The statistical properties of various measures of risk were investigated with a view to explaining the reasons for lack of use in finance of risk measures other than the variance, and to see if there is a sensible measure to use for cross-European comparisons. As examples, the semi-variance, the...

A new framework is provided for identifying market timing. The analysis focuses on the local joint history of the hedge fund with the benchmark. The approach is fully nonparametric. Therefore, it has the advantage of avoiding the misspecification problems so common in this literature. The test...

Using an extensive range of macroeconomic indicators and a number of two-stage models mixing OLS and a non-parametric approach known as the nearest neighbour algorithm, the authors analyse the potential for improving forecasts of US industry returns over those built by OLS on industry-specific...

This paper evaluates the double gamma distribution as a means of modelling asymmetry in the conditional distribution of financial data. To do this the model is applied to ten exchange rate series covering mature and emerging market countries. A second contribution of this paper is to highlight...

Cover -- Title Page -- Copyright -- Contents -- Contributors -- Introduction -- CHAPTER 1 Behavioural Finance and Momentum -- 1.1 Introduction -- 1.2 The failure of risk‐based explanations -- 1.3 Behavioural models of momentum -- 1.4 Slow information diffusion -- 1.5 Patterns in information...

This new edition of Forecasting Volatility in the Financial Markets assumes that the reader has a firm grounding in the key principles and methods of understanding volatility measurement and builds on that knowledge to detail cutting-edge modelling and forecasting techniques. It provides a...

Forecasting returns is as important as forecasting volatility in multiple areas of finance. This topic, essential to practitioners, is also studied by academics. In this new book, Dr Stephen Satchell brings together a collection of leading thinkers and practitioners from around the world who...