8 citations · 29 across the 11 of their papers we have counts for
Showing 2019 · q-fin.STShow all
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q-fin.ST2019★ 5 cited
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…
q-fin.ST2019★ 4 cited
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…
q-fin.ST2019★ 1 cited
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…