Publications

 

Book

      2023 Sen, R. and Das, S. Computational Finance with R, Springer, Indian Statistical Institute Series .

Journal articles

1.      2023 Biswas, S. and Sen, R., Kernel Based Estimation of Spectral Risk Measures , The journal of Risk, 27(1), Accepted.

2.      2023 Biswas, S. and Sen, R. Nonparametric Estimation of Range Value at Risk , Computation, 11(2), 28.

3.      2022 Sen, R., Majumdar, A. and Sikaria, S. Bayesian Testing Of Granger Causality In Functional Time Series, Journal of Quantitative Economics, 20:S191-S210.

4.      2022 Chakrabarti, A. and Sen, R. Copula Estimation for Non-Synchronous Financial Data, Sankhya B, 85 (Suppl 1): 116-149..

5.      2021 Sreelakshmi, N., Kattumannil, S. K. and Sen, R. Jackknife Empirical Likelihood-based Inference for S-Gini Indices , Communications in Statistics - Simulation and Computation, 50(6), 1645-1661.

6.      2021 Sikaria, S., Sen, R. and Upadhye, N. S. Bayesian Filtering for Multi-period Mean-Variance Portfolio Selection, Journal of Statistical Theory and Practice, 15: 40.

7.      2020 Das, S. and Sen, R. Sparse Portfolio Selection via Bayesian Multiple Testing, Sankhya B, 83(2), 585 - 617.

8.      2020 Sen, R. Discussion of "Revisiting Multivariate generalized hyperbolic laws for modeling financial log returns by Fotopoulos, Paparas And Jandhyala", Applied Stochastic Models in Business and Industry, 36(5): 776-776 .

9.      2020 Barik, A. K., Sen, R. and Ganguli, B. Impact of the COVID-19 epidemic on the aviation industry, Journal of the Indian Statistical Association, 58(1): 89-104.

10.      2020 Lahiri, A. and Sen, R. Fractional Brownian Markets with Time-Varying Volatility and High-Frequency Data , Econometrics and Statistics, 16: 91-107.

11.      2019 Sen, R. and Manavathi, S. Stylized Facts of the Indian Stock Market, Asia-Pacific Financial Markets, 26(4): 479-493.

12.      2019 Sen, R. and Klueppelberg, C. Time Series of Functional Data with Application to Yield Curves , Applied Stochastic Models in Business and Industry, 35(4): 1028-1043.

13.      2018 Chaudhuri, K., Sen, R. and Tan, Z. Testing Extreme Dependence in Financial Time Series , Economic Modelling, 73:378-394.

14.      2016 Sen, R., P. Mehrotra Modeling Jumps and Volatility of the Indian Stock Market Using High-Frequency Data , Journal of Quantitative Economics, 14: 137-150.

15.      2016 Sen, R., P. Gupta and D. Dey High Dimensionality Effects on the Efficient Frontier: A Tri-Nation Study, Journal of Data Analysis and Information Processing, 4: 13-20.

16.      2015 Sen, R. and C. Ma Forecasting Density Function: Application in Finance, Journal of Mathematical Finance, 5(5): 433-447.

17.      2014 Ray, N. and R. Sen Forecasting Wind Power Generation, Pioneer Journal of Theoretical and Applied Statistics, 7(1): 1-13.

18.      2011 Muller, H. G., R. Sen and U. Stadmuller Functional Data Analysis for Volatility Journal of Econometrics, 165: 233 - 245.

19.      2009 Sen R. Hedging Options In The Incomplete Market With Stochastic Volatility Statistics and Its Interface, 2(4): 469 - 480

20.      2009 Sen R. and F. Hsieh A note on testing regime switching assumption based on recurrence times Statistics and Probability Letters, 79(24): 2443 - 2450.

21.      2006 Sen, R. Intervals for Option Prices International Journal of Statistics and Management Systems , 1: 59 - 81

22.      2003 Sen, R. and M.H. Hansen Predicting Web User's Next Access Based on Log Data Journal of Computational and Graphical Statistics, 12(1): 143 - 155.

 

Monograph

2013 Sen, R. and Q. Xu Covolatility Lap Lambert Academic Publishing, Saarbrucken , Germany

 

Articles in edited volumes & Conference Proceedings

1.      2022 Smits, G. E., Sen, R. and Basu, S. Network Analysis of Contagion Between Large Number of Financial Entities Proceeding of the Joint Statistical Meetings, Washington DC, USA 269-274.

2.      2022 Sen, R., S. Sikaria. Option pricing using Hawkes Process Proceedings of the 36th International Workshop on Statistical Modelling. July 18-22, 2022 - Trieste, Italy, 577-581.

3.      2021 Sikaria, S. and R. Sen, Granger Causality Analysis for Functional Time Series Data , Special Proceedings of the 63rd ISI World Statistics Congress.

4.      2020 Choudhary, D. and R. Sen, Index Tracking for NIFTY50, Special Proceedings of the 22nd Annual Conference of SSCA, Savitribai Phule Pune University, 73-84 .

5.      2019 Sen, R., Granger causality in yield curves of different markets, Proceedings of the 62nd ISI World Statistics Congress, Kuala Lumpur Invited Paper Session, Vol 1, 68-74 .

6.      2018 Chakrabarti, A. and R. Sen, Some Statistical Problems with High Dimensional Financial data, Abergel, F., Chakrabarti, B.K., Chakraborti, A., Deo, N. and Sharma, K. (Eds.) New Perspectives and Challenges in Econophysics and Sociophysics, 147-167. DOI: 10.1007/978-3-030-11364-3_11

7.      2015 Chaplot, A. and R. Sen, Performance of Inequality Indices, Abergel, F., Aoyama, H., Chakrabarti, B.K., Chakraborti, A., Ghosh, A. (Eds.) Econophysics and Data Driven Modelling of Market Dynamics, 191-212. DOI: 10.1007/978-3-319-08473-2_8

8.      2012 Sen, R. and Z. Tan Extreme Dependence in Multivariate Time Series, J. Jiang, G. Roussas and F. Samaniego,(ed), Nonparametric Statistical Methods and Related Topics: Fistschrift in honor of P.K. Bhattacharya on the Occasion of His 80th Birthday, 347-362. DOI: 10.1142/9789814366571_0018

9.      2012 Sen R. Covariance between Stochastic Processes observed Sparsely with Noise: Application to Online Auctions K. Kumar and A. Chaturvedi ,(ed ) Some Recent Developments in Statistical Theory and Applications. 26-37.

10.      2008 Sen, R. Jumps and Microstructure Noise in Stock Price Volatility Gregoriou, G. N., (ed), Stock Market Volatility. 163 - 180. DOI: 10.1201/9781420099553

11.      2008 Sen, R., Q. Xu. Estimation of Integrated covolatility for asynchronous assets in the presence of microstructure noise Ashis Sen Gupta, (ed), Multivariate Statistical Methods . 437 - 454. DOI: 10.1142/9789812838247_0026