N
N. Balakrishna
Researcher at Cochin University of Science and Technology
Publications - 63
Citations - 449
N. Balakrishna is an academic researcher from Cochin University of Science and Technology. The author has contributed to research in topics: Autoregressive model & Estimator. The author has an hindex of 11, co-authored 60 publications receiving 400 citations. Previous affiliations of N. Balakrishna include University of Waterloo & Michigan State University.
Papers
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Journal ArticleDOI
Inverse Gaussian Autoregressive Models
Bovas Abraham,N. Balakrishna +1 more
TL;DR: In this paper, a first-order autoregressive process with one-dimensional inverse Gaussian marginals is introduced, and the unknown parameters are estimated using different methods and these estimators are shown to be consistent and asymptotically normal.
Journal ArticleDOI
Computationally efficient bootstrap prediction intervals for returns and volatilities in ARCH and GARCH processes
TL;DR: In this paper, a simple, efficient and distribution-free re-sampling technique for developing prediction intervals for returns and volatilities following ARCH/GARCH models is proposed.
Book ChapterDOI
Construction of Bivariate Distributions
N. Balakrishna,Chin-Diew Lai +1 more
TL;DR: In this article, a review of methods of constructing bivariate distributions is presented, with the hope that a new bivariate distribution can be fitted into one of these schemes, based on loosely connected common structures.
Journal ArticleDOI
Bivariate semi-Pareto distributions and processes
N. Balakrishna,K. Jayakumar +1 more
TL;DR: In this article, the authors proposed an autoregressive mtniflcation model for bTVariate random vectors with bivariate semi-Pareto and bivariate Pareto distributions.
Journal ArticleDOI
Gamma stochastic volatility models
TL;DR: In this article, a gamma autoregressive stochastic volatility model was proposed to capture the leptokurtic nature of return distributions and the slowly decaying autocorrelation functions of squared stock index returns for the USA and UK.