Futures trading and commodity spot market volatility: Empirical evidence on selected commodities in Indian market
From MaRDI portal
Publication:3119629
DOI10.3233/RDA-140100zbMath1409.91249OpenAlexW1599182333MaRDI QIDQ3119629
T. Mallikarjunappa, Masoud Parsa
Publication date: 12 March 2019
Published in: Risk and Decision Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3233/rda-140100
trade volumevolatilityGARCH modelsVAR modelopen interestcommodity futures tradingcommodity spot marketSEM model
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)
