This paper deals with the use of the empirical cumulant generating function to consistently estimate the parameters of a distribution from data that are independent and identically distributed (i.i.d.). The technique is particularly suited to situations where the density function is unknown or...

This paper applies LINEX loss functions to forecasting nonlinear functions of variance. We derive the optimal one-step-ahead LINEX forecast for various volatility models using data transformations such as ln(y2t) where yt is the return of the asset. Our results suggest that the LINEX loss...

This paper assumes that the underlying asset prices are lognormally distributed, and derives necessary and sufficient conditions for the valuation of options using a Blackâ€Scholes type methodology. It is shown that the price of a futuresâ€style, markedâ€toâ€market option is given by...

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...

In Kwon and Satchell (2018), a theoretical framework was introduced to investigate the distributional properties of the cross-sectional momentum returns under the assumption that the vector of asset returns over the ranking and holding periods were multivariate normal. In this paper, the...

"Asymmetric Dependence (hereafter, AD) is usually thought of as a cross-sectional phenomenon. Andrew Patton describes AD as "stock returns appear to be more highly correlated during market downturns than during market upturns." (Patton, 2004) Thus at a point in time when the market return is...

This book presents a series of contributions on key issues in the decision-making behind the management of financial assets. It provides insight into topics such as quantitative and traditional portfolio construction, performance clustering and incentives in the UK pension fund industry, pension...