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Effectiveness of technical trading rules
(Indian Institute of Management Ahmedabad, 2003)
Stock market analysts have developed a number of trading rules that help traders decide their future strategy with respect to a particular stock or portfolio of stocks. Technical forecasting relies on past data to make a ...
Volatility Modeling, Seasonality and Risk-Return Relationship in GARCH-in-Mean Framework: The Case of Indian Stock and Commodity Markets
(2009-07-30)
This paper is based on an empirical study of volatility, risk premium and seasonality in risk-return relation of the Indian stock and commodity markets. This investigation is conducted by means of the General Autoregressive ...
Interdependence structure of Indian financial markets: an empirical investigation
(2000)
The financial sector reforms in India have ushered in wide ranging changes in the financial markets in India. Beginning in the mid-nineties, many of the barriers that had hitherto restricted the flow of funds across the ...
Investigation into optimal portfolio allocation of stocks having non-normal returns
(Indian Institute of Management Ahmedabad, 2005)
Abstract
Introduction and context description:
According to the traditional asset pricing methods the returns of stocks are assumed to be normally distributed with mean and standard deviation in these cases the mean and ...
Post-liberalization changes in financing pattern of the Indian corporate sector due to stock market development
(Indian Institute of Management Ahmedabad, 2004)
Study of the fractal structure in the India stock market
(Indian Institute of Management Ahmedabad, 2002)
Construction of the Indian implied volatility index
(Indian Institute of Management Ahmedabad, 2003)
Modeling stock market returns using heavy tailed distributions
(Indian Institute of Management Ahmedabad, 2006)
Stock market returns have been assumed to be normal is several financial models including Black - Scholes and almost every other model that tries to capture the stochastic nature of the stock movement.
Though such an ...
Investigation into optimal portfolio allocation of stocks having non - normal returns
(Indian Institute of Management Ahmedabad, 2005)
Abstract:
1) Introduction and context description:
According to the traditional asset pricing methods, the returns of stocks are assumed to be normally distributed with mean jx and standard deviation o. In these cases, ...