In this paper we derive the predictive density function of a future observation when prior distribution for unknown mean of a normal population is a Type-II maximum likelihood ε-contaminated prior. The derived predictive distribution is applied to the problem of optimization of a regression...

This paper develops Bayes pre-test estimate (BPE) of the change point of a sequence of independent random variables under asymmetric linex loss function. BPE of the change point is obtained for changing regular one-parameter exponential family model. Its sensitivity is examined to the choice of...

Purpose: The purpose of this paper is to explore the micro and macro factors affecting liquidity creation by scheduled commercial banks (excluding Regional Rural Bank) in India from 2005 to 2018. Design/methodology/approach: Two measures of liquidity creation, the broad and narrow measures, are...

This paper investigates the factors responsible for predicting 2012 U.S. Presidential election. Though contemporary discussions on Presidential election mention that unemployment rate will be a deciding factor in this election, it is found that unemployment rate is not significant for predicting...

Purpose – The purpose of this paper is to demonstrate importance of usage of sector indices which provides insight for sector specific investment strategies and direction for suitable policy formulation for the Indian industry. It investigates long run, short run and causality relationships...

Purpose – This paper aims to investigate the effect of non-normality in returns and market capitalization of stock portfolios and stock indices on value at risk and conditional VaR estimation. It is a well-documented fact that returns of stocks and stock indices are not normally distributed,...

In this paper a procedure is developed to derive the predictive density function of a future observation for prediction in a multiple regression model under hierarchical priors for the vector parameter. The derived predictive density function is applied for prediction in a multiple regression...

This paper proposes a methodology for active hedging Greeks of an option portfolio integrating churning and minimization of cost of hedging. In the first section, hedging strategy is implemented by taking positions in other available options, while simultaneously minimizing the net premium paid...

The aim of this paper is to develop a hedging methodology for making a portfolio of options delta, vega and gamma neutral by taking positions in other available options, and simultaneously minimizing the net premium to be paid for the hedging. A quadratic programming solution for the problem is...