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econ.EM2026
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,…
econ.GN2026
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…
q-fin.PR2026
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…