9 papers
Distributional Granger Causality: Identification, Sequential Inference, and Adaptive Testing
Ayush Jha
Predictive dependence in time series need not be confined to the conditional mean. Outside the Gaussian setting, causal content may arise through conditional scale, tail behavior,…
Credit Capacity and the Propagation of Funding Shocks: Evidence from U.S. and Brazilian Financial Intermediaries
Ayush Jha, Ali Jaffri, Frank Fabozzi
Why do similar funding shocks generate sharply different credit outcomes across countries? We develop and estimate a dynamic structural model in which intermediary credit capacity…
Option Pricing under Stochastic Volatility and Jumps:A PIDE Framework with Empirical Evidence
Abigail Anokyewaa Mensah, Ayush Jha, Hongwei Mei +3
We develop a partial integro-differential equation (PIDE) framework for option pricing under joint stochastic volatility and jump dynamics, and evaluate its empirical content using…
Behavioral Probability Weighting and Portfolio Optimization under Semi-Heavy Tails
Ayush Jha, Abootaleb Shirvani, Ali M. Jaffri +2
This paper develops a unified framework that integrates behavioral distortions into rational portfolio optimization by extracting implied probability weighting functions (PWFs) fro…
Winners vs. Losers: Momentum-based Strategies with Intertemporal Choice for ESG Portfolios
Ayush Jha, Abootaleb Shirvani, Ali Jaffri +2
This paper introduces a state-dependent momentum framework that integrates ESG regime switching with tail-risk-aware reward-risk metrics. Using a dynamic programming approach and s…
Multivariate Affine GARCH with Heavy Tails: A Unified Framework for Portfolio Optimization and Option Valuation
Ayush Jha, Abootaleb Shirvani, Ali Jaffri +2
This paper develops and estimates a multivariate affine GARCH(1,1) model with Normal Inverse Gaussian innovations that captures time-varying volatility, heavy tails, and dynamic co…
Advancing Portfolio Optimization: Adaptive Minimum-Variance Portfolios and Minimum Risk Rate Frameworks
Ayush Jha, Abootaleb Shirvani, Ali Jaffri +2
This study presents the Adaptive Minimum-Variance Portfolio (AMVP) framework and the Adaptive Minimum-Risk Rate (AMRR) metric, innovative tools designed to optimize portfolios dyna…
Optimizing Portfolios with Pakistan-Exposed ETFs: Risk and Performance Insight
Ali Jaffri, Abootaleb Shirvani, Ayush Jha +2
This study examines the investment landscape of Pakistan as an emerging and frontier market, focusing on implications for international investors, particularly those in the United…
Beyond the Traditional VIX: A Novel Approach to Identifying Uncertainty Shocks in Financial Markets
Ayush Jha, Abootaleb Shirvani, Svetlozar T. Rachev +1
We introduce a new identification strategy for uncertainty shocks to explain macroeconomic volatility in financial markets. The Chicago Board Options Exchange Volatility Index (VIX…