Statistical Finance and Econometrics:   2017

Title:  Reinvestigating the Uncovered Interest Rate Parity Puzzle via Analysis of Multivariate Tail Dependence in Currency Carry Trades. (2017)

Journal:  Journal of International Money and Finance.

Ames M., Bagnarosa G., Peters G.W. and Shevchenko P.V.

Title:   Forecasting Covariance for Optimal Carry Trade Portolio Allocations. (2017)

Journal:   IEEE Transactions on Signal Processing ICASSP Special Issue. 

Ames M., Bagnarosa G., Peters G.W. and Shevchenko P.V.

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