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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
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The analytics of momentum
Kwon, Oh Kang; Satchell, Stephen - In: The journal of asset management 20 (2019) 6, pp. 433-441
Persistent link: https://www.econbiz.de/10012125379
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The underlying return-generating factors for REIT returns : an application of independent component analysis
Lizieri, Colin; Satchell, Stephen; Zhang, Qi - In: Real estate economics : journal of the American Real … 35 (2007) 4, pp. 569-598
Persistent link: https://www.econbiz.de/10003640860
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The disappearance of style in the US equity market
Hwang, Soosung; Satchell, Stephen - In: Applied financial economics 17 (2007) 7/9, pp. 597-613
Persistent link: https://www.econbiz.de/10003491204
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The link between macro-economic factors and style returns
Zhang, Qi J.; Hopkins, Peter; Satchell, Stephen; … - In: The journal of asset management 10 (2009/10) 5, pp. 338-355
Persistent link: https://www.econbiz.de/10003916963
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Modeling style rotation : switching and re-switching
Golosov, Edward; Satchell, Stephen - In: Journal of time series econometrics 6 (2014) 2, pp. 103-128
Persistent link: https://www.econbiz.de/10010401130
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The sensitivity of beta to the time horizon when log prices follow an Ornstein-Uhlenbeck process
Hong, KiHoon Jimmy; Satchell, Stephen - In: The European journal of finance 20 (2014) 1/3, pp. 264-290
Persistent link: https://www.econbiz.de/10010462111
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Global equity styles and industry effects : the pre-eminence of value relative to size
Kuo, Weiyu; Satchell, Stephen - In: Journal of international financial markets, … 11 (2001) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10001536895
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A theoretical analysis of trading rules : an application to the moving average case with Markovian returns
Acar, Emmanuel - In: Applied mathematical finance 4 (1997) 3, pp. 165-180
Persistent link: https://www.econbiz.de/10001229349
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The distribution of cross sectional momentum returns
Kwon, Oh Kang; Satchell, Stephen - In: Journal of economic dynamics & control 94 (2018), pp. 225-241
Persistent link: https://www.econbiz.de/10012004391