Our Faculty

Education

• Research interests

  Financial Econometrics

  Volatility Modelling

  Risk Management

  Financial Time Series

• Selected publications

  Patra, S., & Malik, K. (2025). Return and volatility connectedness among US and Latin American markets: A QVAR approach with implications for hedging and portfolio diversification. Global Finance Journal. Elsevier. https://doi.org/10.1016/j.gfj.2025.101094

  Patra, S., and Gupta, N. (2025). Unravelling the volume-volatility nexus in cryptos under structural breaks using fat-tailed distributions: Mixture of distribution hypothesis and implications for market efficiency. The European Journal of Finance, 1–20, Taylor and Francis Online. https://doi.org/10.1080/1351847X.2025.2453732

  Patra, S. and Malik, K. (2024). Can oil be used as an alternate asset for investment? Unveiling new insights using the NARDL model incorporating structural breaks. Accounting and Finance, 00, 1–25, Wiley-Blackwell Publishing. https://doi.org/10.1111/acfi.13386

  Patra, S., Bhattacharyya, M., (2024) Charting the Unknown: First Passage Time Probabilities for Pearson Diffusion Process and Application to Options Risk Management, American Business Review: Vol. 27: No. 2, Article 10. DOI: 10.37625/abr.27.2.623-639

  Patra, S., (2024). An empirical analysis of the volume-volatility nexus in crude oil markets under structural breaks: Implications for forecasting. International Review of Economics and Finance, Volume 94, ScienceDirect, Elsevier.
  https://doi.org/10.1016/j.iref.2024.103434

  Patra, S., Gupta, N. (2023). Risk in the cryptocurrency markets: The role of structural breaks and fat-tailed distributions in estimating value-at-risk and expected shortfall, The European Journal of Finance, Taylor and Francis, 10.1080/1351847X.2023.2241516

  Patra, S. (2022). Reexamining the Volume-Volatility Nexus for Crude Oil Markets Under Structural Breaks: An Implication for Forecasting. SSRN http://dx.doi.org/10.2139/ssrn.4293773

  Patra, S. (2021). Revisiting value-at-risk and expected shortfall in oil markets under structural breaks: The role of fat-tailed distributions. Energy Economics, 101, 105452. Elsevier ScienceDirect. https://doi.org/10.1016/j.eneco.2021.105452

  Patra, S., and Bhattacharyya, M. (2020). How Risky Are the Options? A Comparison with the Underlying Stock Using MaxVaR as a Risk Measure. Risks, 8(3), 76. https://doi.org/10.3390/risks8030076

  Patra, S., and Panda, P. (2019). Spill overs and financial integration in emerging markets: Analysis of BRICS economies within a VAR-BEKK framework. International Journal of Finance and Economics, 26, 493–514. https://doi.org/10.1002/ijfe.1801

  Patra, S. and Bhattacharyya, M. (2019). Does volume really matter? A risk management perspective using cross country evidence. International Journal of Finance and Economics, 26(1), 118 – 135. https://doi.org/10.1002/ijfe.1780

  Link to Google Scholar

• Conferences

  Malik, K., and Patra, S., Return and volatility connectedness among US and Latin American markets: A QVAR approach with implications for hedging and portfolio diversification. Paper presented at the International Finance Conference 2024, XLRI-Jamshedpur, India (September 13–14, 2024).

  Patra, S. (Author and Presenter), How Precious are they? Re-examining the safe-haven properties of precious metals under financial stress and equity market uncertainty using the novel NARDL approach, World Finance Conference, University of Cyprus, Nicosia, August 2024.

  Malik, K., and Patra, S., Can oil act as a safe-haven asset during financial turmoil? Unveiling new insights using NARDL model incorporating structural breaks. Paper presented at the 30th Annual Conference of the Multinational Finance Society, Vaasa, Finland (June 30–July 3, 2024).

  Patra, S. (Author and Presenter), The Impact of Financial Stress and Equity market uncertainty on Cryptocurrencies under structural breaks, Multinational Finance Society, University of Vaasa, June 2024.

  Patra, S. (Author and Presenter), Navigating the Carbon Markets: Optimal strategy for industrial emission allowance procurement, Commodities and Energy Market Association, Boston University, June 2024.

  Patra, S. (Author and Presenter), Estimating the tail risk in the European day-ahead electricity markets: Assessing the impact of structural breaks and fat-tailed distributions, Energy Finance Italia, University of Bari, February 2024.

  Patra, S. (Author and Presenter), Unravelling the Volume-Volatility Nexus in Cryptos under structural breaks using fat-tailed distributions: Implications for Market Efficiency, Cardiff Business School, November-2023.

  Patra, S. (Author and Presenter), FinTech and AI in Finance (FinTAF) 2023 conference, Reexamining the Volume-Volatility nexus and its impact on risk in the cryptocurrency markets, Sheffield, UK (January 12, 2023).

  Gupta, N., Patra, S., World Finance Conference 2022, Risk in the cryptocurrency markets: The role of structural breaks and fat-tailed distributions in estimating value-at-risk and expected shortfall, School of Management and Economics, University of Turin (August 1, 2022).

  Patra, S. (Author and Presenter), International Conference on Advances in Business and Law (ICABL 2020), Examining the Volume-Volatility Relationship for Crude Oil Markets: An Implication for Forecasting, University of Dubai, UAE. (November 22, 2020).

  Patra, S. (Author and Presenter), International Conference on Advances in Business and Law (ICABL 2020), Revisiting Value-at-Risk and Expected Shortfall in Oil Markets under Structural Breaks: The Role of Fat-Tailed Distributions, University of Dubai, UAE. (November 22, 2020).

  Patra, S. (Author and Presenter), International Risk management Conference (IRMC 2020), Revisiting value-at-risk and expected shortfall in oil markets under structural breaks: The role of fat-tailed distributions, Global Virtual Conference. (October 10, 2020).

  Patra, S. (Author and Presenter), Multinational Finance Society Annual Conference 2016, A novel non-linear Value-at- Risk method for Options: The use of Pearson’s Type IV distribution, Stockholm Business School, Stockholm. (June 26, 2016).

  Patra, S. (Author and Presenter), IFABS Annual Conference 2016, The impact of Volume on Volatility and Value-at- Risk: Evidence from major stock exchanges around the world, UAB, Barcelona. (June 1, 2016).

• Working papers

  Do Mutual Funds beat the markets: A comprehensive study of Indian Equity Mutual Funds in Bull and Bear Periods.

  Static and Dynamic Value-at-Risk for Options: Do distributional Assumptions Matter?

  First Passage Probabilities of Pearson Diffusion Process with Application to Options.

• Courses

  Corporate Finance

  Advanced Corporate Finance

  Quantitative Methods – I

  Quantitative Methods – II

  Introduction to Econometrics

  Time Series Analysis

  R Programming

• Teaching interest

  Corporate Finance

  Financial Risk Management

  Financial Analytics

  Quantitative Methods

  Business Analytics

• Work experience

  S. P. Jain Institute of Management & Research, Mumbai (December 2017 – present)

  Assistant Professor

  University of Luxembourg, Luxembourg (July 2023-present)

  Visiting Research Fellow

  Indian Institute of Management, Amritsar (June 2017- November 2017)

  Assistant Professor

  Administrative assignments

  Head, Central Examination, SPJIMR. (October 1, 2019 – February 2023)

  Project Lead, Analytics Specialization (PGPM), SPJIMR (July 1, 2021- April 2023)

• MDPS/FDPS

  Corporate Finance for RBI

  Business Analytics- Open MDP

  FinTech- Open MDP

• Reviewer experience

  Energy Economics

  International Review of Financial Analysis

  Journal of Forecasting

  Applied Economics

  Journal of Commodity Markets

  Pacific Basin Finance Journal

  Asia-Pacific Financial Markets

  Journal of Economic and Administrative Sciences

• Professional service

  Visiting Faculty at GSV, Vadodara