12 citations · 14 across the 34 of their papers we have counts for
3 papers · 1 filter
Multivariate Affine GARCH with Heavy Tails: A Unified Framework for Portfolio Optimization and Option Valuation
Ayush Jha, Abootaleb Shirvani, Ali Jaffri +2
This paper develops and estimates a multivariate affine GARCH(1,1) model with Normal Inverse Gaussian innovations that captures time-varying volatility, heavy tails, and dynamic co…
Advancing Portfolio Optimization: Adaptive Minimum-Variance Portfolios and Minimum Risk Rate Frameworks
Ayush Jha, Abootaleb Shirvani, Ali Jaffri +2
This study presents the Adaptive Minimum-Variance Portfolio (AMVP) framework and the Adaptive Minimum-Risk Rate (AMRR) metric, innovative tools designed to optimize portfolios dyna…
Beyond the Traditional VIX: A Novel Approach to Identifying Uncertainty Shocks in Financial Markets
Ayush Jha, Abootaleb Shirvani, Svetlozar T. Rachev +1
We introduce a new identification strategy for uncertainty shocks to explain macroeconomic volatility in financial markets. The Chicago Board Options Exchange Volatility Index (VIX…