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An assessment of the economic value of nonlinear foreign exchange rate forecasts

Satchell, Stephen; Timmermann, Allan - 1995

Persistent link: https://www.econbiz.de/10000914266

Forecasting volatility in the financial markets

Knight, John L. (contributor); Satchell, Stephen (contributor) - 1998

Persistent link: https://www.econbiz.de/10000666770

Understanding analysts forecasts

Louth, R. J.; Joos, P.; Satchell, Stephen; Weyns, G. - In: The European journal of finance 16 (2010) 1/2, pp. 97-118

Persistent link: https://www.econbiz.de/10003954434

Forecasting volatility in the financial markets

Knight, John L. (contributor); Satchell, Stephen (contributor) - 2007 - 3. ed.

Persistent link: https://www.econbiz.de/10003556404

Some choices in forecast construction

Wright, Stephen; Satchell, Stephen - In: Forecasting expected returns in the financial markets, (pp. 101-116). 2007

Persistent link: https://www.econbiz.de/10003557938

Optimal forecasting horizon for skilled investors

Satchell, Stephen; Williams, Oliver - In: Forecasting expected returns in the financial markets, (pp. 227-250). 2007

Persistent link: https://www.econbiz.de/10003557988

How persistent is stock return volatility? : an answer with Markov regime switching stochastic volatility models

Hwang, Soosung; Satchell, Stephen; Pereira, Pedro L. Valls - In: Journal of business finance & accounting : JBFA 34 (2007) 5/6, pp. 1002-1024

Persistent link: https://www.econbiz.de/10003507264

A rank approach to equity forecast construction

Satchell, Stephen (contributor); Wright, S. M. (contributor) - 2005

Persistent link: https://www.econbiz.de/10003262379

Recovering the most entropic copulas from preliminary knowledge of dependence

Chu, Ba; Satchell, Stephen - In: Econometrics : open access journal 4 (2016) 2, pp. 1-21

This paper provides a new approach to recover relative entropy measures of contemporaneous dependence from limited information by constructing the most entropic copula (MEC) and its canonical form, namely the most entropic canonical copula (MECC). The MECC can effectively be obtained by...

Persistent link: https://www.econbiz.de/10011505976

Analyst forecast dispersion and market return predictability : does conditional equity premium play a role?

Liu, Shuang; Yao, Juan; Satchell, Stephen - In: Journal of risk and financial management : JRFM 13 (2020) 5/98, pp. 1-21

Prior studies found that analyst forecast dispersion predicts future market returns. Some prior studies attribute this predictability to the short-sale constraints in the market according to the overpricing theory. Using the U.S. data from 1981 to 2014, we find that the return predictive power...

Persistent link: https://www.econbiz.de/10012304904