Dynamic regime switching behaviour between cash and futures market: A case of interest rates in India
This study examines the Markov dynamic regime switching behaviour between cash and futures market in respect to interest rate in India. The study uses daily data of volumes, weighted average price, weighted average yield for cash market and total values, open interest, settlement price from 21st Jan...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
General Association of Economists from Romania
2017-12-01
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| Series: | Theoretical and Applied Economics |
| Subjects: | |
| Online Access: |
http://store.ectap.ro/articole/1315.pdf
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