20022020

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2020

Factor-augmented Bayesian cointegration models: a case-study on the soybean crush spread

Marowka, M., Peters, G. W., Kantas, N. & Bagnarosa, G., Apr 2020, In : Journal of the Royal Statistical Society. Series C: Applied Statistics. 69, 2, p. 483-500 18 p.

Research output: Contribution to journalArticle

Open Access
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Probabilistic routing in wireless networks with privacy guarantees

Koh, J. Y., Peters, G. W., Nevat, I. & Leong, D., 1 Feb 2020, In : Computer Communications. 151, p. 228-237 10 p.

Research output: Contribution to journalArticle

Which risk factors drive oil futures price curves?

Ames, M., Bagnarosa, G., Matsui, T., Peters, G. W. & Shevchenko, P. V., Mar 2020, In : Energy Economics. 87, 104676.

Research output: Contribution to journalArticle

2019

An Advanced Estimation Algorithm for Ground-Motion Models with Spatial Correlation

Deyu, M., Huang, C., Peters, G. W. & Galasso, C., 1 Apr 2019, In : Bulletin of the Seismological Society of America. 109, 2, p. 541-566 26 p.

Research output: Contribution to journalArticle

Open Access
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10 Downloads (Pure)

A Non-parametric Test and Predictive Model for Signed Path Dependence

Dias, F. S. & Peters, G. W., 22 Oct 2019, In : Computational Economics. p. 1-38 38 p.

Research output: Contribution to journalArticle

Open Access
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11 Downloads (Pure)

Bayesian Cointegration with Linear State Space Models: a case study on the Soybean Crush Spread

Marowka, M., Peters, G. W., Kantas, N. & Bagnarossa, G., 21 Nov 2019, (Accepted/In press) In : Journal of the Royal Statistical Society Series C: Applied Statistics. 22 p.

Research output: Contribution to journalArticle

Cohort Effects in Mortality Modelling: A Bayesian State-Space Approach

Fung, M. C., Peters, G. W. & Shevchenko, P. V., Mar 2019, In : Annals of Actuarial Science. 13, 1, p. 109-144 36 p.

Research output: Contribution to journalArticle

Open Access
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34 Downloads (Pure)
Open Access
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Multivariate Long-Memory Cohort Mortality Models

Yan, H., Peters, G. W. & Chan, J. S. K., 23 Dec 2019, In : ASTIN Bulletin.

Research output: Contribution to journalArticle

2018

Designating market maker behaviour in limit order book markets

Panayi, E., Peters, G. W., Danielsson, J. & Zigrand, J-P., Jan 2018, In : Econometrics and Statistics. 5, p. 20-44

Research output: Contribution to journalArticle

Open Access
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27 Downloads (Pure)

Explicit solutions to correlation matrix completion problems, with an application to risk management and insurance

Georgescu, D. I., Higham, N. J. & Peters, G. W., 14 Mar 2018, In : Royal Society Open Science. 5, 3, 172348.

Research output: Contribution to journalArticle

Open Access
File
26 Downloads (Pure)

Financial Big Data Solutions for State Space Panel Regression in Interest Rates Dynamics

Toczydlowska, D. & Peters, G. W., 18 Jul 2018, In : Econometrics. 6, 3, 34.

Research output: Contribution to journalArticle

Open Access
File
28 Downloads (Pure)

General Quantile Time Series Regressions for Applications in Population Demographics

Peters, G., 2018, In : Risks. 6, 3, 97.

Research output: Contribution to journalArticle

Open Access
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10 Downloads (Pure)
Open Access
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10 Downloads (Pure)

Location Verification Systems Based on Received Signal Strength With Unknown Transmit Power

Yan, S., Peters, G. W., Nevat, I. & Malaney, R., Mar 2018, In : IEEE Communications Letters. 22, 3, p. 650-653

Research output: Contribution to journalArticle

Spatial Field Reconstruction and Sensor Selection in Heterogeneous Sensor Networks With Stochastic Energy Harvesting

Zhang, P., Nevat, I., Peters, G., Septier, F. & Osborne, M. A., 1 May 2018, In : IEEE Transactions on Signal Processing. 66, 9, p. 2245-2257

Research output: Contribution to journalArticle

Open Access
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88 Downloads (Pure)

Tensor Approximation of Generalized Correlated Diffusions and Functional Copula Operators

Dalessandro, A. & Peters, G. W., Mar 2018, In : Methodology and Computing in Applied Probability. 20, 1, p. 237-271

Research output: Contribution to journalArticle

Open Access
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9 Downloads (Pure)

Understanding the interplay between covariance forecasting factor models and risk-based portfolio allocations in currency carry trades

Ames, M., Bagnarosa, G., Peters, G. W. & Shevchenko, P. V., 25 Feb 2018, In : Journal of Forecasting. p. 1-27 27 p.

Research output: Contribution to journalArticle

Open Access
File
7 Downloads (Pure)
2017

A ruin theoretic design approach for wireless cellular network sharing with facilities

Egan, M., Peters, G. W., Nevat, I., Shirvanimoghaddam, M. & Collings, I. B., Jul 2017, In : Transactions on Emerging Telecommunications Technologies. 28, 7, e3141.

Research output: Contribution to journalArticle

A unified approach to mortality modelling using state-space framework: characterisation, identification, estimation and forecasting

Fung, M. C., Peters, G. W. & Shevchenko, P. V., 1 Sep 2017, In : Annals of Actuarial Science. 11, 2, p. 343-389

Research output: Contribution to journalArticle

Bayesian Modelling, Monte Carlo Sampling and Capital Allocation of Insurance Risks

Peters, G., Targino, R. & Wüthrich, M., 20 Dec 2017, In : Risks. 5, 4, p. 53

Research output: Contribution to journalArticle

Open Access

Capacity Bounds for Additive Symmetric α -Stable Noise Channels

De Freitas, M. L., Egan, M., Clavier, L., Goupil, A., Peters, G. W. & Azzaoui, N., Aug 2017, In : IEEE Transactions on Information Theory. 63, 8, p. 5115-5123 9 p.

Research output: Contribution to journalArticle

Full Bayesian analysis of claims reserving uncertainty

Peters, G. W., Targino, R. S. & Wüthrich, M. V., 1 Mar 2017, In : Insurance: Mathematics and Economics. 73, p. 41-53 13 p.

Research output: Contribution to journalArticle

Optimal Exercise Strategies for Operational Risk Insurance via Multiple Stopping Times

Targino, R. S., Peters, G. W., Sofronov, G. & Shevchenko, P. V., Jun 2017, In : Methodology and Computing in Applied Probability. 19, 2, p. 487-518 32 p.

Research output: Contribution to journalArticle

Open Access
File
9 Downloads (Pure)

Optimal Privacy-Preserving Probabilistic Routing for Wireless Networks

Koh, J. Y., Leong, D., Peters, G. W., Nevat, I. & Wong, W-C., 1 Sep 2017, In : IEEE Transactions on Information Forensics and Security. 12, 9, p. 2105-2114

Research output: Contribution to journalArticle

Parameter Estimation in Sensor Networks Under Probabilistic Censoring

Nevat, I., Zhang, P., Frenkel, G. & Peters, G. W., 1 Aug 2017, In : IEEE Transactions on Signal Processing. 65, 15, p. 4047-4058 12 p.

Research output: Contribution to journalArticle

Some recent developments in Markov Chain Monte Carlo for cointegrated time series

Marowka, M., Peters, G. W., Kantas, N. & Bagnarosa, G., 8 Nov 2017, In : ESAIM: Proceedings and Surveys. 59, p. 76-103 28 p.

Research output: Contribution to journalArticle

Open Access
File
42 Downloads (Pure)

Statistical modelling for precision agriculture: A case study in optimal environmental schedules for Agaricus Bisporus production via variable domain functional regression

Panayi, E., Peters, G. W., Kyriakides, G. & Gao, Z-K. (ed.), 29 Sep 2017, In : PLoS ONE. 12, 9, p. e0181921

Research output: Contribution to journalArticle

Open Access
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19 Downloads (Pure)

Stochastic Period and Cohort Effect State-Space Mortality Models Incorporating Demographic Factors via Probabilistic Robust Principal Components

Toczydlowska, D., Peters, G. W., Fung, M. C. & Shevchenko, P. V., Sep 2017, In : Risks. 5, 3, 42.

Research output: Contribution to journalArticle

Open Access
File
28 Downloads (Pure)

Violations of uncovered interest rate parity and international exchange rate dependences

Ames, M., Bagnarosa, G. & Peters, G. W., 1 May 2017, In : Journal of International Money and Finance. 73, p. 162-187

Research output: Contribution to journalArticle

2016

A Bayesian Perspective on Multiple Source Localization in Wireless Sensor Networks

Nguyen, T. L. T., Septier, F., Rajaona, H., Peters, G. W., Nevat, I. & Delignon, Y., 1 Apr 2016, In : IEEE Transactions on Signal Processing. 64, 7, p. 1684-1699

Research output: Contribution to journalArticle

Efficient Sequential Monte-Carlo Samplers for Bayesian Inference

Nguyen, T. L. T., Septier, F., Peters, G. W. & Delignon, Y., 1 Mar 2016, In : IEEE Transactions on Signal Processing. 64, 5, p. 1305-1319

Research output: Contribution to journalArticle

Estimating Quantile Families of Loss Distributions for Non-Life Insurance Modelling via L-Moments

Peters, G., Chen, W. & Gerlach, R., 20 May 2016, In : Risks. 4, 2, p. 14

Research output: Contribution to journalArticle

Event Detection in Sensor Networks with Non-Linear Amplifiers via Mixture Series Expansion

Zhang, P., Nevat, I., Peters, G. W. & Clavier, L., 15 Sep 2016, In : IEEE Sensors Journal. 16, 18, p. 6939-6946 8 p.

Research output: Contribution to journalArticle

Location of Things: Geospatial Tagging for IoT Using Time-of-Arrival

Nevat, I., Peters, G. W., Avnit, K., Septier, F. & Clavier, L., Jun 2016, In : IEEE Transactions on Signal and Information Processing over Networks. 2, 2, p. 174-185 12 p.

Research output: Contribution to journalArticle

Location Verification Systems for VANETs in Rician Fading Channels

Yan, S., Malaney, R., Nevat, I. & Peters, G. W., Jul 2016, In : IEEE Transactions on Vehicular Technology. 65, 7, p. 5652-5664 13 p.

Research output: Contribution to journalArticle

Location Verification Systems Under Spatially Correlated Shadowing

Yan, S., Nevat, I., Peters, G. W. & Malaney, R., Jun 2016, In : IEEE Transactions on Wireless Communications. 15, 6, p. 4132-4144 13 p.

Research output: Contribution to journalArticle

Opening discussion on banking sector risk exposures and vulnerabilities from Virtual currencies: An Operational Risk perspective

Peters, G. W., Chapelle, A. & Panayi, E., 1 Nov 2016, In : Journal of Banking Regulation. 17, 4, p. 239-272 34 p.

Research output: Contribution to journalArticle

Participatory Sensing Data Tweets for Micro-Urban Real-Time Resiliency Monitoring and Risk Management

Murakami, D., Peters, G. W., Yamagata, Y. & Matsui, T., 12 Jan 2016, In : IEEE Access. 4, p. 347-372 26 p.

Research output: Contribution to journalArticle

Should the advanced measurement approach be replaced with the standardized measurement approach for operational risk?

Peters, G. W., Shevchenko, P. V., Hassani, B. & Chapelle, A., Sep 2016, In : Journal of Operational Risk. 11, 3, p. 1-49 49 p.

Research output: Contribution to journalArticle

Open Access
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31 Downloads (Pure)
2015

Estimation of Spatially Correlated Random Fields in Heterogeneous Wireless Sensor Networks

Nevat, I., Peters, G. W., Septier, F. & Matsui, T., 15 May 2015, In : IEEE Transactions on Signal Processing. 63, 10, p. 2597-2609

Research output: Contribution to journalArticle

Event Detection in Wireless Sensor Networks in Random Spatial Sensors Deployments

Zhang, P., Nevat, I., Peters, G. W., Xiao, G. & Tan, H-P., 15 Nov 2015, In : IEEE Transactions on Signal Processing. 63, 22, p. 6122-6135

Research output: Contribution to journalArticle

Heavy-tailed features and dependence in limit order book volume profiles in futures markets

Richards, K-A., Peters, G. W. & Dunsmuir, W., 1 Sep 2015, In : International Journal of Financial Engineering. 2, 3, p. 1550033

Research output: Contribution to journalArticle

Risk Margin Quantile Function via Parametric and Non-Parametric Bayesian Approaches

Dong, A. X. D., Chan, J. S. K. & Peters, G. W., 1 Sep 2015, In : ASTIN Bulletin: The Journal of the IAA. 45, 3, p. 503-550

Research output: Contribution to journalArticle

Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models

Targino, R. S., Peters, G. W. & Shevchenko, P. V., Mar 2015, In : Insurance: Mathematics and Economics. 61, p. 206-226 21 p.

Research output: Contribution to journalArticle

Open Access