Statistical Methods in Finance 2016

Dec 18 - 22, 2016

Poster Session

Monday, December 19, 2016,13:40 -- 14:40
- Poster Session - I
1. Abhijit Ghosh, IIT Ropar,
A parallel implementation and analysis of advanced numerical techniques to compute option prices on GPU
2. Amita Sharma IIIT, Guwahati
The Black-Litterman Model for Portfolio Optimization
3. Arnab Chakrabarti, ISI - Chennai
On the Spectral Distribution of Hayashi's Estimator for High Dimensional Stock Price Process
4. Gangineni Dhanaiah, Acharya Nagarjuna University
Sectoral Indices in Indian Stock Market: a study of NSE (2004-2016)
5. Inderjeet Kaur, Ansal University
Predicting Out-of-Sample Returns of Mutual Funds: A Study
6. Kiran Sharma, JNU, Delhi
Sectoral co-movements in the Indian stock market: A mesoscopic network analysis
7. Martin Ruzima, Annamalai University
Exchange Rate Uncertainty and Private Investment in BRICS Economies
8. Milan Kumar Das, ISER, Pune
Pricing Derivatives in a Regime Switching Market with Time Inhomogeneous Volatility
9. Moinak Maiti, Pondicherry University
OLS Vs. Quatile regression in tailed analysis and its implication for investment decision making
10. Nimitha John, CUSTAT
Cointegration models with non Gaussian GARCH innovations
11 Parmod Kumar Paul, IIT Jodhpur,
Analysis the Prediction Error Reduction Index (λ) of Pattern With Returns at Turn of the Year.
Tuesday, December 20, 2016,13:40 -- 14:40
- Poster Session II
1 Parthajit Kayal, IFMR,
A Study of Excess Volatility of Gold and Silver
2 Piyush Pandey, Delhi University,
Dynamic Currency Linkages and its Determinants: An Empirical Study for East Asian Economic Community Region
3 Pratap Chandra Pati, IIT Kharagpur,
Forecasting Stock Market Volatility and Information Content of Implied Volatility Index
4 Praveen Kumar Tripathi, Banaras Hindu University,
A Bayes Study of Extended Auto Regressive Model with Stochastic Volatility
5 Rajiv Sambasivan, CMI,
A Machine Learning Approach to Yield Curve Forecasting
6 Shantanu Dutta, Tezpur University,
Nonparametric Estimation of 100(1-p) Percent Expected Shortfall: p close to zero
7 Sri Ranganath C. G., CUSTAT,
Hurwicz estimator for Autoregressive model with Generalized Error Distributed Innovations
8 Sudip Ratan Chandra, Jadavpur University,
Pricing of Look-back Option with Symmetric Lévy Process : A PIDE and its solution
9 Suparna Biswas, Tezpur Universit,
Estimating the Market Risk of Indian Index Funds
10 Suraj Kumar, IIT Madras,
Hybrid model for forecasting Indian index with technical Indicators