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Interactions between property and equity markets : an investigation of linkages in the United Kingdom 1972 - 1992

Lizieri, Colin - In: The journal of real estate finance and economics 15 (1997) 1, pp. 11-26

Persistent link: https://www.econbiz.de/10001336563

Local Beta : Have Location Risks Been Priced in REIT Returns?

Zhu, Bing; Lizieri, Colin - 2021

This paper studies the pricing of the risk associated with the location of the assets. The location risk is measured by ‘local beta’, which combines the systematic risk of local property markets and the property allocation strategy of real estate firms. The empirical results confirm a higher...

Persistent link: https://www.econbiz.de/10013239899

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

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

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

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

Time series momentum trading strategy and autocorrelation amplification

Hong, K. J.; Satchell, Stephen - 2013

Persistent link: https://www.econbiz.de/10009754513

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

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

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