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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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