5 citations · 5 across the 6 of their papers we have counts for
Showing q-fin.STShow all
3 papers · 1 filter
q-fin.ST2022
Limiting Spectral Distribution of High-dimensional Hayashi-Yoshida Estimator of Integrated Covariance Matrix
Arnab Chakrabarti, Rituparna Sen
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 covolatilit…
q-fin.ST2019★ 5 cited
Copula estimation for nonsynchronous financial data
Arnab Chakrabarti, Rituparna Sen
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 as…
q-fin.ST2018
Some Statistical Problems with High Dimensional Financial data
Arnab Chakrabarti, Rituparna Sen
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,…