8 citations · 8 across the 7 of their papers we have counts for
4 papers · 1 filter
On testing the class of symmetry using entropy characterization and empirical likelihood approach
Ganesh Vishnu Avhad, Ananya Lahiri, Sudheesh K. Kattumannil
In this paper, we obtain a new characterization result for symmetric distributions based on the entropy measure. Using the characterization, we propose a nonparametric test to test…
Jackknife Empirical Likelihood Ratio Test for Cauchy Distribution
Ganesh Vishnu Avhad, Ananya Lahiri, Sudheesh K. Kattumannil
Heavy-tailed distributions, such as the Cauchy distribution, are acknowledged for providing more accurate models for financial returns, as the normal distribution is deemed insuffi…
Fractional Brownian markets with time-varying volatility and high-frequency data
Ananya Lahiri, Rituparna Sen
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 pr…
Asymptotic properties of the volatility estimator from high frequency data modeled by mixed fractional Brownian motion
Ananya Lahiri
Properties of mixed fractional Brownian motion has been discussed by Cheridito (2001) and Zili (2006). We have proposed an estimator of volatility parameter for a model driven by M…