Derivative trading and structural breaks in volatility in India: an ICSS approach
Researchers argue that ignoring the structural breaks in the time-series variance can cause significant upward biases in the degree of persistence in estimated GARCH models. Against this backdrop, the present study empirically examines the effect of stock futures on the underlying stock’s volatility...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
LLC "CPC "Business Perspectives"
2020-07-01
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| Series: | Investment Management & Financial Innovations |
| Subjects: | |
| Online Access: | https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/13726/IMFI_2020_02_Raju.pdf |