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q-fin.ST2018
Modeling Nelson-Siegel Yield Curve using Bayesian Approach
Sourish Das
Yield curve modeling is an essential problem in finance. In this work, we explore the use of Bayesian statistical methods in conjunction with Nelson-Siegel model. We present the hi…
q-fin.ST2014★ 4 cited
Regularizing Portfolio Risk Analysis: A Bayesian Approach
Sourish Das, Aritra Halder, Dipak K. Dey
It is important for a portfolio manager to estimate and analyze recent portfolio volatility to keep the portfolio's risk within limit. Though the number of financial instruments in…