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~subject:"Time series analysis"
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Quantifying the non-Gaussian gain
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
Saved in:
2
[Rezension von: Brooks, Chris, Introductory econometrics for finance]
Satchell, Stephen
- In:
The economic journal : the journal of the Royal …
113
(
2003
),
pp. 397-398
Persistent link: https://www.econbiz.de/10001782982
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3
Forecasting Using High-Frequency Data : A Comparison of Asymmetric Financial Duration Models
Zhang, Qi
-
2010
The first purpose of this paper is to assess the short-run forecasting capabilities of two competing financial duration models. The forecast performance of the Autoregressive Conditional Multinomial–Autoregressive Conditional Duration (ACM-ACD) model is better than the Asymmetric...
Persistent link: https://www.econbiz.de/10013137525
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4
On the optimality of adaptive expectations : Muth revisited
Satchell, Stephen
;
Timmermann, Allan
-
1994
Persistent link: https://www.econbiz.de/10000904202
Saved in:
5
Daily returns in international stock markets : predictability, nonlinearity, and transaction costs
Satchell, Stephen
- In:
Nonlinear dynamics and economics : proceedings of the …
,
(pp. 369-391)
.
1996
Persistent link: https://www.econbiz.de/10001297232
Saved in:
6
Measurement error with accounting constraints : point and interval estimation for latent data with an application to UK gross domestic product
Smith, Richard J.
- In:
The review of economic studies
65
(
1998
)
1
,
pp. 109-134
Persistent link: https://www.econbiz.de/10001238781
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7
On the optimality of adaptive expectations : Muth revisited
Satchell, Stephen
- In:
International journal of forecasting
11
(
1995
)
3
,
pp. 407-416
Persistent link: https://www.econbiz.de/10001203016
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8
Improving the estimates of the risk premia : application in the UK financial market
Pitsillis, M.
;
Satchell, Stephen
-
2001
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001593475
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9
On the optimality of adaptive expectations: muth revisited and Optimal properties of exponentially weighted forecasts in the presence of different information sources
Satchell, Stephen
;
Timmermann, Allan
-
1993
Persistent link: https://www.econbiz.de/10000891418
Saved in:
10
Measurement error with accounting constraints : point and interval estimation for latent data with an application to UK gross domestic product
Smith, Richard J.
;
Weale, Martin J.
;
Satchell, Stephen
-
1995
-
Rev
Persistent link: https://www.econbiz.de/10000560164
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