This new edition of Forecasting Volatility in the Financial Markets assumes that the reader has a firm grounding in the key principles and methods of understanding volatility measurement and builds on that knowledge to detail cutting-edge modelling and forecasting techniques. It provides a...

Forecasting returns is as important as forecasting volatility in multiple areas of finance. This topic, essential to practitioners, is also studied by academics. In this new book, Dr Stephen Satchell brings together a collection of leading thinkers and practitioners from around the world who...

This paper examines the use of proxies (or reference variables) for the true factors in the arbitrage pricing theory (APT). It generalizes other authors' existing work and shows that, when there are more reference variables than the true factors, the APT still holds. The possibility of fewer...

We revisit the problem of calculating the exact distribution of optimal investments in a mean variance world under multivariate normality. The context we consider is where problems in optimisation are addressed through the use of Monte-Carlo simulation. Our findings give clear insight as to when...

The VARLINEX (value at risk linear exponent) forecasting procedure is presented in this paper, which explicitly adjusts the forecasts when the loss functions of the forecaster are asymmetric. The theory of order statistics is applied to derive the VARLINEX forecasts and their corresponding...

We examine two performance measures advocated for asymmetric return distributions: the Sortino ratio—originally introduced by Sortino and Price (Sortino F and Price L 1994 J. Investing 59-65)—and a measure based on power utility introduced in Leland (Leland H 1999 Financial Analysts J....