Statistical Finance and Econometrics

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.

Preprint [SSRN] and [arXiv: 1303.4314 ] Available at SSRN: https://ssrn.com/abstract=2235687 or http://dx.doi.org/10.2139/ssrn.2235687

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.

Available on SSRN

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