17 citations · 26 across the 16 of their papers we have counts for
17 papers
Measuring Tail Dependence in Linear Processes: Theory and Empirics
Debanjana Datta, Diganta Mukherjee
The quantitative analysis of financial time series often reveals two distinct features that standard Gaussian frameworks fail to capture: heavy-tailed marginal distributions and th…
Analysis and Estimation of Consumer Expenditure assuming uniform prices across FSUs: A step towards cost effectiveness
Rajdeep Brahma, Anagh Chattopadhyay, Diganta Mukherjee +1
Analysis and estimation of consumer expenditure and budget shares are important for understanding quantitatively the expenditure based behaviour of the people of a country or regio…
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…
Demand Analysis with a Thin Price Sample
Monitirtha Dey, Arpan Kumar, Diganta Mukherjee
For about 125 items of food, the Consumer Expenditure Survey (CES) schedule of the Indian National Sample Survey asks the interviewer to obtain both quantity and value of household…
Multi-asset Generalised Variance Swaps in Barndorff-Nielsen and Shephard model
Subhojit Biswas, Diganta Mukherjee, Indranil SenGupta
This paper proposes swaps on two important new measures of generalized variance, namely the maximum eigenvalue and trace of the covariance matrix of the assets involved. We price t…
An Unsupervised Approach towards Varying Human Skin Tone Using Generative Adversarial Networks
Debapriya Roy, Diganta Mukherjee, Bhabatosh Chanda
With the increasing popularity of augmented and virtual reality, retailers are now focusing more towards customer satisfaction to increase the amount of sales. Although augmented r…