Zobrazeno 1 - 8
of 8
pro vyhledávání: '"Pratap Chandra Pati"'
Autor:
Pratap Chandra Pati
Publikováno v:
Finance Research Letters. 49:103084
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7035138c5d86eef12231c58aff17be08
https://doi.org/10.1016/j.frl.2022.103084
https://doi.org/10.1016/j.frl.2022.103084
Publikováno v:
The Quarterly Review of Economics and Finance. 74:336-346
This study examines whether the volatility index, a proxy for aggregate volatility risk, can be used as an additional factor in the standard asset pricing model for the Indian stock market after controlling for well-documented risk factors. This stud
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b83fadbf5ee549aad9cda70030d182f9
https://doi.org/10.1016/j.qref.2019.04.010
https://doi.org/10.1016/j.qref.2019.04.010
Publikováno v:
Applied Economics. 50:2552-2568
This study investigates the incremental information content of implied volatility index relative to the GARCH family models in forecasting volatility of the three Asia-Pacific stock markets, namely...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::422c5750bc133ca5beac011b8f97e5d8
https://doi.org/10.1080/00036846.2017.1403557
https://doi.org/10.1080/00036846.2017.1403557
Publikováno v:
Review of Financial Economics. 35:66-81
This study examines how the behavioural explanations, in particular loss aversion, can be used to explain the asymmetric volatility phenomenon by investigating the relationship between stock market returns and changes in investor perceptions of risk
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::9a786b1bae6d98b2459ec19987acc22a
https://doi.org/10.1016/j.rfe.2017.07.004
https://doi.org/10.1016/j.rfe.2017.07.004
Autor:
Pratap Chandra Pati
Publikováno v:
Applied Economics Letters. 25:674-680
This study examines the validity of Samuelson hypothesis and the mixture of distribution hypothesis to uncover time-to-maturity and trading volume as the sources of volatility in gold and copper fu...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::166769ce3450d2096b675a70d7872d02
https://doi.org/10.1080/13504851.2017.1355536
https://doi.org/10.1080/13504851.2017.1355536
Autor:
Prabina Rajib, Pratap Chandra Pati
Publikováno v:
Applied Economics Letters. 18:567-574
Using 5-min intraday transaction prices, this study investigates the relationship between the National Stock Exchange (NSE) S&P CNX Nifty futures and its underlying spot index in terms of both return and volatility. By applying Johansen–Juselius (J
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4352b89224b88400ee109633129ebc31
https://doi.org/10.1080/13504851003742442
https://doi.org/10.1080/13504851003742442
Autor:
Prabina Rajib, Pratap Chandra Pati
Publikováno v:
The Journal of Risk Finance. 11:296-309
PurposeThe purpose of this paper is to estimate time‐varying conditional volatility, and examine the extent to which trading volume, as a proxy for information arrival, explain the persistence of futures market volatility using National Stock Excha
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::80ce5a42ce0ac3b8cf801c615ee83824
https://doi.org/10.1108/15265941011043666
https://doi.org/10.1108/15265941011043666
Autor:
Pratap Chandra Pati
Publikováno v:
SSRN Electronic Journal.
This study attempts to examine the volatility dynamics and investigate the Samuelson Maturity Hypothesis, a source of non-stationary in volatility of futures price in the context of Indian Futures Market, by taking Nifty Index Futures traded on NSE.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6d00402ad9c18fb0a173d3daee25f02e
https://doi.org/10.2139/ssrn.962319
https://doi.org/10.2139/ssrn.962319