Browsing by Subject "NIFTY"
Now showing items 1-4 of 4
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Application of extreme value theory (EVT) to the measurement of risk and asset allocation
(Indian Institute of Management Ahmedabad, 2005)This paper is an attempt to understand the application of Extreme value theory to risk management. We attempt to model extreme stock market returns (the NIFTY stock index in particular) as a Generalized Pareto Distribution. ... -
Construction of volatility index for NSE
(Indian Institute of Management Ahmedabad, 2005)Abstract: 1) Introduction and context description: This IP seeks to construct Volatility Index (VIX) for Indian Stock markets which will help investors in taking bearish/ bullish position, enable traders to take positions ... -
Daily volatility forecasting methodologies: application and extensions
(Indian Institute of Management Ahmedabad, 2006)Abstract Volatility plays a crucial role in portfolio management as well as derivatives pricing Reliable estimates of volatility are essential for trading strategies and Value at Risk calculations . Moreover even in ... -
Time-series data mining to predict the NIFTY composite index
(Indian Institute of Management, Ahmedabad, 2006)