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

Ames, Matthew; Bagnarosa, Guillaume; Peters, Gareth W.; … - In: Journal of Forecasting 37 (2018) 8, pp. 805-831

Persistent link: https://www.econbiz.de/10012081974

Violations of uncovered interest rate parity and international exchange rate dependences

Ames, Matthew; Bagnarosa, Guillaume; Peters, Gareth - In: Journal of international money and finance 73 (2017), pp. 162-187

Persistent link: https://www.econbiz.de/10011787712

Which risk factors drive oil futures price curves?

Ames, Matthew; Bagnarosa, Guillaume; Matsui, Tomoko; … - In: Energy economics 87 (2020), pp. 1-16

Persistent link: https://www.econbiz.de/10012512291

A dynamic stochastic integrated climate-conomic spatiotemporal model for agricultural insurance products

Gao, Suikai; Bagnarosa, Guillaume; Peters, Gareth; … - In: North American actuarial journal : NAAJ ; leading the … 28 (2024) 1, pp. 27-6

Persistent link: https://www.econbiz.de/10014513807

Price transmission in European fish markets

Gao, Suikai; Bagnarosa, Guillaume; Dowling, Michael; … - In: Applied economics 54 (2022) 19, pp. 2194-2213

Persistent link: https://www.econbiz.de/10012875855

Microstructure and high-frequency price discovery in the soybean complex

Zhou, Xinquan; Bagnarosa, Guillaume; Gohin, Alexandre; … - In: Journal of commodity markets 30 (2023), pp. 1-17

Persistent link: https://www.econbiz.de/10014426684

Do cointegrated commodities bubble together? : the case of hog, corn, and soybean

Alexakis, Christos A.; Bagnarosa, Guillaume; Dowling, … - In: Finance research letters 23 (2017), pp. 96-102

Persistent link: https://www.econbiz.de/10011808370

Media influences on corn futures pricing

Zhou, Xinquan; Bagnarosa, Guillaume; Dowling, Michael; … - In: European review of agricultural economics 51 (2024) 2, pp. 399-435

Persistent link: https://www.econbiz.de/10014634142

On the dependence structure of European vegetable oil markets

Menier, Romain; Bagnarosa, Guillaume; Gohin, Alexandre - In: Applied economics 56 (2024) 52, pp. 6611-6630

Persistent link: https://www.econbiz.de/10015073698

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

Targino, Rodrigo S.; Peters, Gareth W.; Shevchenko, Pavel V. - In: Insurance: Mathematics and Economics 61 (2015) C, pp. 206-226

In this paper we assume a multivariate risk model has been developed for a portfolio and its capital derived as a homogeneous risk measure. The Euler (or gradient) principle, then, states that the capital to be allocated to each component of the portfolio has to be calculated as an expectation...

Persistent link: https://www.econbiz.de/10011263853