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Workers' Participation in Management

M.L. Bansal

Volume 3, Issue 2 and 3 (May 1970 to December 1970)

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Monopolies and Their Ramifications (The New Legal Perspective)

Navin Chandra Joshi

Volume 3, Issue 1 (January 1970 to April 1970)

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BACKTESTING VAR MODELS: THE CASE OF COMMODITIES

Devesh Shankar, Prateek Bedi, Shalini Agnihotri and Jappanjyot Kaur Kalra

Volume 38, Issue 1 (April 2017 to September 2017)

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One of the most widely used methods to quantify risk is ‘Value at Risk’. VaR models are useful only if they predict future risks accurately. This paper focuses on a comparative evaluation of three broad approaches to calculate VaR for nine commodities traded on Multi Commodity Exchange of India. The primary objective of the study is to identify the most accurate VaR model for each commodity in particular and commodity asset class in general. VaR is calculated using five different methods (two methods each of parametric & non-parametric approaches and one method of semi-parametric approach) for all nine commodities for a period of nine years starting October 2006 till October 2015. To identify the better performing VaR methods accurately, the analysis is performed in two phases, Pre-Crisis (October 2006 to December 2009) and Post Crisis (January 2010 to October 2015). Results suggest Volatility Weighted Historical Simulation (VWHS) VaR method has outperformed other methods in both parts of the analysis exhibiting a success ratio of 100% each time. We also conclude that the selection of similar or contrasting data periods in terms of market conditions for VaR calculation and VaR backtesting affects the performance of VaR methods in general. These findings are relevant for retail and institutional investors who hold commodities in their portfolios and traders who need to calculate VaR for their commodity portfolios.

Integration of National Accounts with Flow of Funds Accounts

Pyare Lal Arya

Volume 2, Issue 2 (May 1969 to August 1969)

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Work-Life Balance Revisited

Rituranjan, Reetesh K. Singh, Saumya Singhel

Volume 33, Issue 1 (April 2012 to September 2012)

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Absence of Financial Sector in Modern Macroeconomics: Oversight or Overlook

Avinash Kumar Jha

Volume 42, Issue 1 (January 2021 to June 2021)

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The paper explores the question of why modern macroeconomics ignores the financial sector in its analysis despite Keynes's crucial work on the link between expectations in financial markets and the economy's ability to restore full employment through price mechanism. It explores the evolution of the concept of liquidity trap in macroeconomics text-books and indicates the dilution in it over the decades. Further, the theoretical necessity of efficient market hypothesis for modern microeconomics to ignore the financial sector is elaborated. Policy implications about the economies in general, and the financial sector in particular are highlighted.

Testing the Validity of Capital Asset Pricing Model for the Mid-Cap Stocks on the Bombay Stock Exchange

Stuti Gulati, Hamendra Kumar Porwal, Rohini Singh

Volume 33, Issue 2 (October 2012 to March 2013)

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Impact of Direct Tax Code on Individual Investment Choices

Mahesh Kumar, Narinder Kaur, Vinod Kumar

Volume 32, Issue 2 (October 2011 to March 2012)

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Financial Inclusion in India: Retrospect and Prospects

Ritu Ranjan

Volume 35, Issue 1 (April 2014 to September 2014)

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Revisiting CAPM and Fama French Three Factor Model in Indian Equity Market

Neharika Sobti

Volume 37, Issue 1 (April 2016 to September 2016)

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