8 citations · 29 across the 11 of their papers we have counts for
11 papers
Detection of Structural Distortions in Functional Time Series
Debanjana Datta, Rituparna Sen, Nalini Ravishanker
In the era of modern data science, the rapid proliferation of high-dimensional and functional datasets has fostered increasing interest in the investigation of paradigm shifts and…
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…
Bayesian Testing Of Granger Causality In Functional Time Series
Rituparna Sen, Anandamayee Majumdar, Shubhangi Sikaria
We develop a multivariate functional autoregressive model (MFAR), which captures the cross-correlation among multiple functional time series and thus improves forecast accuracy. We…
Bayesian Filtering for Multi-period Mean-Variance Portfolio Selection
Shubhangi Sikaria, Rituparna Sen, Neelesh S. Upadhye
For a long investment time horizon, it is preferable to rebalance the portfolio weights at intermediate times. This necessitates a multi-period market model in which portfolio opti…
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…
Stylized facts of the Indian Stock Market
Rituparna Sen, Manavthi S
Historical daily data for eleven years of the fifty constituent stocks of the NIFTY index traded on the National Stock Exchange have been analyzed to check for the stylized facts i…
Kernel Based Estimation of Spectral Risk Measures
Suparna Biswas, Rituparna Sen
Spectral risk measures (SRMs) belong to the family of coherent risk measures. A natural estimator for the class of SRMs has the form of L-statistics. Various authors have studied a…
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,…
Fractional Brownian markets with time-varying volatility and high-frequency data
Ananya Lahiri, Rituparna Sen
Diffusion processes driven by Fractional Brownian motion (FBM) have often been considered in modeling stock price dynamics in order to capture the long range dependence of stock pr…
Jackknife Empirical Likelihood-based inference for S-Gini indices
Sreelakshmi N, Sudheesh K Kattumannil, Rituparna Sen
Widely used income inequality measure, Gini index is extended to form a family of income inequality measures known as Single-Series Gini (S-Gini) indices. In this study, we develop…
Sparse Portfolio selection via Bayesian Multiple testing
Sourish Das, Rituparna Sen
We presented Bayesian portfolio selection strategy, via the factor asset pricing model. If the market is information efficient, the proposed strategy will mimic the market; oth…