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Research

Debashis Guha’s Research Publications

  • “Rational Factor Rotation” (with Larry Pohlman), to be presented at the World Finance Conference, Turin, Italy. Aug 2022.
  • “Sector Rotation in Times of Crises” (with Pratiksha Sharma et al), to appear in Journal of Portfolio Management. July 2022.
  • “Bankruptcy prediction using machine learning and an application to the case of the COVID-19 recession” (with Aditya Narvekar), Data Science in Finance and Economics, 1(2): 180–195. Oct 2021.
  • “A Qualitative Study of Implementing Blockchain Technology in The AdTech Offerings At Jio Platforms”, (with A Rammohan et al), Empirical Economics Letters, 2021.
  • “Deep Learning for Information Extraction in Finance Documents—Corporate Loan Operations”(with Guru Anand et al), 2020 11th IEEE Annual Information Technology, Electronics and Mobile Communication Conference (IEMCON)
  • “Revenue forecasting and management system for the hospitality industry based on high frequency data”, BSQR Report, 2016.
  • “Development of regime identification methods for high frequency stock prices”, BSQR Report, 2016.
  • “Large scale indicator models for data-driven macro-investing”, Big Sky Capital Report, 2004.
  • “Using Economic Indicators To Predict Asset Prices”, Big Sky Capital Research Report, 2003.
  • “The Aggregate Credit Spread and the Business Cycle” (with Lorene Hiris), International Review of Financial Analysis, Vol 11. No.2, 2002.
  • “Value At Risk Conditioned on Macroeconomic Information”, in E. Solojentsev, V. Karasev (Eds), Proceedings of the Second International Scientific School on Modeling and Analyses of Safety and Risk in Complex Systems, July 2002, St. Petersburg, Russia.
  • “What Determines Inflation in the U.S.: Job Growth or Unemployment?” (with Dimitra Visviki), International Journal of Forecasting, Volume 17, Issue 3, July – September 2001
  • “Testing for Regional Cycles: A Markov Switching Approach” (with Anirvan Banerji), Journal of Economic and Social Measurement, 25, 1998-99, 163-182.
  • “A Cyclical Framework for Forecasting Trade Flows” (with Lorene Hiris), in Khosrow Fatemi (ed.) International Public Policy and Regionalism at the Turn of the Century, 2001, Elsevier Science, Oxford, U.K.
  • “Forecasting the Quality Spread Using Business Cycle Indicators” (with Lorene Hiris), Presented at the annual meeting of the European Financial Management Association at Lugano, Switzerland, 2001. Available at https://papers.ssrn.com/sol3/papers.cfm?abstract_id=267004 (604 downloads) Older version presented at the European Meeting of the Financial Management Association, held in Barcelona, Spain, June 1999.
  • “The Impact of the Business Cycle on the Corporate-Treasury Yield Spread: An Empirical Investigation” (with Lorene Hiris), presented at the Annual Meeting of the Midwestern Finance Association held in Nashville, Tennessee, March 1999.
  • “Monitoring Eurozone Inflation Cycles: A Market-Based Gauge of Current Inflation”, ECRI International Cyclical Outlook, Vol. V, No. 4, April 2000.
  • “Forecasting the Quality Spread Using Business Cycle Indicators” (with Lorene Hiris), presented at the European Meeting of the Financial Management Association, held in Barcelona, Spain, June 1999.
  • “Relative Yield Index: An Indicator of Stock Market Risk”, ECRI International Cyclical Outlook, Vol. IV, No. 9, September 1999
  • “Forecasting Movements in the Yen-Dollar Exchange Rate Using the Growth Rate Gap”, ECRI International Cyclical Outlook, Vol. IV, No. 8, August 1999.
  • “Future Gauges of Housing Price Growth”, ECRI U.S. Cyclical Outlook, Vol. IV, No. 8, August 1999.
  • “Using the Expected Growth Rate Gap to Forecast Exchange Rate Movements”, ECRI International Cyclical Outlook, Vol. IV, No. 3, March 1999.
  • “Will U.S. Unemployment Rise Sharply by Spring?”, ECRI U.S. Cyclical Outlook, Vol. III, No. 11, November 1998.