Faculty Details


Name Card

Prof. Vivek Rajvanshi's picture
Name: Prof. Vivek Rajvanshi
Position: Assistant Professor
Academic Group: Investment & Portfolio Management
Phone No.: 91 33 2467 8300 (Extn. 702)
Email: vivekr@iimcal.ac.in
Academic Background:

M.Sc.(Statistics), Ph.D.(Fellow of IIMC)

Courses Taught:

Corporate Finance, Fixed Income Markets, Investment Analysis and Portfolio Management, Computational Finance

Awards:
Consulting Interests:
Work Experience:

April 2012 to March 2015, Assistant Professor (Finance & Accounting) at Indian Institute of Management Lucknow (India) May 1999 to March 2008, Economic and Statistical Officer at Directorate of Economics and Statistics, Planning Department, Government of Uttar Pradesh (India)

Current Projects:

Intraday Periodicity and Volatility Forecasting: Evidence from Indian Crude Oil Futures Market. Impact of Crude Oil Price on Firm Returns. Does Commodity Futures Predict Spot Price? Evidence from Indian Commodity Market.

Journal Publications:

"Intraday Periodicity and Volatility Forecasting: Evidence from Indian Crude Oil Futures Market" Forthcoming, with Chakrabarti, B. B, Journal of Emerging Market Finance. “Performance of Range and Return Based Volatility Estimators: Evidence from Indian Crude Oil Futures Market,” (2015). Global Economy and Finance Journal, 8(1), pp. 46-66. “Intraday Trading Activity and Volatility: Evidence from Energy and Metal Futures,” (2014), IUP Journal of Applied Finance, 20(2), pp. 57-74. “Determinants of Return Volatility: Evidence from Indian Commodity Futures Market,” (2013), with Chakrabarti, B. B., Journal of International Finance & Economics, 13(1) pp. 91-108.

Conferences:

Distributional Properties and Volatility Forecasting: Evidence from Indian Crude Oil Futures Market, Presented at 9th Asia-Pacific Business Research Conference, held at Singapore from 5 to 6th November 2015. Determinants of Volatility: Evidence from intraday Trading in Indian Metal and Energy Futures (with Chakrabarti, B. B. and Dey, M.K.) Presented at 20th Global Finance Conference held at Monterey Bay, CA, USA from 20-23rd May 2013. Volatility Dynamics in Indian Futures Trading (with Chakrabarti, B. B. and Dey, M.K.) Presented at 50th annual meeting of the South Western Finance Association 2011, held at Houston, Texas from 9th March 2011 to 12th March 2011.

Research Interests:

Commodity Futures Markets, Volatility Modeling, Portfolio Management and Market Microstructure.