Matthew Ames

The Institute of Statistical Mathematics

Tokyo

Japan

SCHOLARLY PAPERS

9

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1,253

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CROSSREF CITATIONS

3

Scholarly Papers (9)

1.

Forecasting Covariance for Optimal Carry Trade Portfolio Allocations

Number of pages: 5 Posted: 07 Jan 2016
The Institute of Statistical Mathematics, ESC Rennes School of Business, Department of Actuarial Mathematics and Statistics, Heriot-Watt University and Macquarie University
Downloads 253 (123,482)

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

2.

Violations of Uncovered Interest Rate Parity and International Exchange Rate Dependences

Number of pages: 34 Posted: 01 Aug 2015
The Institute of Statistical Mathematics, ESC Rennes School of Business and Department of Actuarial Mathematics and Statistics, Heriot-Watt University
Downloads 209 (148,812)
Citation 3

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

3.

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
The Institute of Statistical Mathematics, ESC Rennes School of Business, Department of Actuarial Mathematics and Statistics, Heriot-Watt University and Macquarie University
Downloads 206 (150,895)

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

4.

Which Risk Factors Drive Oil Futures Price Curves?

Number of pages: 45 Posted: 20 Sep 2016 Last Revised: 16 Jan 2019
The Institute of Statistical Mathematics, ESC Rennes School of Business, Independent, Department of Actuarial Mathematics and Statistics, Heriot-Watt University and Macquarie University
Downloads 199 (155,870)

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

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
The Institute of Statistical Mathematics, ESC Rennes School of Business and Department of Actuarial Mathematics and Statistics, Heriot-Watt University
Downloads 184 (167,453)
Citation 2

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

6.

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

Number of pages: 19 Posted: 18 Jun 2014
The Institute of Statistical Mathematics, Department of Actuarial Mathematics and Statistics, Heriot-Watt University, ESC Rennes School of Business and Department of Statistical Science, University College London
Downloads 111 (251,931)

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

7.

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

Number of pages: 13 Posted: 04 Aug 2015
The Institute of Statistical Mathematics, ESC Rennes School of Business and Department of Actuarial Mathematics and Statistics, Heriot-Watt University
Downloads 51 (393,234)

Abstract:

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

8.

A Weighted Spatio-Temporal Model for County Yields

Number of pages: 51 Posted: 07 Sep 2019
The Institute of Statistical Mathematics, ESC Rennes School of Business, ESC Rennes School of Business, Independent and Department of Actuarial Mathematics and Statistics, Heriot-Watt University
Downloads 24 (509,582)

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Crop yields, crop insurance pricing, SARIMA, Gaussian process

9.

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

Number of pages: 21 Posted: 16 Jan 2019
The Institute of Statistical Mathematics, ESC Rennes School of Business, Independent, Department of Actuarial Mathematics and Statistics, Heriot-Watt University and Macquarie University
Downloads 16 (556,886)

Abstract:

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