Anuj Kumar
Department of Mathematics, University of Petroleum & Energy Studies, Dehradun-248007, India.

Sangeeta Pant
Department of Mathematics, University of Petroleum & Energy Studies, Dehradun-248007, India.

Lokesh Kumar Joshi
Department of Applied Mathematics, Faculty of Engineering and Technology, Gurukul Kangri Vishwavidyalaya, Haridwar-249404, India.

DOI https://dx.doi.org/10.33889/IJMEMS.2016.1.1-003

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Abstract

The mostly used measure to analyze the stock market behavior is wavelet correlation analysis. Cross-country correlations have been largely used to obtain a static estimate of the comovements of actual returns across country. In this paper wavelet based variance, covariance and correlation analysis of BSE and NSE indexes financial time series have been done using index data from April 1990 to March 2006.

Keywords- Stock markets, MODWT, Financial time series, BSE & NSE indexes, Wavelet variance and covariance.

Citation

Kumar, A., Pant, S., & Joshi, L. K. (2016). Wavelet Variance, Covariance and Correlation Analysis of BSE and NSE Indexes Financial Time Series. International Journal of Mathematical, Engineering and Management Sciences, 1(1), 26-33. https://dx.doi.org/10.33889/IJMEMS.2016.1.1-003.