Browsing by Author "Bag, Dinabandhu"
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Corporate Bond Yield Approximation Using Piece Wise cubic Spine And Residuals Estimation With Liquidity Factors
Bag, Dinabandhu (Indian Institute of Management, Ahmedabad, 2015)Corporate bond yields are not easy to approximate on account of their limited trading frequency and irregularity in issuance. The corporate bond market in India demonstrates poor investor participation. The purpose of this ... -
Exploring the impact of Integration in Corporate Bond Markets using Multiple Regression with Error Correction
Panda, Ruchira; Bag, Dinabandhu (Indian Institute of Management, Ahmedabad, 2015)This paper relates to study of bond market integration by using yield based measures of integration. It also provides insight into the impact of variation in yield which caused by developments in related markets and ... -
Pre-Opening Call Auction of Stock Price Discovery using Multivariate Lognormal Montecarlo Simulation
Goel, Saurabh; Bag, Dinabandhu (Indian Institute of Management, Ahmedabad, 2015)Market microstructure design and testing of efficient market hypotheses have been of long interest in security research. Market microstructure discussions also include the impact of call auctions in price discovery and ...