His research interests are in the areas of financial risk management and financial time series analysis. More specifically his works include VaR estimation and forecasting, financial risk forecasting, portfolio optimization, volatility forecasting, liquidity adjusted CAPM. All these works are based on application of different statistical tools and techniques which include topics such as GARCH, Co-integration, EVT and Copula. His research has been published in reputed international journals including International Journal of Forecasting, International Review of Financial Analysis, International Review of Economics and Finance, Quarterly Review of Economics and Finance.
- Portfolio risk management based on GARCH-EVT-Copula
- Copula based hedging strategies
- Liquidity risk and its pricing