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Allen, David; Satchell, Stephen; Lizieri, Colin - In: The journal of asset management : a major new, … 25 (2024) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10014511571

Changing correlation and portfolio diversification failure in the presence of large market losses

Sancetta, Alessio (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001764558

Estimation of stationary stochastic processes via the empirical characteristic function

Knight, John L.; Satchell, Stephen - 1994

Persistent link: https://www.econbiz.de/10000147749

Does the behaviour of the asset tell us anything about the option price formula? : A cautionary tale

Rogers, Leonard C. G.; Satchell, Stephen - In: Applied financial economics 10 (2000) 1, pp. 37-39

Persistent link: https://www.econbiz.de/10001525779

A re-examination of Sharpe's ratio for log-normal prices

Knight, John L.; Satchell, Stephen - In: Applied mathematical finance 12 (2005) 1, pp. 87-100

Persistent link: https://www.econbiz.de/10002727068

Exact Elliptical Distributions for Models of Conditionally Random Financial Volatility

Christodoulakis, George A.; Satchell, Stephen - 2022

Assuming the time series of random returns to be jointly elliptical, we derive a relationship between its conditional variance and the probability density function of the conditioning set. In the case that such a relationship is linear in a quadratic form for of the conditioning variables, we...

Persistent link: https://www.econbiz.de/10014080672

The anatomy of portfolio skewness and kurtosis

Hall, Anthony D.; Satchell, Stephen - In: The journal of asset management 14 (2013) 4, pp. 228-235

Persistent link: https://www.econbiz.de/10010237899

Asymmetry and downside risk in foreign exchange markets

Bond, Shaun A.; Satchell, Stephen - In: The European journal of finance 12 (2006) 4, pp. 313-332

Persistent link: https://www.econbiz.de/10003338137

Changing correlation and equity portfolio diversification failure for linear factor models during market declines

Sancetta, Alessio; Satchell, Stephen - In: Applied mathematical finance 14 (2007) 3, pp. 227-242

Persistent link: https://www.econbiz.de/10003543026

The Bernstein copula and its applications to modelling and approximations of multivariate distributions

Sancetta, Alessio; Satchell, Stephen - In: Econometric theory 20 (2004) 3, pp. 535-562

Persistent link: https://www.econbiz.de/10002068268