2 citations · 2 across the 1 of their papers we have counts for
2 papers
stat.ME2021★ 2 cited
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…
q-fin.PM2019
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…