Zobrazeno 1 - 10
of 58
pro vyhledávání: '"Sen, Rituparna"'
Autor:
Biswas, Suparna, Sen, Rituparna
Left truncated and right censored data are encountered frequently in insurance loss data due to deductibles and policy limits. Risk estimation is an important task in insurance as it is a necessary step for determining premiums under various policy t
Externí odkaz:
http://arxiv.org/abs/2402.14322
Autor:
Sherkar, Vaibhav, Sen, Rituparna
A property of data which is common across a wide range of instruments, markets and time periods is known as stylized empirical fact in the financial statistics literature. This paper first presents a wide range of stylized facts studied in literature
Externí odkaz:
http://arxiv.org/abs/2310.00753
Autor:
Chakrabarti, Arnab, Sen, Rituparna
In this paper, the estimation of the Integrated Covariance matrix from high-frequency data, for high dimensional stock price process, is considered. The Hayashi-Yoshida covolatility estimator is an improvement over Realized covolatility for asynchron
Externí odkaz:
http://arxiv.org/abs/2201.00119
Publikováno v:
2021 Journal of Statistical Theory and Practice, 15: 40
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
Externí odkaz:
http://arxiv.org/abs/2112.15315
Publikováno v:
2021 Journal of Statistical Theory and Practice, 15: 40
For a long investment time horizon, it is preferable to rebalance the portfolio weights at intermediate times. This necessitates a multi-period market model in which portfolio optimization is usually done through dynamic programming. However, this as
Externí odkaz:
http://arxiv.org/abs/1911.07526
Autor:
Chakrabarti, Arnab, Sen, Rituparna
Publikováno v:
2022 Sankhya B, 85 (Suppl 1): 116-149
Copula is a powerful tool to model multivariate data. We propose the modelling of intraday financial returns of multiple assets through copula. The problem originates due to the asynchronous nature of intraday financial data. We propose a consistent
Externí odkaz:
http://arxiv.org/abs/1904.10182
Autor:
Sen, Rituparna, S, Manavthi
Publikováno v:
2019 Asia-Pacific Financial Markets, 26(4): 479-493
Historical daily data for eleven years of the fifty constituent stocks of the NIFTY index traded on the National Stock Exchange have been analyzed to check for the stylized facts in the Indian market. It is observed that while some stylized facts of
Externí odkaz:
http://arxiv.org/abs/1903.05322
Autor:
Biswas, Suparna, Sen, Rituparna
Spectral risk measures (SRMs) belong to the family of coherent risk measures. A natural estimator for the class of SRMs has the form of L-statistics. Various authors have studied and derived the asymptotic properties of the empirical estimator of SRM
Externí odkaz:
http://arxiv.org/abs/1903.03304
Autor:
Chakrabarti, Arnab, Sen, Rituparna
Publikováno v:
Forthcoming in New Perspectives and Challenges in Econophysics, New Economics Windows Series, Springer (2018)
For high dimensional data, some of the standard statistical techniques do not work well. So modification or further development of statistical methods are necessary. In this paper, we explore these modifications. We start with the important problem o
Externí odkaz:
http://arxiv.org/abs/1808.02953
Autor:
Lahiri, Ananya, Sen, Rituparna
Diffusion processes driven by Fractional Brownian motion (FBM) have often been considered in modeling stock price dynamics in order to capture the long range dependence of stock price observed in reality. Option prices for such models had been obtain
Externí odkaz:
http://arxiv.org/abs/1707.06416