Browsing by Author "Chakrabarti, Arnab"

Now showing items 1-3 of 3

    • Fractional differencing: (in)stability of spectral structure and risk measures of financial networks 

      Chakrabarti, Arnab; Chakrabarti, Anindya S. (Indian Institute of Management Ahmedabad, 2020-07-01)
      Computation of spectral structure and risk measures from networks of multivariate financial time series data has been at the forefront of the statistical finance literature for a long time. A standard mode of analysis is ...

    • The origin of return correlation networks 

      Banerjee, Anirban; Chakrabarti, Arnab; Chakrabarti, Anindya S (Oxford University Press, 2024-04-05)
      Financial networks are constructed from asset price comovements. There is a large literature that takes these networks as given, for example, for portfolio optimization. But what exactly is the origin of these networks? ...

    • Sparsistent filtering of comovement networks from high-dimensional data 

      Chakrabarti, Arnab; Chakrabarti, Anindya S. (Elsevier, 2022-11-09)
      Network filtering is a technique to isolate core subnetworks of large and complex interconnected systems, which has recently found many applications in financial, biological, physical and technological networks among others. ...