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2017 | vol. 13, iss. 5 | 666--675
Tytuł artykułu

Regime Switching Behavior of Indian VIX and its Time Dependent Correlation with Select Developed Economies

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This paper investigates the international financial market integration as a trigger for regime switching behavior of Indian implied volatility index and its regime-dependent conditional correlations with the selected developed markets. The 2-state dynamic regression model reveals two different regimes using state-dependent variables during the time period 2009 to 2016. The results found that Hong Kong and US markets have a significant effect on the Indian market during highly volatile state, and there is a clear decoupling effect among these markets when the Indian market is stable. The predicted turning point probabilities indicate that the bull market state is persistent. (original abstract)
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Opis fizyczny
  • Institute of Management, India
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