Wavelet Analysis of the Bombay Stock Exchange Index

The fluctuations in the rate of returns of the Bombay stock exchange are analyzed through wavelet transform. The fluctuations, in various time scales, naturally separated by the wavelets, are subjected to statistical analysis. The localization and multiresolution properties of the wavelets enable one to identify collective behaviour in the stock market and the extent of their influence at various time scales. The Gaussian nature of the rate of returns at certain scales and the periodic nature of the same, at other scales, are clearly brought out by this analysis. The utility of this approach for modeling purpose is also elucidated.

     

Dilip M. Nachane: Critique of the new consensus macroeconomics and implications for India

Journal of Quantitative Economics -     

On the Dynamics of Inflation-Stock Returns in India

Journal of Quantitative Economics - In this paper, an attempt is made to examine the relationship between inflation and stock returns in India using spectral and time-frequency methods. Scale...     

Inflation and openness in India: an asymmetric approach

This paper examines the dynamic relationship between inflation and openness from 1970 to 2014 in the Indian context. In the first of its kind, this paper investigates the relationship within a nonlinear framework by employing NARDL cointegration test due to Shin, Yu, and Greenwood Nimmo (2014). The empirical results show that there is asymmetry in the relationship between openness and inflation both in short-run as well as in long-run. However, overall a positive relation (though weak) holds between inflation and openness and hence refutes well known Romer (1993) hypothesis that inflation falls with openness. The results further showed a positive relation between inflation and other variables in the study. The overall response of inflation towards the positive and negative changes in explanatory variables differed significantly.     

Some Basic Issues in Time Series Modelling

Journal of Quantitative Economics - The notion of individual freedom has been around in economics for a long time. The formal analysis of individual freedom in welfare economics, however, is of...