8 citations · 29 across the 11 of their papers we have counts for
Showing 2017Show all
3 papers · 1 filter
math.ST2017★ 8 cited
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…
stat.ME2017★ 5 cited
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…
q-fin.MF2017★ 2 cited
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…