Matthew Ames

The Institute of Statistical Mathematics

Tokyo

Japan

ResilientML

Melbourne

Australia

SCHOLARLY PAPERS

13

DOWNLOADS
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2,409

SSRN CITATIONS

3

CROSSREF CITATIONS

3

Scholarly Papers (13)

1.

Violations of Uncovered Interest Rate Parity and International Exchange Rate Dependences

Number of pages: 34 Posted: 01 Aug 2015
Matthew Ames, Matthew Ames, Guillaume Bagnarosa and Gareth Peters
The Institute of Statistical MathematicsResilientML, ESC Rennes School of Business and University of California Santa Barbara
Downloads 423 (105,384)
Citation 4

Abstract:

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Forward Premium Puzzle, Speculative Trading Volumes, Multivariate Tail Dependence, Mixture Copula Models, Currency Carry Trade, Covariance Regressions

2.

Which Risk Factors Drive Oil Futures Price Curves?

Number of pages: 63 Posted: 20 Sep 2016 Last Revised: 03 Feb 2020
The Institute of Statistical MathematicsResilientML, ESC Rennes School of Business, The Institute of Statistical Mathematics, University of California Santa Barbara and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 326 (141,112)
Citation 2

Abstract:

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Crude oil futures, Theory of storage, Theory of normal backwardation, Hedging pressure, Futures Term structure

3.

Forecasting Covariance for Optimal Carry Trade Portfolio Allocations

Number of pages: 5 Posted: 07 Jan 2016
Matthew Ames, Matthew Ames, Guillaume Bagnarosa, Gareth Peters and Pavel V. Shevchenko
The Institute of Statistical MathematicsResilientML, ESC Rennes School of Business, University of California Santa Barbara and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 325 (141,564)

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Covariance Forecasting, Currency Carry Trade, Covariance Regression, Markowitz Portfolio, Equal Risk Contribution

4.

Understanding the Interplay between Covariance Forecasting Factor Models and Risk Based Portfolio Allocations in Currency Carry Trades

Number of pages: 25 Posted: 05 Dec 2015
Matthew Ames, Matthew Ames, Guillaume Bagnarosa, Gareth Peters and Pavel V. Shevchenko
The Institute of Statistical MathematicsResilientML, ESC Rennes School of Business, University of California Santa Barbara and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 266 (174,963)
Citation 1

Abstract:

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Covariance Forecasting, Currency Carry Trade, Covariance Regression, Generalised Multi-Factor Model, Portfolio Optimisation

5.

Reinvestigating the Uncovered Interest Rate Parity Puzzle via Analysis of Multivariate Tail Dependence in Currency Carry Trades

Number of pages: 26 Posted: 22 Mar 2013 Last Revised: 23 Jan 2014
Matthew Ames, Matthew Ames, Guillaume Bagnarosa and Gareth Peters
The Institute of Statistical MathematicsResilientML, ESC Rennes School of Business and University of California Santa Barbara
Downloads 223 (206,952)
Citation 2

Abstract:

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Currency carry trade, Multivariate tail dependence, Forward premium puzzle, Mixture copula models, Generalized Archimedean copula, Extreme value copula

6.

Hybrid ARDL-MIDAS-Transformer Time-Series Regressions for Multi-Topic Crypto Market Sentiment Driven by Price and Technology Factors

Number of pages: 57 Posted: 21 Aug 2021 Last Revised: 03 Sep 2021
Ioannis Chalkiadakis, Gareth Peters, Matthew Ames and Matthew Ames
ESC Rennes School of Business, University of California Santa Barbara and The Institute of Statistical MathematicsResilientML
Downloads 220 (209,629)

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MIDAS; Transformer; multi-scale resolution data; sentiment modelling; natural language processing; Gegenbauer long memory

7.

Upside and Downside Risk Exposures of Currency Carry Trades via Tail Dependence

Number of pages: 19 Posted: 18 Jun 2014
Matthew Ames, Matthew Ames, Gareth Peters, Guillaume Bagnarosa and Ioannis Kosmidis
The Institute of Statistical MathematicsResilientML, University of California Santa Barbara, ESC Rennes School of Business and Department of Statistical Science, University College London
Downloads 145 (301,178)

Abstract:

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Currency carry trade, Multivariate tail dependence, Forward premium puzzle, Mixture models, Generalized Archimedean copula

8.

Tutorial on Empirical Mode Decomposition: Basis Decomposition and Frequency Adaptive Graduation in Non-Stationary Time Series

Number of pages: 54 Posted: 07 Sep 2021 Last Revised: 03 Oct 2022
Cole van Jaarsveldt, Gareth Peters, Matthew Ames, Matthew Ames and Mike J. Chantler
Heriot-Watt University - Department of Actuarial Mathematics and Statistics, University of California Santa Barbara, The Institute of Statistical MathematicsResilientML and Heriot-Watt University - Department of Computer Science
Downloads 140 (313,161)

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Time Series Analysis, Empirical Mode Decomposition, Fourier Analysis, Wavelet Analysis, Independent Component Analysis, X11, Non-Stationary, Graduation, Signal Decomposition

9.

Package AdvEMDpy: Algorithmic Variations of Empirical Mode Decomposition in Python

Number of pages: 48 Posted: 25 Oct 2021 Last Revised: 19 Oct 2022
Cole van Jaarsveldt, Matthew Ames, Matthew Ames, Gareth Peters and Mike J. Chantler
Heriot-Watt University - Department of Actuarial Mathematics and Statistics, The Institute of Statistical MathematicsResilientML, University of California Santa Barbara and Heriot-Watt University - Department of Computer Science
Downloads 111 (367,426)

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Empirical Mode Decomposition (EMD), Statistical EMD (SEMD), Enhanced EMD (EEMD), Ensemble EMD, Hilbert transform, time series analysis, filtering, graduation, Winsorization, downsampling, splines, knot optimisation, Python, R, MATLAB

10.

A Weighted Spatio-Temporal Model for County Yields

Number of pages: 51 Posted: 07 Sep 2019
Matthew Ames, Matthew Ames, Guillaume Bagnarosa, Suikai Gao, Tomoko Matsui and Gareth Peters
The Institute of Statistical MathematicsResilientML, ESC Rennes School of Business, ESC Rennes School of Business, The Institute of Statistical Mathematics and University of California Santa Barbara
Downloads 99 (397,187)

Abstract:

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Crop yields, crop insurance pricing, SARIMA, Gaussian process

11.

An Online Appendix to: 'Violations of Uncovered Interest Rate Parity and International Exchange Rate Dependences'

Number of pages: 13 Posted: 04 Aug 2015
Matthew Ames, Matthew Ames, Guillaume Bagnarosa and Gareth Peters
The Institute of Statistical MathematicsResilientML, ESC Rennes School of Business and University of California Santa Barbara
Downloads 75 (473,898)

Abstract:

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Forward Premium Puzzle, Speculative Trading Volumes, Multivariate Tail Dependence, Mixture Copula Models, Currency Carry Trade, Covariance Regressions

12.

Supplementary Material: Which Risk Factors Drive Oil Futures Price Curves?

Number of pages: 18 Posted: 16 Jan 2019
The Institute of Statistical MathematicsResilientML, ESC Rennes School of Business, The Institute of Statistical Mathematics, University of California Santa Barbara and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 42 (615,710)

Abstract:

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Crude oil, Short-term factor, Long-term factor, Hybrid Multi-Factor model, Macroeconomical factors, Term structure

13.

Supplement to: Package AdvEMDpy: Algorithmic Variations of Empirical Mode Decomposition in Python

Number of pages: 13 Posted: 19 Oct 2022
Cole van Jaarsveldt, Matthew Ames, Matthew Ames, Gareth Peters and Mike J. Chantler
Heriot-Watt University - Department of Actuarial Mathematics and Statistics, The Institute of Statistical MathematicsResilientML, University of California Santa Barbara and Heriot-Watt University - Department of Computer Science
Downloads 14 (821,673)

Abstract:

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Empirical Mode Decomposition (EMD), Statistical EMD (SEMD), Enhanced EMD (EEMD), Ensemble EMD, Hilbert transform, time series analysis, filtering, graduation, Winsorization, downsampling, splines, knot optimisation, Python, R, MATLAB