1 citations · 1 across the 4 of their papers we have counts for
4 papers
Modeling Multiple Irregularly Spaced Financial Time Series
Chiranjit Dutta, Nalini Ravishanker, Sumanta Basu
In this paper we propose univariate volatility models for irregularly spaced financial time series by modifying the regularly spaced stochastic volatility models. We also extend th…
Learning Financial Networks with High-frequency Trade Data
Kara Karpman, Sumanta Basu, David Easley
Financial networks are typically estimated by applying standard time series analyses to price-based economic variables collected at low-frequency (e.g., daily or monthly stock retu…
Exploring Financial Networks Using Quantile Regression and Granger Causality
Kara Karpman, Samriddha Lahiry, Diganta Mukherjee +1
In the post-crisis era, financial regulators and policymakers are increasingly interested in data-driven tools to measure systemic risk and to identify systemically important firms…
Modeling Multivariate Positive-Valued Time Series Using R-INLA
Chiranjit Dutta, Nalini Ravishanker, Sumanta Basu
In this paper we describe fast Bayesian statistical analysis of vector positive-valued time series, with application to interesting financial data streams. We discuss a flexible le…