Browsing Working Papers by Author "Chakrabarti, Arnab"
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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 ...