Browsing by Author "Kumar, Sudarshan"
Now showing items 1-5 of 5
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A computational algorithm to analyze unobserved sequential reactions of the central banks: inference on complex lead-lag relationship in evolution of policy stances
Chakrabarti, Anindya; Kumar, Sudarshan (2019-06-03)Central banks of different countries are some of the largest economic players at the global scale and they are not static in their monetary policy stances. They change their policies substantially over time in response to ... -
Disentangling shock diffusion on complex networks: identification through graph planarity
Kumar, Sudarshan; Matteo, Tiziana Di; Chakrabarti, Anindya S. (Journal of Complex Networks, 2020-06)Large scale networks delineating collective dynamics often exhibit cascading failures across nodes leading to a system-wide collapse. Prominent examples of such phenomena would include collapse on financial and economic ... -
Ripples on financial networks
Kumar, Sudarshan; Bansal, Avijit; Chakrabartia, Anindya S. (Indian Institute of Management Ahmedabad, 2019)In the financial markets, asset returns exhibit collective dynamics masking individual impacts on the rest of the market. Hence, it is still an open problem to identify how shocks originating from one particular asset ... -
Term structure estimation with liquidity-adjusted Ane Nelson Siegel model: A nonlinear state space approach applied to the Indian bond market
Virmani, Vineet; Kumar, Sudarshan (Routledge Publishing, 2021-12-12)Efficient term structure estimation in emerging markets is difficult not only because of overall lack of liquidity, but also because of the concentration of liquidity in a few securities. Using the arbitrage-free Affine ... -
Three essays on interest rate modeling
Kumar, Sudarshan (Indian Institute of Management Ahmedabad, 2020)This dissertation presents three essays that explore and propose methodological modifications to adapt yield curve modeling to the context of emerging markets using data from Indian bond markets. While no arbitrage affine ...