10 citations · 42 across the 20 of their papers we have counts for
4 papers · 1 filter
Estimation of the Parameters of Symmetric Stable ARMA and ARMA-GARCH Models
Aastha M. Sathe, N. S. Upadhye
In this article, we first propose the modified Hannan-Rissanen Method for estimating the parameters of the autoregressive moving average (ARMA) process with symmetric stable noise…
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…
On the Compound Beta-Binomial Risk Model with Delayed Claims and Randomized Dividends
Aparna B. S, Neelesh S Upadhye
In this paper, we propose the discrete time Compound Beta-Binomial Risk Model with by-claims, delayed by-claims and randomized dividends. We then analyze the Gerber-Shiu function f…
Estimation of the Parameters of Multivariate Stable Distributions
Aastha M. Sathe, Neelesh. S. Upadhye
In this paper, we begin our discussion with some of the well-known methods available in the literature for the estimation of the parameters of a univariate/multivariate stable dist…