Browsing by Subject "Volatility spillover"
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Price discovery in emerging commodity markets: Spot and futures relationship in indian commodity futures market
(Bogazici Universitesi, 2011)The price discovery role of the Indian commodity futures markets is investigated through return and volatility spillovers between spot and futures prices. For agricultural commodities, the price discovery takes place in ... -
Ripples on financial networks
(Indian Institute of Management Ahmedabad, 2019)In the financial markets, asset returns exhibit collective dynamics masking individual impacts on the rest of the market. Hence, it is still an open problem to identify how shocks originating from one particular asset ...