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q-fin.ST2025
Predicting Stock Market Crash with Bayesian Generalised Pareto Regression
Sourish Das
This paper develops a Bayesian Generalised Pareto Regression (GPR) model to forecast extreme losses in Indian equity markets, with a focus on the Nifty 50 index. Extreme negative r…
q-fin.ST2024★ 1 cited
Risk Analysis of Passive Portfolios
Sourish Das
In this work, we present an alternative passive investment strategy. The passive investment philosophy comes from the Efficient Market Hypothesis (EMH), and its adoption is widespr…