Journal articles

J15. Term structure estimation with liquidity-adjusted Affine Nelson Siegel model: A nonlinear state space approach applied to the Indian bond market, Applied Economics, 2022 (with Sudarshan Kumar)

J14. Choice of margin period of risk and netting for computing margins in central counterparty clearinghouses: a Monte Carlo investigation, Journal of Financial Market Infrastructures, 2021 (with Jayanth R. Varma)

J13. Rational repricing of risk during Covid-19: Evidence from Indian single stock option market, Journal of Futures Markets, 2021 (with Jayanth R. Varma and Sobhesh K. Agarwalla)

J12. The impact of COVID-19 on tail risk: Evidence from Nifty index options, Economics Letters, 2021 (with Jayanth R. Varma and Sobhesh K. Agarwalla)

J11. Web applications for teaching portfolio analysis and option pricing, Journal of Financial Education, 2021 (with Jayanth R. Varma) [published version of working paper WP2017-03-05]

J10. Time discount rate of forest dependent communities: Evidence from Andhra Pradesh, Vikalpa (with B. Sundar) [published version of working paper WP2013-12-02]

J9. Shareholders’ reaction to ethical image of sports teams: an event study in the Indian Premier League, Decision (with V. Pingali and S. Jaikumar) [published version of working paper WP2015-03-16]

J8.Numeracy and Financial Literacy of Forest- dependent Communities, Vikalpa, 2019 (with B. Sundar) [published version of working paper WP2013-09-02]

J7. Structured Products for Corporate Risk Management, Global Business Press Expert Insights, 2018 (with Jayanth R. Varma)

J6. Finance in a World of Negative Rates, Global Business Press Expert Insights, 2016 (with Jayanth R. Varma)

J5. Computational Finance using QuantLib-Python, Computing in Science and Engineering, 2016 (with Jayanth R. Varma) [published version of working paper WP2015-03-16]

J4. Distribution of Cross-Section of Price Changes and Measurement of Inflation, Indian Economic Journal, 2012 [published version of working paper WP2003-12-02]

J3. On Estimability of Parsimonious Term Structure Models: An Experiment with the Nelson-Siegel Specification, Applied Economics Letters, 2012 [published version of working paper WP2006-06-01]

J2. GDP-Indexed Bonds, an RBI DRG study (with Errol D’Souza and RBI staff), 2010

J1. A re-look at the long-run stability of the money multiplier in India, Indian Journal of Economics, 2007 [published version of working paper WP2004-09-02]

Working papers

W12. Open Access Temptations: Buyer Beware, WP2016-03-49, 2016

W11. Model Risk in Pricing Path-dependent Derivatives: An Illustration, WP2014-03-22, 2014

W10. Attitudes towards Risk of Forest Dependent Communities: Evidence from Andhra Pradesh, WP2013-12-01 (with B. Sundar), 2013

W9. On the Choice of Optimization Routine in Estimation of Parsimonious Term Structure Models: Results from the Svensson Model, WP2013-01-02, 2013

W8. Assessing NSEs daily zero coupon yield curve estimates: A comparison with few competing alternatives, WP2006-05-05, 2006

W7. Information in the term structure – The Indian evidence (I): Modeling the term structure and information at the short end for future inflation, WP2006-03-01, 2006

W6. Examination of the credit channel of monetary transmission in India: Results from response of commercial banks’ balance sheet to a monetary policy shock, WP2004-09-03, 2004

W5. Operationalising Taylor-type rules for the Indian economy: Issues and some results (1992Q3 2001Q4), WP2004-07-04, 2004

W4. Fan Charts as useful ‘Maps’ for an inflation-targeting central bank: An illustration of the Sveriges Riksbank’s method for presenting density forecasts of inflation, WP2004-04-03, 2004

W3. Estimating output gap for the Indian economy: Comparing results from Unobserved-Components models and the Hodrick-Prescott filter, WP2004-04-02, 2004

W2. Unit root tests: Results from some recent tests applied to select Indian macroeconomic variables, WP2004-02-04, 2004

W1: Developing a Back Series of Monthly and Quarterly National Income Estimates for India: 1983Q1 – 1999Q4 (1993-94 = 100), WP2003-10-03 (with Rohit Kapoor), 2003

D. Doctoral thesis

D. Three Essays in Monetary Economics, IIM Ahmedabad, 2005, Library link