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Peter Julian Amascual Cayton

Personal Details

First Name:Peter Julian
Middle Name:Amascual
Last Name:Cayton
Suffix:
RePEc Short-ID:pca697
https://www.linkedin.com/pub/peter-julian-cayton/24/a5/90a

Affiliation

(50%) University of the Philippines School of Statistics

http://stat.upd.edu.ph
Philippines, Quezon City

(50%) School of Finance, Actuarial Studies and Applied Statistics
College of Business and Economics
Australian National University

Canberra, Australia
http://cbe.anu.edu.au/schools/fas/

: +61 2 6125 3807
+61 2 6125 0744
+61 2 6125 3807
RePEc:edi:sfanuau (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Cayton, Peter Julian, 2015. "A Nonparametric Option Pricing Model Using Higher Moments," MPRA Paper 63755, University Library of Munich, Germany.
  2. Cayton, Peter Julian A. & Mapa, Dennis S., 2012. "Time-varying conditional Johnson SU density in value-at-risk (VaR) methodology," MPRA Paper 36206, University Library of Munich, Germany.
  3. Cayton, Peter Julian & Bersales, Lisa Grace, 2012. "Median-based seasonal adjustment in the presence of seasonal volatility," MPRA Paper 37146, University Library of Munich, Germany.
  4. Mapa, Dennis S. & Cayton, Peter Julian & Lising, Mary Therese, 2009. "Estimating Value-at-Risk (VaR) using TiVEx-POT Models," MPRA Paper 25772, University Library of Munich, Germany.

Articles

  1. Peter Julian Cayton & Dennis Mapa, 2015. "Time-varying conditional Johnson Su density in Value-at-Risk methodology," Philippine Review of Economics, University of the Philippines School of Economics and Philippine Economic Society, vol. 51(1), pages 23-44, June.
  2. Carlos Primo C. David & Peter Julian A. Cayton & Theresa E. Lorenzo & Eduardo C. Santos, 2014. "Statistical analysis of Philippine water district characteristics and how these affect water tariffs," Water International, Taylor & Francis Journals, vol. 39(1), pages 1-9, January.
    RePEc:srs:jasf12:6:v:1:y:2010:i:2:p:152-170 is not listed on IDEAS

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Cayton, Peter Julian A. & Mapa, Dennis S., 2012. "Time-varying conditional Johnson SU density in value-at-risk (VaR) methodology," MPRA Paper 36206, University Library of Munich, Germany.

    Cited by:

    1. Domino, Krzysztof & Błachowicz, Tomasz, 2014. "The use of copula functions for modeling the risk of investment in shares traded on the Warsaw Stock Exchange," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 413(C), pages 77-85.
    2. Domino, Krzysztof & Błachowicz, Tomasz & Ciupak, Maurycy, 2014. "The use of copula functions for predictive analysis of correlations between extreme storm tides," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 413(C), pages 489-497.
    3. Domino, Krzysztof & Błachowicz, Tomasz, 2015. "The use of copula functions for modeling the risk of investment in shares traded on world stock exchanges," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 424(C), pages 142-151.

  2. Mapa, Dennis S. & Cayton, Peter Julian & Lising, Mary Therese, 2009. "Estimating Value-at-Risk (VaR) using TiVEx-POT Models," MPRA Paper 25772, University Library of Munich, Germany.

    Cited by:

    1. Cayton, Peter Julian A. & Mapa, Dennis S., 2012. "Time-varying conditional Johnson SU density in value-at-risk (VaR) methodology," MPRA Paper 36206, University Library of Munich, Germany.
    2. Mudakkar, Syeda Rabab & Uppal, Jamshed Y. & Zaman, Khalid & Naseem, Imran & Shah, Ghias Ud Din, 2013. "Foreign exchange risk in a managed float regime: A case study of Pakistani rupee," Economic Modelling, Elsevier, vol. 35(C), pages 409-417.

Articles

    Sorry, no citations of articles recorded.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 3 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (3) 2010-10-23 2012-02-20 2012-03-14. Author is listed
  2. NEP-RMG: Risk Management (2) 2010-10-23 2012-02-20. Author is listed
  3. NEP-BAN: Banking (1) 2010-10-23. Author is listed
  4. NEP-ETS: Econometric Time Series (1) 2012-03-14. Author is listed
  5. NEP-FOR: Forecasting (1) 2012-02-20. Author is listed
  6. NEP-ORE: Operations Research (1) 2012-02-20. Author is listed

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