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The underlying return-generating factors for REIT returns : an application of independent component analysis
Lizieri, Colin; Satchell, Stephen; Zhang, Qi - In: Real estate economics : journal of the American Real … 35 (2007) 4, pp. 569-598
Persistent link: https://www.econbiz.de/10003640860
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Computing mean downside risk frontiers : the role of ellipticity
Hall, Antony D.; Satchell, Stephen - In: Handbook of financial engineering, (pp. 49-66). 2008
Persistent link: https://www.econbiz.de/10003753641
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The small noise arbitrage pricing theory and its welfare implications
Satchell, Stephen - In: Linear factor models in finance, (pp. 150-158). 2005
Persistent link: https://www.econbiz.de/10003304035
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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
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Implementing risk appetite in the management of currency portfolios
Luo, Jinhui; Saks, Philip; Satchell, Stephen - In: The journal of asset management 9 (2008/09) 6, pp. 380-397
Persistent link: https://www.econbiz.de/10003812498
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The validity of credit risk model validation methods
Christodoulakis, George A.; Satchell, Stephen - In: The analytics of risk model validation, (pp. 27-43). 2008
Persistent link: https://www.econbiz.de/10003868675
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Analytic models of the ROC curve : applications to credit rating model validation
Satchell, Stephen; Xia, Wei - In: The analytics of risk model validation, (pp. 113-133). 2008
Persistent link: https://www.econbiz.de/10003868691
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Hashing GARCH : a reassessment of volatility forecasting performance
Christodoulakis, George A.; Satchell, Stephen - In: Forecasting volatility in the financial markets, (pp. 227-247). 2007
Persistent link: https://www.econbiz.de/10003872943
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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