4 papers
What Drives Contagion? Identifying and Attributing Cross-Border Transmission Mechanisms
Avishek Bhandari, Ipsita Parida, Hitesh Kumar Sahu
We address the joint detection-and-attribution problem in cross-border financial contagion through a two-stage framework. The first stage applies wavelet-quantile transfer entropy…
Multi-Scale Network Dynamics and Systemic Risk: A Model Context Protocol Approach to Financial Markets
Avishek Bhandari
This paper introduces a novel framework for analyzing systemic risk in financial markets through multi-scale network dynamics using Model Context Protocol (MCP) for agent communica…
Long memory in select stock returns using an alternative wavelet log-scale alignment approach
Avishek Bhandari, Bandi Kamaiah
This study investigates the efficiency of some select stock markets. Using an improved wavelet estimator of long range dependence, we show evidence of long memory in the stock retu…
A wavelet analysis of inter-dependence, contagion and long memory among global equity markets
Avishek Bhandari
This study attempts to investigate into the structure and features of global equity markets from a time-frequency perspective. An analysis grounded on this framework allows one to…