Ayush Jha

Texas Tech University

2500 Broadway

Lubbock, TX 79409

United States

  • Texas Tech University

SCHOLARLY PAPERS

4

DOWNLOADS

211

TOTAL CITATIONS

1

Scholarly Papers (4)

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1.

Beyond the Traditional VIX: A Novel Approach to Identifying Uncertainty Shocks in Financial Markets

Number of pages: 19 Posted: 04 Nov 2024 Last Revised: 05 Nov 2024
Ayush Jha, Abootaleb Shirvani, Svetlozar T. Rachev and Frank J. Fabozzi
Texas Tech University, Kean University, Texas Tech University and Johns Hopkins University - Carey Business School
Downloads 100 (579,514)
Citation 1

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Asset Pricing, Volatility, Long Memory, Uncertainty Shocks, Financial Market Modeling

2.

Advancing Portfolio Optimization: Adaptive Minimum-Variance Portfolios and Minimum Risk Rate Frameworks

Number of pages: 29 Posted: 24 Feb 2025
Ayush Jha, Abootaleb Shirvani, Ali M. Jaffri, Svetlozar T. Rachev and Frank J. Fabozzi
Texas Tech University, Kean University, Texas Tech University, Texas Tech University and Johns Hopkins University - Carey Business School
Downloads 49 (858,921)

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Shadow Riskless Rate, Adaptive Minimum-Variance Portfolio, Adaptive Minimum-Risk Rate, Long-Range Depedence, Asset Pricing, Risk Premia

3.

The Fed Information Effect: Spillovers in the Subprime Housing Market in the United States *

Number of pages: 15 Posted: 23 Jan 2025
Ayush Jha and Ali M. Jaffri
Texas Tech University and Texas Tech University
Downloads 39 (948,132)

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Unconventional Monetary Policy Shocks, Subprime Index, Housing Market, Liquidity Constraints

4.

Multivariate Affine GARCH with Heavy Tails: A Unified Framework for Portfolio Optimization and Option Valuation

Number of pages: 32 Posted: 19 May 2025
Ayush Jha, Abootaleb Shirvani, Ali M. Jaffri, Svetlozar T. Rachev and Frank J. Fabozzi
Texas Tech University, Kean University, Texas Tech University, Texas Tech University and Johns Hopkins University - Carey Business School
Downloads 23 (1,137,742)

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Option Pricing, Multivariate Affine GARCH, Portfolio Optimization, Wealth Accumulation. JEL Codes: G10, G11, G13, G17