Zobrazeno 1 - 10
of 48
pro vyhledávání: '"Rituparna Sen"'
Autor:
Suparna Biswas, Rituparna Sen
Publikováno v:
Computation, Vol 11, Iss 2, p 28 (2023)
Range value at risk (RVaR) is a quantile-based risk measure with two parameters. As special examples, the value at risk (VaR) and the expected shortfall (ES), two well-known but competing regulatory risk measures, are both members of the RVaR family.
Externí odkaz:
https://doaj.org/article/83abcc21712242968f751350cb77222f
Publikováno v:
Journal of Quantitative Economics. 20:191-210
We develop a multivariate functional autoregressive model (MFAR), which captures the cross-correlation among multiple functional time series and thus improves forecast accuracy. We estimate the parameters under the Bayesian dynamic linear models (DLM
Autor:
Rituparna Sen, Sourish Das
Publikováno v:
Computational Finance with R ISBN: 9789811920073
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ab6dd2eed307c67d84d946ad426786f8
https://doi.org/10.1007/978-981-19-2008-0_10
https://doi.org/10.1007/978-981-19-2008-0_10
Autor:
Rituparna Sen, Sourish Das
Publikováno v:
Computational Finance with R ISBN: 9789811920073
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0df2782d7683ff4e1cebba70900693c1
https://doi.org/10.1007/978-981-19-2008-0_15
https://doi.org/10.1007/978-981-19-2008-0_15
Autor:
Rituparna Sen, Sourish Das
Publikováno v:
Indian Statistical Institute Series ISBN: 9789811920073
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::af9cee5d09bcde8a7e80a616d8cec0fc
https://doi.org/10.1007/978-981-19-2008-0
https://doi.org/10.1007/978-981-19-2008-0
Autor:
Rituparna Sen, Sourish Das
Publikováno v:
Computational Finance with R ISBN: 9789811920073
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f8b245615e0d7fc0ef8264c2e48df623
https://doi.org/10.1007/978-981-19-2008-0_13
https://doi.org/10.1007/978-981-19-2008-0_13
Autor:
Rituparna Sen, Sourish Das
Publikováno v:
Computational Finance with R ISBN: 9789811920073
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::690f9aeb6f1583584fa073a67e71ca5b
https://doi.org/10.1007/978-981-19-2008-0_12
https://doi.org/10.1007/978-981-19-2008-0_12
Autor:
Rituparna Sen, Sourish Das
Publikováno v:
Computational Finance with R ISBN: 9789811920073
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e8288e38e1499ec1a154255afc0a7164
https://doi.org/10.1007/978-981-19-2008-0_1
https://doi.org/10.1007/978-981-19-2008-0_1
Autor:
Rituparna Sen, Sourish Das
Publikováno v:
Computational Finance with R ISBN: 9789811920073
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5a702f2457a88806830716dd133a35dd
https://doi.org/10.1007/978-981-19-2008-0_14
https://doi.org/10.1007/978-981-19-2008-0_14
Autor:
Rituparna Sen, Sourish Das
Publikováno v:
Computational Finance with R ISBN: 9789811920073
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::72c2cdfd0c37319b7ab22264cb783e5a
https://doi.org/10.1007/978-981-19-2008-0_6
https://doi.org/10.1007/978-981-19-2008-0_6