Similar Search Results

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 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

What proportion of time is a particular market inefficient? : analysing market efficiency when equity prices follow threshold autoregressions

Ahmed, Muhammad Farid; Satchell, Stephen - 2016

Persistent link: https://www.econbiz.de/10011456022

Recovering the most entropic copulas from preliminary knowledge of dependence

Chu, Ba; Satchell, Stephen - In: Econometrics : open access journal 4 (2016) 2, pp. 1-21

This paper provides a new approach to recover relative entropy measures of contemporaneous dependence from limited information by constructing the most entropic copula (MEC) and its canonical form, namely the most entropic canonical copula (MECC). The MECC can effectively be obtained by...

Persistent link: https://www.econbiz.de/10011505976