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Forecast Evaluation in the Presence of Unobserved Volatility#
Christodoulakis, George A.; Satchell, Stephen E. - In: Econometric reviews 23 (2004) 3, pp. 175-198
Persistent link: https://www.econbiz.de/10006879931
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Small Sample Analysis of Performance Measures in the Asymmetric Response Model
Pedersen, Christian S.; Satchell, Stephen E. - In: Journal of financial and quantitative analysis : JFQA 35 (2000) 3, pp. 425-450
Persistent link: https://www.econbiz.de/10006697717
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Correlated ARCH (CorrARCH): Modelling the time-varying conditional correlation between financial asset returns
Christodoulakis, George A.; Satchell, Stephen E. - In: European journal of operational research : EJOR 139 (2002) 2, pp. 351-370
Persistent link: https://www.econbiz.de/10006655634
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The simulation of option prices with application to LIFFEoptions on futures
Christodoulakis, George A.; Satchell, Stephen E. - In: European journal of operational research : EJOR 114 (1999) 2, pp. 249-262
Persistent link: https://www.econbiz.de/10006668130
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Using Bayesian variable selection methods to choose style factors in global stock return models
Hall, Anthony D.; Hwang, Soosung; Satchell, Stephen E. - In: Journal of banking & finance 26 (2002) 12, pp. 2301-2326
Persistent link: https://www.econbiz.de/10005888372
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Statistical properties of the sample semi-variance
Bond, Shaun A.; Satchell, Stephen E. - In: Applied mathematical finance 9 (2002) 4, pp. 219-240
Persistent link: https://www.econbiz.de/10008215868
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Exponential risk measure with application to UK asset allocation
Satchell, Stephen E.; Damant, David C.; Hwang, Soosung - In: Applied mathematical finance 7 (2000) 2, pp. 127
Persistent link: https://www.econbiz.de/10008217347
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A theoretical analysis of trading rules: An application to the moving average case with Markovian returns
Acar, Emmanuel; Satchell, Stephen E. - In: Applied mathematical finance 4 (1997) 3, pp. 165
Persistent link: https://www.econbiz.de/10008219564
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The Cumulant Generating Function Estimation Method: Implementation and Asymptotic Efficiency
Knight, John L.; Satchell, Stephen E. - In: Econometric theory 13 (1997) 2, pp. 170-184
Persistent link: https://www.econbiz.de/10006998465
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Calculating the misspecification in beta from using a proxy for the market portfolio
Hwang, Soosung; Satchell, Stephen E. - In: Applied financial economics 12 (2002) 11, pp. 771-782
Persistent link: https://www.econbiz.de/10007660189