Browsing Working Papers by Author "Chakrabarti, Anindya S."
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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 ... -
Targeted interventions: consumption dynamics and distributional effects
Chakrabarti, Anindya S.; Mishra, Abinash; Mohaghegh, Mohsen (Indian Institute of Management Ahmedabad, 2021-09-02)Income distribution-based targeted interventions are quite common in developing economies. However, often due to institutional frictions, identification of the recipients happens at a lower frequency than the frequency of ... -
‘Too central to fail’ firms in bi-layered financial networks: evidence of linkages from the US corporate bond and stock markets
Mishra, Abinash; Srivastava, Pranjal; Chakrabarti, Anindya S. (Indian Institute of Management Ahmedabad, 2020-06-02)Complex mutual dependencies of asset returns are recognized to contribute to systemic risk. A growing literature emphasizes that identification of vulnerable firms is a fundamental requirement for mitigating systemic risk ...