8 citations · 29 across the 11 of their papers we have counts for
5 papers · 1 filter
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…
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,…