Details about Peter Julian Amascual Cayton

Access statistics for papers by Peter Julian Amascual Cayton.

Last updated 2024-12-08. Update your information in the RePEc Author Service.

Short-id: pca697

Working Papers

2015

1. A Nonparametric Option Pricing Model Using Higher Moments
   MPRA Paper, University Library of Munich, Germany
   Also in MPRA Paper, University Library of Munich, Germany (2015)

2012

2. Median-based seasonal adjustment in the presence of seasonal volatility
   MPRA Paper, University Library of Munich, Germany
3. Time-varying conditional Johnson SU density in value-at-risk (VaR) methodology
   MPRA Paper, University Library of Munich, Germany View citations (4)

2009

4. Estimating Value-at-Risk (VaR) using TiVEx-POT Models
   MPRA Paper, University Library of Munich, Germany View citations (2)
   See also Journal Article ESTIMATING VALUE AT RISK VAR USING TIVEX POT MODELS, Journal of Advanced Studies in Finance, ASERS Publishing (2010) View citations (3) (2010)

Journal Articles

2015

1. Time-varying conditional Johnson Su density in Value-at-Risk methodology
   Philippine Review of Economics, 2015, 51, (1), 23-44 View citations (1)

2014

2. Statistical analysis of Philippine water district characteristics and how these affect water tariffs
   Water International, 2014, 39, (1), 1-9 View citations (2)

2010

3. ESTIMATING VALUE AT RISK VAR USING TIVEX POT MODELS
   Journal of Advanced Studies in Finance, 2010, 1, (2), 152-170 View citations (3)
   See also Working Paper Estimating Value-at-Risk (VaR) using TiVEx-POT Models, MPRA Paper (2009) View citations (2) (2009)

Chapters

2019

1. The Impact of News Sentiment on Financial Risk: An Extreme Value Approach
   Chapter 13 in HANDBOOK OF GLOBAL FINANCIAL MARKETS Transformations, Dependence, and Risk Spillovers, 2019, pp 315-334