Matthew Ames

ResilientML

Melbourne

Australia

The Institute of Statistical Mathematics

Tokyo

Japan

  • ResilientML

  • The Institute of Statistical Mathematics

SCHOLARLY PAPERS

12

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Scholarly Papers (12)

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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, Gareth Peters and Gareth Peters
The Institute of Statistical MathematicsResilientML, ESC Rennes School of Business and University College London - Department of Statistical ScienceUniversity of California Santa Barbara
Downloads 327 (118,402)
Citation 4

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

2.

Forecasting Covariance for Optimal Carry Trade Portfolio Allocations

Number of pages: 5 Posted: 07 Jan 2016
Matthew Ames, Matthew Ames, Guillaume Bagnarosa, Gareth Peters, Gareth Peters and Pavel V. Shevchenko
The Institute of Statistical MathematicsResilientML, ESC Rennes School of Business, University College London - Department of Statistical ScienceUniversity of California Santa Barbara and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 295 (132,154)

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

3.

Which Risk Factors Drive Oil Futures Price Curves?

Number of pages: 63 Posted: 20 Sep 2016 Last Revised: 03 Feb 2020
Matthew Ames, Matthew Ames, Guillaume Bagnarosa, Tomoko Matsui, Gareth Peters, Gareth Peters and Pavel V. Shevchenko
The Institute of Statistical MathematicsResilientML, ESC Rennes School of Business, The Institute of Statistical Mathematics, University College London - Department of Statistical ScienceUniversity of California Santa Barbara and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 287 (135,981)
Citation 1

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

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, Gareth Peters and Pavel V. Shevchenko
The Institute of Statistical MathematicsResilientML, ESC Rennes School of Business, University College London - Department of Statistical ScienceUniversity of California Santa Barbara and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 249 (157,067)
Citation 1

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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, Gareth Peters and Gareth Peters
The Institute of Statistical MathematicsResilientML, ESC Rennes School of Business and University College London - Department of Statistical ScienceUniversity of California Santa Barbara
Downloads 213 (182,387)
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
Matthew Ames, Matthew Ames, Gareth Peters, Gareth Peters, Guillaume Bagnarosa and Ioannis Kosmidis
The Institute of Statistical MathematicsResilientML, University College London - Department of Statistical ScienceUniversity of California Santa Barbara, ESC Rennes School of Business and Department of Statistical Science, University College London
Downloads 132 (273,958)

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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
Matthew Ames, Matthew Ames, Guillaume Bagnarosa, Gareth Peters and Gareth Peters
The Institute of Statistical MathematicsResilientML, ESC Rennes School of Business and University College London - Department of Statistical ScienceUniversity of California Santa Barbara
Downloads 65 (428,741)

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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
Matthew Ames, Matthew Ames, Guillaume Bagnarosa, Suikai Gao, Tomoko Matsui, Gareth Peters 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 College London - Department of Statistical ScienceUniversity of California Santa Barbara
Downloads 62 (439,163)

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Crop yields, crop insurance pricing, SARIMA, Gaussian process

9.

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

Number of pages: 40 Posted: 07 Sep 2021
Cole van Jaarsveldt, Gareth Peters, Gareth Peters, Matthew Ames, Matthew Ames and Mike J. Chantler
Heriot-Watt University - Department of Actuarial Mathematics and Statistics, University College London - Department of Statistical ScienceUniversity of California Santa Barbara, The Institute of Statistical MathematicsResilientML and Heriot-Watt University - Department of Computer Science
Downloads 59 (449,843)

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

10.

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, Gareth Peters, Matthew Ames and Matthew Ames
Heriot-Watt University - Department of Computer Science, University College London - Department of Statistical ScienceUniversity of California Santa Barbara and The Institute of Statistical MathematicsResilientML
Downloads 52 (476,533)

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

11.

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

Number of pages: 18 Posted: 16 Jan 2019
Matthew Ames, Matthew Ames, Guillaume Bagnarosa, Tomoko Matsui, Gareth Peters, Gareth Peters and Pavel V. Shevchenko
The Institute of Statistical MathematicsResilientML, ESC Rennes School of Business, The Institute of Statistical Mathematics, University College London - Department of Statistical ScienceUniversity of California Santa Barbara and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 32 (571,167)

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

12.

Package AdvEMDpy: Algorithmic Variations of Empirical Mode Decomposition in Python

Number of pages: 50 Posted: 25 Oct 2021
Cole van Jaarsveldt, Matthew Ames, Matthew Ames, Gareth Peters, Gareth Peters and Mike J. Chantler
Heriot-Watt University - Department of Actuarial Mathematics and Statistics, The Institute of Statistical MathematicsResilientML, University College London - Department of Statistical ScienceUniversity of California Santa Barbara and Heriot-Watt University - Department of Computer Science
Downloads 31 (582,509)

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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