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Implied volatility forecasting : a comparison of different procedures including fractionally integrated models with applications to UK equity options
Hwang, Soosung; Satchell, Stephen - In: Forecasting volatility in the financial markets, (pp. 249-277). 2007
Persistent link: https://www.econbiz.de/10003872982
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GARCH predictions and the predictions of option prices
Knight, John L.; Satchell, Stephen - In: Forecasting volatility in the financial markets, (pp. 279-294). 2007
Persistent link: https://www.econbiz.de/10003872994
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Testing for infinite order stochastic dominance with applications to finance, risk and income inequality
Knight, John L.; Satchell, Stephen - In: Journal of economics and finance 32 (2008) 1, pp. 35-46
Persistent link: https://www.econbiz.de/10003710662
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Steady-state distributions for models of bubbles : their existence and econometric implications
Knight, John L.; Satchell, Stephen; Srivastava, Nandini - 2012
Persistent link: https://www.econbiz.de/10009544845
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Time series momentum trading strategy and autocorrelation amplification
Hong, K. J.; Satchell, Stephen - 2013
Persistent link: https://www.econbiz.de/10009754513
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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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Defining single asset price momentum in terms of a stochastic process
Hong, KiHoon Jimmy; Satchell, Stephen - In: Theoretical economics letters 2 (2012) 3, pp. 274-277
Persistent link: https://www.econbiz.de/10009703166
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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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The derivation of a new model of equity duration
Lewin, Richard A.; Satchell, Stephen - 2001
Persistent link: https://www.econbiz.de/10001592275
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Estimating the volatility of stock prices : a comparison of methods that use high and low prices
Rogers, Leonard C. G. - In: Applied financial economics 4 (1994) 3, pp. 241-247
Persistent link: https://www.econbiz.de/10001164929