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Susan Thomas

Personal Details

First Name:Susan
Middle Name:
Last Name:Thomas
Suffix:
RePEc Short-ID:pth170
http://www.igidr.ac.in/faculty/susant

Affiliation

Indira Gandhi Institute of Development Research (IGIDR)

Mumbai, India
http://www.igidr.ac.in/

: (022) 840 0919/20/21
(022) 840 2752/2026
Gen. A. K. Vaidya Marg, Goregaon (E), Mumbai 400065
RePEc:edi:igidrin (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Books

Working papers

  1. Aggarwal, Nidhi & Susan Thomas, 2017. "Response of firms to listing: Evidence from SME exchanges," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2017-022, Indira Gandhi Institute of Development Research, Mumbai, India.
  2. Rajeswari Sengupta & Anjali Sharma & Susan Thomas, 2016. "Evolution of the insolvency framework for non-financial firms in India," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2016-018, Indira Gandhi Institute of Development Research, Mumbai, India.
  3. Renuka Sane & Susan Thomas, 2016. "From participation to repurchase: Low income households and micro-insurance," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2016-019, Indira Gandhi Institute of Development Research, Mumbai, India.
  4. Siva Ramann & Renuka Sane & Susan Thomas, 2015. "Reforming personal insolvency law in India," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2015-035, Indira Gandhi Institute of Development Research, Mumbai, India.
  5. 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.
  6. 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.
  7. 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.
  8. Renuka Sane & Susan Thomas, 2013. "In search of inclusion: informal sector participation in a voluntary, defined contribution pension system," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2013-022, Indira Gandhi Institute of Development Research, Mumbai, India.
  9. 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.
  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.
  11. 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.
  12. 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.
  13. 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.
  14. 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.
  15. 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.
  16. 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.
  17. 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.
  18. 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.
  19. 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.
  20. Susan Thomas, 1995. "Heteroscedasticity models on the BSE," Finance 9507007, EconWPA.

Articles

  1. 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.
  2. 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.
  3. 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 & Francis Journals, vol. 17(4), pages 285-302, December.
  4. 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.
  5. 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.

Books

  1. 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. 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. Interesting readings
      by Ajay Shah in Ajay Shah's blog on 2012-05-15 17:33:00
    2. 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. 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. Mis-selling: from impressions to evidence
      by Ajay Shah in Citizen Economists on 2013-05-02 00:00:40
    3. Mis-selling: from impressions to evidence
      by Ajay Shah in Citizen Economists on 2013-05-07 00:00:40
    4. Implications of the Pensions Act
      by Ajay Shah in Ajay Shah's blog on 2013-09-04 19:19:00
  3. 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
  4. 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. Interesting Readings for August 23, 2011
      by Ajay Shah in Citizen Economists on 2011-08-23 21:40:50
    3. Difficulties with PFRDA's Draft Aggregator Regulations, 2014
      by Ajay Shah in Ajay Shah's blog on 2014-07-02 09:43:00
  5. 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. The rupee: Frequently asked questions
      by Ajay Shah in Ajay Shah's blog on 2011-12-02 00:26:00
    2. Interesting readings
      by Ajay Shah in Ajay Shah's blog on 2011-05-20 09:33:00
    3. 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
    4. 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
    5. The rupee: Frequently asked questions
      by Ajay Shah in Citizen Economists on 2011-12-02 20:50:18
    6. Interesting Readings for May 20, 2011
      by Ajay Shah in Citizen Economists on 2011-05-20 22:20:24
  6. 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. India's privatisation problem
      by Ajay Shah in Ajay Shah's blog on 2011-06-11 00:47:00
    2. India’s Privatisation Problem
      by Ajay Shah in Citizen Economists on 2011-06-13 16:40:34
    3. Obtaining liquidity for illiquid stocks
      by Ajay Shah in Ajay Shah's blog on 2013-04-06 17:24:00
    4. Obtaining liquidity for illiquid stocks
      by Ajay Shah in Citizen Economists on 2013-04-08 22:00:45

Working papers

  1. Rajeswari Sengupta & Anjali Sharma & Susan Thomas, 2016. "Evolution of the insolvency framework for non-financial firms in India," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2016-018, Indira Gandhi Institute of Development Research, Mumbai, India.

    Cited by:

    1. Sreyan Chatterjee & Gausia Shaikh & Bhargavi Zaveri, 2017. "Watching India's Insolvency Reforms: A New Dataset of Insolvency Cases," Working Papers id:12105, eSocialSciences.
    2. C. Veeramani & Lakshmi A & Prachi Gupta, 2017. "Intensive and extensive margins of exports: What can India learn from China?," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2017-002, Indira Gandhi Institute of Development Research, Mumbai, India.

  2. 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. Raushan Kumar, 2017. "Price Discovery in Some Primary Commodity Markets in India," Economics Bulletin, AccessEcon, vol. 37(3), pages 1817-1829.

  3. 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. 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. Renuka Sane & Susan Thomas, 2013. "In search of inclusion: informal sector participation in a voluntary, defined contribution pension system," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2013-022, Indira Gandhi Institute of Development Research, Mumbai, India.

    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.

  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.

    Cited by:

    1. 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.
    2. El Euch Omar & Fukasawa Masaaki & Rosenbaum Mathieu, 2016. "The microstructural foundations of leverage effect and rough volatility," Papers 1609.05177, arXiv.org.

  6. 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.

  7. 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. 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.
    2. 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.
    3. 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.

  8. 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.

  9. 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.

    Cited by:

    1. 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.
    2. 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.
    3. 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.
    4. 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.
    5. Sangram Keshari Jena & Ashutosh Dash, 2015. "Is call auction efficient for better price discovery?," Asian Journal of Empirical Research, Asian Economic and Social Society, vol. 5(8), pages 102-113, August.

  10. Susan Thomas, 1995. "Heteroscedasticity models on the BSE," Finance 9507007, EconWPA.

    Cited by:

    1. 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. 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.
  2. 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 & Francis Journals, vol. 17(4), pages 285-302, December.

    Cited by:

    1. Reurink, Arjan, 2016. "Financial fraud: A literature review," MPIfG Discussion Paper 16/5, Max Planck Institute for the Study of Societies.
    2. 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.
    3. 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.
    4. 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.
    5. Rashmi Baura & Renuka Sane, 2014. "Repayment in microfinance: The Role of financial literacy and caste," Indian Statistical Institute, Planning Unit, New Delhi Discussion Papers 14-06, Indian Statistical Institute, New Delhi, India.
    6. 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.

  3. 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.
  4. 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. 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.
    2. 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.
    3. Nomikos, Nikos & Andriosopoulos, Kostas, 2012. "Modelling energy spot prices: Empirical evidence from NYMEX," Energy Economics, Elsevier, vol. 34(4), pages 1153-1169.
    4. 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.
    5. 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.
    6. Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009. "A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk," CARF F-Series CARF-F-159, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    7. 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.
    8. Joanna Górka, 2010. "The Sign RCA Models: Comparing Predictive Accuracy of VaR Measures," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 10, pages 61-80.
    9. 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.
    10. 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.
    11. 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.
    12. 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.
    13. 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.
    14. 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.
    15. 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.
    16. 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, CEJEME, vol. 2(4), pages 253-277, September.
    17. Nieto, María Rosa & Ruiz, 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.
    18. 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.
    19. Reboredo, Juan C., 2013. "Modeling EU allowances and oil market interdependence. Implications for portfolio management," Energy Economics, Elsevier, vol. 36(C), pages 471-480.
    20. 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.
    21. Atilla Çifter & Alper Özün, 2007. "The Predictive Performance of Asymmetric Normal Mixture GARCH in Risk Management: Evidence from Turkey," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, vol. 1(1), pages 7-34.
    22. 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.
    23. Christian T. Brownlees & Giampiero Gallo, 2008. "Comparison of Volatility Measures: a Risk Management Perspective," Econometrics Working Papers Archive wp2008_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
    24. 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.
    25. 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.
    26. 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.
    27. 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.
    28. Nieto, Maria Rosa & Ruiz, Esther, 2016. "Frontiers in VaR forecasting and backtesting," International Journal of Forecasting, Elsevier, vol. 32(2), pages 475-501.
    29. 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.
    30. 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.
    31. 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.
    32. 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".

Books

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

    Cited by:

    1. Nath, Golaka, 2012. "Indian corporate bonds market –an analytical prospective," MPRA Paper 38992, University Library of Munich, Germany.
    2. Patnaik, Ila & Shah, Ajay, 2010. "Why India Choked when Lehman Broke," India Policy Forum, National Council of Applied Economic Research, vol. 6(1), pages 39-72.
    3. Susan Thomas, 2010. "Call Auctions: A Solution to Some Difficulties in Indian Finance," Working Papers id:2597, eSocialSciences.

More information

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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 20 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-MFD: Microfinance (6) 2011-04-09 2011-10-22 2012-03-28 2012-06-05 2013-08-05 2016-09-04. Author is listed
  2. NEP-MST: Market Microstructure (6) 2010-07-03 2010-07-03 2011-04-09 2011-09-05 2012-05-15 2014-09-25. Author is listed
  3. NEP-BAN: Banking (4) 2012-03-28 2012-05-15 2012-06-05 2013-08-05
  4. NEP-REG: Regulation (3) 2011-04-09 2011-10-22 2012-03-28
  5. NEP-AGE: Economics of Ageing (2) 2013-11-16 2014-09-25
  6. NEP-CFN: Corporate Finance (2) 2016-07-09 2017-12-11
  7. NEP-HME: Heterodox Microeconomics (2) 2012-06-05 2013-08-05
  8. NEP-IAS: Insurance Economics (2) 2013-04-20 2016-09-04
  9. NEP-LAW: Law & Economics (2) 2016-03-06 2016-07-09
  10. NEP-AGR: Agricultural Economics (1) 2014-07-13
  11. NEP-CBA: Central Banking (1) 2012-05-15
  12. NEP-CIS: Confederation of Independent States (1) 2011-10-22
  13. NEP-CWA: Central & Western Asia (1) 2013-08-05
  14. NEP-DEV: Development (1) 2012-03-28
  15. NEP-ENT: Entrepreneurship (1) 2017-12-11
  16. NEP-FOR: Forecasting (1) 2012-05-15
  17. NEP-IUE: Informal & Underground Economics (1) 2013-11-16
  18. NEP-SBM: Small Business Management (1) 2017-12-11

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