Intraday return dynamics and volatility spillovers between NSE S&P CNX Nifty stock index and stock index futures

Applied Economics Letters

Volumn 18, Issue 6, 2011, Pages 567-574

  Pati, Pratap Chandra ^a   Rajib, Prabina ^b  

^a INDIAN SCHOOL OF BUSINESS   (India)

^b INDIAN INSTITUTE OF TECHNOLOGY   (India)

Author keywords

[No Author keywords available]

Indexed keywords

COINTEGRATION ANALYSIS; ERROR ANALYSIS; GRANGER CAUSALITY TEST; SPILLOVER EFFECT; STOCHASTICITY; STOCK MARKET;

EID: 79953855936     PISSN: 13504851     EISSN: 14664291     Source Type: Journal    
DOI: 10.1080/13504851003742442     Document Type: Article

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