20022020

Research output per year

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Research Output

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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

Multivariate Long Memory Cohort Mortality Models

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

Research output: Working paper

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

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

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

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

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

Tutorial on General Quantile Time Series Constructions

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

Research output: Working paper

2016

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

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

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

2002