38 citations · 118 across the 15 of their papers we have counts for
3 papers · 1 filter
Multi-Factor Function-on-Function Regression of Bond Yields on WTI Commodity Futures Term Structure Dynamics
Peilun He, Gareth W. Peters, Nino Kordzakhia +1
In the analysis of commodity futures, it is commonly assumed that futures prices are driven by two latent factors: short-term fluctuations and long-term equilibrium price levels. I…
Cyber Risk Taxonomies: Statistical Analysis of Cybersecurity Risk Classifications
Matteo Malavasi, Gareth W. Peters, Stefan Treuck +3
Cyber risk classifications are widely used in the modeling of cyber event distributions, yet their effectiveness in out of sample forecasting performance remains underexplored. In…
Optimal dynamic climate adaptation pathways: a case study of New York City
Chi Truong, Matteo Malavasi, Han Li +2
Assessing climate risk and its potential impacts on our cities and economies is of fundamental importance. Extreme weather events, such as hurricanes, floods, and storm surges can…