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Estimation of stationary stochastic processes via the empirical characteristic function
Knight, John L.; Satchell, Stephen - 1994
Persistent link: https://www.econbiz.de/10000147749
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Forecasting (LOG) volatility models
Christodoulakis, George A.; Satchell, Stephen - 1998
Persistent link: https://www.econbiz.de/10000998647
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Testing for infinite order stochastic dominance with applications to finance, risk and income inequality
Knight, John B.; Satchell, Stephen - 1999
Persistent link: https://www.econbiz.de/10001407264
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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
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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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What proportion of time is a particular market inefficient? : a method for analysing the frequency of market efficiency when equity prices follow threshold autoregressions
Ahmed, Muhammad Farid; Satchell, Stephen - In: Journal of time series econometrics 10 (2018) 2, pp. 1-22
Persistent link: https://www.econbiz.de/10011898000
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GARCH processes - some exact results, some difficulties and a suggested remedy
Knight, John L.; Satchell, Stephen - In: Forecasting volatility in the financial markets, (pp. 365-389). 2007
Persistent link: https://www.econbiz.de/10003873026
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Efficient estimation of the stochastic volatility model by the empirical characteristic function method
Knight, John L.; Satchell, Stephen; Yu, Jun - 1999
Persistent link: https://www.econbiz.de/10001435264
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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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Skew Brownian motion and pricing European options
Corns, T. R. A.; Satchell, Stephen - In: The European journal of finance 13 (2007) 5/6, pp. 523-544
Persistent link: https://www.econbiz.de/10003570605