Volatility Levels," Financial Internet Quarterly (formerly e-Finanse), Sciendo, vol. 14(2), pages 67-82, June.
    33. Pilar Abad Romero & Sonia Benito Muela & Miguel Angel Sánchez Granero & Carmen López, 2013. "Evaluating the performance of the skewed distributions to forecast Value at Risk in the Global Financial Crisis," Documentos de Trabajo del ICAE 2013-40, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    34. Halkos, George E. & Tsirivis, Apostolos S., 2019. "Value-at-risk methodologies for effective energy portfolio risk management," Economic Analysis and Policy, Elsevier, vol. 62(C), pages 197-212.
    35. Brenda Castillo-Brais & Ángel León & Juan Mora, 2022. "Estimating Value-at-Risk and Expected Shortfall: Do Polynomial Expansions Outperform Parametric Densities?," Mathematics, MDPI, vol. 10(22), pages 1-17, November.
    36. Wang Yu-Jen & Chung Huimin & Guo Jia-Hau, 2013. "A value-at-risk analysis of carry trades using skew-GARCH models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(4), pages 439-459, September.
    37. Chrétien, Stéphane & Coggins, Frank, 2010. "Performance and conservatism of monthly FHS VaR: An international investigation," International Review of Financial Analysis, Elsevier, vol. 19(5), pages 323-333, December.
    38. Kakade, Kshitij & Jain, Ishan & Mishra, Aswini Kumar, 2022. "Value-at-Risk forecasting: A hybrid ensemble learning GARCH-LSTM based approach," Resources Policy, Elsevier, vol. 78(C).
    39. Cifter, Atilla & Ozun, Alper, 2007. "The Predictive Performance of Asymmetric Normal Mixture GARCH in Risk Management: Evidence from Turkey," MPRA Paper 2489, University Library of Munich, Germany.
    40. Jung-Bin Su & Jui-Cheng Hung, 2018. "The Value-At-Risk Estimate of Stock and Currency-Stock Portfolios’ Returns," Risks, MDPI, vol. 6(4), pages 1-42, November.
    41. Kilic, Ekrem, 2006. "Violation duration as a better way of VaR model evaluation : evidence from Turkish market portfolio," MPRA Paper 5610, University Library of Munich, Germany.
    42. Reboredo, Juan C. & Ugando, Mikel, 2014. "US dollar exchange rate and food price dependence: Implications for portfolio risk management," The North American Journal of Economics and Finance, Elsevier, vol. 30(C), pages 72-89.
    43. Xuehai Zhang, 2019. "Value at Risk and Expected Shortfall under General Semi-parametric GARCH models," Working Papers CIE 123, Paderborn University, CIE Center for International Economics.
    44. Arena, Marika & Arnaboldi, Michela & Azzone, Giovanni, 2010. "The organizational dynamics of Enterprise Risk Management," Accounting, Organizations and Society, Elsevier, vol. 35(7), pages 659-675, October.
    45. Liyuan Chen & Paola Zerilli & Christopher F Baum, 2018. "Leverage effects and stochastic volatility in spot oil returns: A Bayesian approach with VaR and CVaR applications," Boston College Working Papers in Economics 953, Boston College Department of Economics.
    46. Panos Pouliasis & Ioannis Kyriakou & Nikos Papapostolou, 2017. "On equity risk prediction and tail spillovers," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 22(4), pages 379-393, October.
    47. Abounoori, Esmaiel & Elmi, Zahra (Mila) & Nademi, Younes, 2016. "Forecasting Tehran stock exchange volatility; Markov switching GARCH approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 445(C), pages 264-282.
    48. Louzis, Dimitrios P. & Xanthopoulos-Sisinis, Spyros & Refenes, Apostolos P., 2014. "Realized volatility models and alternative Value-at-Risk prediction strategies," Economic Modelling, Elsevier, vol. 40(C), pages 101-116.
    49. Ramzi Nekhili & Jahangir Sultan, 2020. "Jump Driven Risk Model Performance in Cryptocurrency Market," IJFS, MDPI, vol. 8(2), pages 1-18, April.
    50. Mateusz Pipien, 2006. "The Predictive Value at Risk and Capital Requirements for Market Risk. The case of PLN/USD Exchange Rate," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 7, pages 179-188.
    51. Nupur Moni Das & Bhabani Sankar Rout & Yashmin Khatun, 2023. "Does G7 Engross the Shock of COVID 19: An Assessment with Market Volatility?," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(4), pages 795-816, December.
    52. Sajjad Rasoul & Coakley Jerry & Nankervis John C, 2008. "Markov-Switching GARCH Modelling of Value-at-Risk," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(3), pages 1-31, September.
    53. Arian, Hamid & Moghimi, Mehrdad & Tabatabaei, Ehsan & Zamani, Shiva, 2022. "Encoded Value-at-Risk: A machine learning approach for portfolio risk measurement," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 202(C), pages 500-525.
    54. Christian T. Brownlees & Giampiero Gallo, 2007. "Volatility Forecasting Using Explanatory Variables and Focused Selection Criteria," Econometrics Working Papers Archive wp2007_04, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
    55. Benjamin Beckers & Helmut Herwartz & Moritz Seidel, 2017. "Risk forecasting in (T)GARCH models with uncorrelated dependent innovations," Quantitative Finance, Taylor & Francis Journals, vol. 17(1), pages 121-137, January.
    56. Andrey Yu. Nevela & Victor A. Lapshin, 2022. "Model Risk and Basic Approaches to its Estimation on Example of Market Risk Models," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 2, pages 91-112, April.
    57. Biswajit Patra & Puja Padhi, 2015. "Backtesting of Value at Risk Methodology: Analysis of Banking Shares in India," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 9(3), pages 254-277, August.
    58. Fiszeder, Piotr & Fałdziński, Marcin & Molnár, Peter, 2023. "Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 308-321.
    59. Laura Garcia-Jorcano & Lidia Sanchis-Marco, 2023. "Measuring Systemic Risk Using Multivariate Quantile-Located ES Models," Journal of Financial Econometrics, Oxford University Press, vol. 21(1), pages 1-72.
    60. Jacek Osiewalski & Anna Pajor, 2010. "Bayesian Value-at-Risk for a Portfolio: Multi- and Univariate Approaches Using MSF-SBEKK Models," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 2(4), pages 253-277, September.
    61. Jammazi, Rania & Reboredo, Juan C., 2016. "Dependence and risk management in oil and stock markets. A wavelet-copula analysis," Energy, Elsevier, vol. 107(C), pages 866-888.
    62. Barbara Będowska-Sójka, 2018. "Is intraday data useful for forecasting VaR? The evidence from EUR/PLN exchange rate," Risk Management, Palgrave Macmillan, vol. 20(4), pages 326-346, November.
    63. Sebastian Letmathe & Yuanhua Feng & André Uhde, 2021. "Semiparametric GARCH models with long memory applied to Value at Risk and Expected Shortfall," Working Papers CIE 141, Paderborn University, CIE Center for International Economics.
    64. Joanna Górka, 2010. "The Sign RCA Models: Comparing Predictive Accuracy of VaR Measures," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 10, pages 61-80.
    65. Soumya Guha Deb, 2019. "A VaR-based Downside Risk Analysis of Indian Equity Mutual Funds in the Pre- and Post-global Financial Crisis Periods," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 18(2), pages 210-236, August.
    66. Chiu, Yen-Chen & Chuang, I-Yuan, 2016. "The performance of the switching forecast model of value-at-risk in the Asian stock markets," Finance Research Letters, Elsevier, vol. 18(C), pages 43-51.
    67. Evangelos Vasileiou, 2022. "Inaccurate Value at Risk Estimations: Bad Modeling or Inappropriate Data?," Computational Economics, Springer;Society for Computational Economics, vol. 59(3), pages 1155-1171, March.
    68. Kostas Andriosopoulos & Nikos Nomikos, 2012. "Risk management in the energy markets and Value-at-Risk modelling: a Hybrid approach," RSCAS Working Papers 2012/47, European University Institute.
    69. Yuanhua Feng & Jan Beran & Sebastian Letmathe & Sucharita Ghosh, 2020. "Fractionally integrated Log-GARCH with application to value at risk and expected shortfall," Working Papers CIE 137, Paderborn University, CIE Center for International Economics.

Chapters

    Sorry, no citations of chapters recorded.

Books

  1. Susan Thomas (ed.), 2022. "Insolvency and Bankruptcy Reforms in India," India Studies in Business and Economics, Springer, number 978-981-16-0854-4, December.

    Cited by:

    1. Ajay Shah, 2023. "The journey of Indian finance," Working Papers 25, xKDR.

  2. Shah, Ajay & Thomas, Susan & Gorham, Michael, 2008. "Indian Financial Markets," Elsevier Monographs, Elsevier, edition 1, number 9780123742513.

    Cited by:

    1. Madhusudan Karmakar, 2007. "Asymmetric Volatility and Risk-return Relationship in the Indian Stock Market," South Asia Economic Journal, Institute of Policy Studies of Sri Lanka, vol. 8(1), pages 99-116, January.
    2. Susan Thomas, 2010. "Call auctions : A solution to some difficulties in Indian finance," Finance Working Papers 23028, East Asian Bureau of Economic Research.
    3. Nath, Golaka, 2012. "Indian corporate bonds market –an analytical prospective," MPRA Paper 38992, University Library of Munich, Germany.
    4. Krishnan, Kaveri & Mukherji, Arnab & Basu, Sankarshan, 2020. "Market responses to increased transparency: An Indian narrative," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 663-677.
    5. Patnaik, Ila & Shah, Ajay, 2010. "Why India choked when Lehman broke," Working Papers 10/63, National Institute of Public Finance and Policy.
    6. Nidhi Aggarwal & Susan Thomas, 2011. "When do stock futures dominate price discovery," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2011-016, Indira Gandhi Institute of Development Research, Mumbai, India.
    7. Gaurav Singh Chauhan, 2019. "Performance attribution of mutual funds in India: outperformance or mis‐representation?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 59(S1), pages 383-409, April.
    8. Dayanand Arora & Francis Xavier Rathinam, 2011. "OTC derivatives market in India: recent regulatory initiatives and open issues for market stability and development," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 4(2), pages 235-261, April.
    9. Kamat, Manoj & Kamat, Manasvi, 2007. "The New Information Age & the Stock Market Growth Puzzle," MPRA Paper 5158, University Library of Munich, Germany.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Rankings

This author is among the top 5% authors according to these criteria:
  1. Number of Downloads through RePEc Services over the past 12 months
  2. Number of Downloads through RePEc Services over the past 12 months, Weighted by Number of Authors

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 32 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-MST: Market Microstructure (8) 2010-07-03 2010-07-03 2011-04-09 2011-09-05 2012-05-15 2014-09-25 2019-07-08 2022-07-11. Author is listed
  2. NEP-MFD: Microfinance (7) 2011-04-09 2011-10-22 2012-03-28 2012-06-05 2013-08-05 2016-09-04 2023-02-27. Author is listed
  3. NEP-BAN: Banking (6) 2012-03-28 2012-05-15 2012-06-05 2013-08-05 2022-09-26 2023-02-27. Author is listed
  4. NEP-REG: Regulation (4) 2011-04-09 2011-10-22 2012-03-28 2019-07-08
  5. NEP-CWA: Central and Western Asia (3) 2013-08-05 2021-03-01 2021-12-20
  6. NEP-HME: Heterodox Microeconomics (3) 2012-06-05 2013-08-05 2023-02-27
  7. NEP-LAW: Law and Economics (3) 2016-03-06 2016-07-09 2024-01-01
  8. NEP-AGE: Economics of Ageing (2) 2013-11-16 2014-09-25
  9. NEP-AGR: Agricultural Economics (2) 2014-07-13 2021-03-01
  10. NEP-BIG: Big Data (2) 2021-10-18 2023-01-30
  11. NEP-CFN: Corporate Finance (2) 2016-07-09 2017-12-11
  12. NEP-DEV: Development (2) 2012-03-28 2021-03-01
  13. NEP-FDG: Financial Development and Growth (2) 2021-03-01 2023-02-27
  14. NEP-IAS: Insurance Economics (2) 2013-04-20 2016-09-04
  15. NEP-MAC: Macroeconomics (2) 2021-03-01 2021-10-18
  16. NEP-SEA: South East Asia (2) 2022-12-12 2023-11-13
  17. NEP-ACC: Accounting and Auditing (1) 2022-09-26
  18. NEP-CBA: Central Banking (1) 2012-05-15
  19. NEP-CIS: Confederation of Independent States (1) 2011-10-22
  20. NEP-CTA: Contract Theory and Applications (1) 2023-10-02
  21. NEP-ENT: Entrepreneurship (1) 2017-12-11
  22. NEP-FLE: Financial Literacy and Education (1) 2023-02-27
  23. NEP-FOR: Forecasting (1) 2012-05-15
  24. NEP-GEO: Economic Geography (1) 2021-10-18
  25. NEP-IUE: Informal and Underground Economics (1) 2013-11-16
  26. NEP-RMG: Risk Management (1) 2022-09-26
  27. NEP-SBM: Small Business Management (1) 2017-12-11
  28. NEP-URE: Urban and Real Estate Economics (1) 2021-03-01

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Susan Thomas should log into the RePEc Author Service.

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.