Modeling and forecasting volatility of financial assets and commodities by using the information on historical prices.
Information content of volatility implied in the option prices in predicting realized volatility.
Application of High-Frequency Data in modeling and predicting short-term volatility in the stock market.
Other areas of research such as the study of market anomalies, spillover effects, and macroeconomic factors for estimation and prediction of the volatility of the stock market.
Dr Rajan Pandey
Birla Institute of Technology and Science, Pilani, Vidya ViharPilani, Rajasthan, - 333031