Research Output 1966 2019

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Working paper
2018

Market Resilience

Danielsson, J., Panayi, E., Peters, G. & Zigrand, J-P., 11 May 2018, SSRN, 51 p.

Research output: Working paper

resilience
drought
thresholds
ranking
regression analysis
Mortality
Long memory models
Life table
Long memory
Life expectancy

Multivariate Long Memory Cohort Mortality Models

Yan, H., Peters, G. & Chan, J., 23 Apr 2018, SSRN, 25 p.

Research output: Working paper

Cohort
Mortality
Long memory
Lee-Carter model
Mortality rate

Spatial Field Reconstruction of Non-Gaussian Random Fields: The Tukey G-and-H Random Process

Nagarajan, S. G., Peters, G. & Nevat, I., 27 Apr 2018, SSRN, 37 p.

Research output: Working paper

simulation
family
distribution
monitoring network
2017

Bayesian Inference for Dynamic Cointegration Models with Application to Soybean Crush Spread

Marówka, M., Peters, G., Kantas, N. & Bagnarosa, G., 1 May 2017, SSRN.

Research output: Working paper

Bayesian inference
Cointegration
Soybean
Markov chain Monte Carlo
Refinery

Estimation of Cointegrated Spaces: A Numerical Case Study on Efficiency, Accuracy and Influence of the Model Noise

Marówka, M., Peters, G., Kantas, N. & Bagnarosa, G., 16 Feb 2017, SSRN, 28 p.

Research output: Working paper

Cointegration
Multivariate Time Series
Model
Range of data
Reduced Rank
Trading behavior
Long memory models
Financial time series
Long memory
Commodity futures

Multi yield curve stress-testing framework incorporating temporal and cross tenor structural dependencies

Peters, G., Karimalis, E. & Kosmidis, I., 10 Apr 2017, Bank of England: Bank of England.

Research output: Working paper

Open Access
Yield curve
Interest rates
Liquidity
Credit
Stress testing

Nonrecursive Separation of Risk and Time Preferences

Fahrenwaldt, M. A., Steffensen, M. & Jensen, N., 20 Sep 2017, SSRN, 28 p.

Research output: Working paper

Time preference
Risk preferences
Value function
Recursive utility
Certainty equivalent
Statistical Learning
Insurance
Machine Learning
Dimension Reduction
Feature Extraction
Stochastic models
Feature extraction
Model structures
Markov processes
Sampling

Supplement to: 'Spectral Characterization of the Family α-Stable Processes that Generalize Gaussian Process Models.'

Azzaoui, N., Peters, G., Guillin, A. & Egan, M., 12 Jan 2017, SSRN, 42 p.

Research output: Working paper

family

Tutorial on General Quantile Time Series Constructions

Peters, G., 21 Oct 2017, SSRN, 33 p.

Research output: Working paper

Quantile
Tutorial
Modeling
Transparency
Positive ions
Electronic trading
Processing
Negative Dependence
Concordance
Positive Dependence
Tensor
Tail Dependence

Standardized Measurement Approach for Operational Risk: Pros and Cons

Peters, G., Shevchenko, P. V., Hassani, B. & Chapelle, A., 4 Jun 2016, SSRN, 18 p.

Research output: Working paper

Operational risk
Standardization
Risk capital
Modeling
Risk taking

Which Risk Factors Drive Oil Futures Price Curves? Speculation and Hedging in the Short and Long-Term

Ames, M., Bagnarosa, G., Peters, G., Shevchenko, P. V. & Matsui, T., 20 Sep 2016, SSRN, 29 p.

Research output: Working paper

Speculation
Futures prices
Oil
Hedging
Spot price
2014

Estimation of Joint Distribution of Demand and Available Renewables for Generation Adequacy Assessment

Zachary, S. & Dent, C. J., 2014, (Unpublished).

Research output: Working paper

File
Sampling
Model structures
Risk assessment
Statistical methods
Uncertainty
2010

A Note on Target Distribution Ambiguity for Likelihood-Free Samplers (ABC)

Sisson, S., Peters, G., Briers, M. & Fan, Y., 28 May 2010, arXiv.

Research output: Working paper

Markov processes
2009

Strong homotopy lie algebras, generalized nahm equations and multiple M2-branes

Lazaroiu, C., McNamee, D., Saemann, C. & Zejak, A., 26 Jan 2009.

Research output: Working paper

Branes
Generalized Equation
Homotopy
Lie Algebra
Yang-Mills Equation
2002
1998

MathWise Basic Algebra Assessment

Beevers, C. & Dorner, J., 1998, NAG.

Research output: Working paper

1994

The Dynamical Correlation Function of the XXZ Model

Bougourzi, H. & Weston, R. A., 1994.

Research output: Working paper