2 papers
stat.AP2023
Modeling Multiple Irregularly Spaced Financial Time Series
Chiranjit Dutta, Nalini Ravishanker, Sumanta Basu
In this paper we propose univariate volatility models for irregularly spaced financial time series by modifying the regularly spaced stochastic volatility models. We also extend th…
stat.ME2022
Modeling Multivariate Positive-Valued Time Series Using R-INLA
Chiranjit Dutta, Nalini Ravishanker, Sumanta Basu
In this paper we describe fast Bayesian statistical analysis of vector positive-valued time series, with application to interesting financial data streams. We discuss a flexible le…