Stephen Ellwood Satchell

Stephen Ellwood Satchell's AcademicInfluence.com Rankings

Business

#908

World Rank

#993

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Risk Management

#27

World Rank

#27

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Finance

#109

World Rank

#114

Historical Rank

business Degrees

Stephen Ellwood Satchell

Economics

#3423

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#3880

Historical Rank

economics Degrees

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Stephen Ellwood Satchell's Published Works

Number of citations in a given year to any of this author's works

Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author

Published Works

Forecasting Volatility in Financial Markets : A Review (2004) (998)
Estimating Variance From High, Low and Closing Prices (1991) (585)
Modelling emerging market risk premia using higher moments (1999) (263)
THE BERNSTEIN COPULA AND ITS APPLICATIONS TO MODELING AND APPROXIMATIONS OF MULTIVARIATE DISTRIBUTIONS (2004) (240)
A demystification of the Black–Litterman model: Managing quantitative and traditional portfolio construction (2000) (215)
Why do regime‐switching models forecast so badly? (1999) (180)
Estimating the volatility of stock prices: a comparison of methods that use high and low prices (1994) (134)
Forecasting Volatility in the Financial Markets (1999) (124)
Using Bayesian Variable Selection Methods to Choose Style Factors in Global Stock Return Models (2000) (120)
Interactions Between Property and Equity Markets: An Investigation of Linkages in the United Kingdom 1972–1992 (1997) (117)
On the foundation of performance measures under asymmetric returns (2002) (103)
An assessment of the economic value of non‐linear foreign exchange rate forecasts (1995) (94)
The Hazards of Doing a PhD: An Analysis of Completion and Withdrawal Rates of British PhDs in the 1980s (1995) (88)
Correlated ARCH (CorrARCH): Modelling the time-varying conditional correlation between financial asset returns (2002) (87)
Managing downside risk in financial markets : theory, practice and implementation (2001) (82)
Diversification when It Hurts? The Joint Distributions of Real Estate and Equity Markets (2005) (81)
An Extended Family of Financial-Risk Measures (1998) (79)
Market Risk and the Concept of Fundamental Volatility (1997) (78)
How Loss Averse are Investors in Financial Markets? (2010) (78)
Financial Competence and Expectations Formation: Evidence from Australia (2011) (73)
Statistical modelling of asymmetric risk in asset returns (1995) (63)
GARCH model with cross-sectional volatility: GARCHX models (2005) (63)
Tracking error: Ex ante versus ex post measures (2001) (61)
Property company performance and real interest rates: a regime-switching approach (1997) (56)
Evaluating the Performance of Nearest Neighbour Algorithms when Forecasting US Industry Returns (2000) (54)
Retirement Investor Risk Tolerance in Tranquil and Crisis Periods: Experimental Survey Evidence (2010) (51)
Theory & Methods: Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method (2002) (50)
Apprenticeships and Job Tenure (1994) (46)
Real Interest Regimes and Real Estate Performance: A Comparison of U.K. and U.S. Markets (1998) (44)
Improved testing for the efficiency of asset pricing theories in linear factor models (1999) (44)
The Behavioural Components of Risk Aversion (2007) (44)
Skew Brownian Motion and Pricing European Options (2007) (44)
Time to default in the UK mortgage market (1997) (43)
Forecasting Expected Returns in the Financial Markets (2007) (42)
Implied Volatility Forecasting: A Comparison of Different Procedures (1998) (40)
Forecasting Volatility using LINEX Loss Functions (1999) (40)
The Underlying Return-Generating Factors for REIT Returns: An Application of Independent Component Analysis (2007) (40)
Financial Competence, Risk Presentation and Retirement Portfolio Preferences (2011) (39)
The Cumulant Generating Function Estimation Method (1997) (39)
The Analytics of Risk Model Validation (2008) (35)
Asymptotic Properties of the Maximum-Likelihood and Nonlinear Least-Squares Estimators for Noninvertible Moving Average Models (1989) (35)
The asset allocation decision in a loss aversion world (2001) (35)
Advances in Portfolio Construction and Implementation (2011) (34)
Calculating the misspecification in beta from using a proxy for the market portfolio (2002) (34)
Will Private Equity and Hedge Funds Replace Real Estate in Mixed-Asset Portfolios? (2007) (34)
The link between macro-economic factors and style returns (2009) (33)
The Derivation of a New Model of Equity Duration (2001) (33)
Pricing derivatives written on assets with arbitrary skewness and kurtosis (2001) (32)
Eighteenth-century British trade: Homespun or empire made? (1983) (31)
Social welfare issues of financial literacy and their implications for regulation (2011) (30)
Unsmoothing Real Estate Returns: A Regime‐Switching Approach (2012) (30)
Continuous Cumulative Prospect Theory and Individual Asset Allocation (2004) (30)
Return Distributions in Finance (2000) (30)
How Much Does an Illegal Insider Trade? (2010) (29)
Statistical properties of the sample semi-variance (2002) (28)
Global equity styles and industry effects: the pre-eminence of value relative to size (2001) (28)
Deriving the APT when the Number of Factors is Unknown (2000) (28)
Investment Decisions for Retirement Savings (2010) (28)
Small Sample Analysis of Performance Measures in the Asymmetric Response Model (2000) (28)
How Persistent is Stock Return Volatility? An Answer with Markov Regime Switching Stochastic Volatility Models (2007) (27)
Analytic Models of the ROC Curve: Applications to Credit Rating Model Validation (2007) (27)
Testing for Short Termism in the UK Stock Market: A Comment (1995) (27)
Individual Capability and Effort in Retirement Benefit Choice (2014) (26)
Simple and cross efficiency of CTAs using data envelopment analysis (2005) (26)
Risk Presentation and Portfolio Choice (2016) (25)
Approximation to the Finite Sample Distribution for Nonstable First Order Stochastic Difference Equations (1984) (25)
Advanced trading rules (2002) (25)
Optimizing Optimization: The Next Generation of Optimization Applications and Theory (2009) (24)
Time series momentum trading strategy and autocorrelation amplification (2015) (23)
Performance measurement in finance : firms, funds and managers (2002) (23)
Measurement Error with Accounting Constraints: Point and Interval Estimation for Latent Data with an Application to U.K. Gross Domestic Product (1998) (22)
Bernstein Approximations to the Copula Function and Portfolio Optimization (2001) (22)
Valuing Information Using Utility Functions (2000) (22)
On the volatility of measures of financial risk: an investigation using returns from European markets (2000) (21)
Properties of the expected value of the leontief inverse: Some further results (1986) (21)
A Re‐Examination of Sharpe's Ratio for Log‐Normal Prices (2005) (21)
Diversification and Desynchronicity: An Organizational Portfolio Perspective on Corporate Risk Reduction (2020) (21)
Asymmetry and downside risk in foreign exchange markets (2000) (20)
Does the behaviour of the asset tell us anything about the option price formula? A cautionary tale (2000) (20)
Underestimation and overestimation of the Leontief inverse revisited (1985) (20)
On the optimality of adaptive expectations: Muth revisited (1995) (19)
Apprenticeships and Job Tenure: A Competing Risks Model with Time-varying Covariates (1993) (18)
Forecasting Nonlinear Functions of Returns Using LINEX Loss Functions (2001) (17)
A Theorem of Validity for Edgeworth Expansions (1986) (17)
A theoretical analysis of trading rules: an application to the moving average case with Markovian returns (1997) (17)
Some New Results for Threshold AR(1) Models (2011) (16)
Changing Correlation and Equity Portfolio Diversification Failure for Linear Factor Models during Market Declines* (2007) (16)
Defining Single Asset Price Momentum in terms of a Stochastic Process (2012) (15)
The sensitivity of beta to the time horizon when log prices follow an Ornstein–Uhlenbeck process (2014) (15)
Bayesian Analysis of the Black-Scholes Option Price (2001) (15)
Default and naive diversification heuristics in annuity choice (2017) (15)
Deriving the arbitrage pricing theory when the number of factors is unknown (2001) (15)
Lower partial-moment capital asset pricing models: A re-examination (2001) (14)
The disappearance of style in the US equity market (2007) (14)
Existence of Unbiased Estimators of the Black/Scholes Option Price, Other Derivatives, and Hedge Ratios (1997) (14)
The Magnitude of Loss Aversion Parameters in Financial Markets (2003) (13)
The Statistical Properties of the Black–Scholes Option Price (1997) (13)
Estimation of Stationary Stochastic Processes via the Empirical Characteristic Function (1995) (13)
Liquidity costs, idiosyncratic volatility and expected stock returns (2015) (13)
Asymmetry, Loss Aversion, and Forecasting (2006) (12)
Performance Measurement in Finance (2002) (12)
Optimal investment and asymmetric risk for a large portfolio: a large deviations approach (2008) (12)
Linear Factor Models in Finance (2013) (12)
The Impact of Technical Analysis on Asset Price Dynamics (2002) (11)
Evolving Systems of Financial Returns: Auto-Regressive Conditional Beta (2000) (11)
An assessment of the social desirability of high-frequency trading (2012) (11)
On th Evolution of Global Style Factors in the MSCI Universe of Assets (2002) (11)
Exponential risk measure with application to UK asset allocation (2000) (11)
Economic Rationality, Risk Presentation, and Retirement Portfolio Choice (2010) (11)
Asymptotic Expansions for Random Walks with Normal Errors (1993) (11)
"The Four Horsemen: Heavy-tails, Negative Skew, Volatility Clustering, Asymmetric Dependence" (2014) (10)
GARCH processes — some exact results, some difficulties and a suggested remedy (2007) (10)
British PhD Completion Rates: Some Evidence from the 1980s. (1996) (10)
Bayesian Forecasting of Options Prices: A Natural Framework for Pooling Historical and Implied Volatiltiy Information (2001) (10)
Default and Naïve Diversification Heuristics in Annuity Choice (2015) (9)
Testing Linear Factor Models on Individual Stocks Using the Average F Test (2012) (9)
Exact properties of measures of optimal investment for benchmarked portfolios (2010) (9)
Hashing GARCH: a reassessment of volatility forecasting performance (2007) (9)
Implementing risk appetite in the management of currency portfolios (2009) (9)
On the Valuation of Warrants and Executive Stock Options: Pricing Formulae for Firms with Multiple Warrants/Executive Options (2002) (9)
Acquiring skills: On apprenticeship qualifications and labour mobility (1996) (9)
Source and Subgroup Decomposition Inequalities for the Lorenz Curve (1987) (9)
The Distribution of Cross Sectional Momentum Returns (2017) (9)
Theoretical decompositions of the cross-sectional dispersion of stock returns (2016) (8)
International Investors' Exposure to Risk in Emerging Markets (1999) (8)
A Bayesian Confidence Interval for Value-at-Risk (2003) (8)
Disengagement: A Partial Solution to the Annuity Puzzle (2013) (8)
Chapter 14 – Some exact results for efficient portfolios with given returns (2003) (8)
The Pricing of Marked‐to‐Market Contingent Claims in a No‐Arbitrage Economy (1997) (8)
Testing for infinite order stochastic dominance with applications to finance, risk and income inequality (2008) (8)
Utility Functions Whose Parameters Depend on Initial Wealth (2003) (7)
Default and 1/n heuristics in annuity choice (2013) (7)
Value at risk linear exponent (VARLINEX) forecasts (2003) (7)
The Optimal Mortgage Loan Portfolio in UK Regional Residential Real Estate (2012) (7)
An Experimental Survey of Investment Decisions for Retirement Savings (2010) (7)
Forecast Evaluation in the Presence of Unobserved Volatility (2005) (7)
Steady state distributions for models of locally explosive regimes: Existence and econometric implications (2014) (7)
Exact Properties of Measures of Optimal Investment for Institutional Investors (2005) (7)
Investment decisions when utility depends on wealth and other attributes (2020) (7)
Scenario Analysis with Recursive Utility: Dynamic Consumption Plans for Charitable Endowments (2007) (6)
Predicting British financial indices: An approach based on chaos theory (1993) (6)
Modeling demand for ESG (2021) (6)
Asymmetric dependence in finance : diversification, correlation and portfolio management in market downturns (2018) (6)
The exact distribution of the maximum likelihood estimators for the linear regression negative exponential model (1996) (6)
In Defense of Portfolio Optimization: What If We Can Forecast? (2019) (6)
Introductory Econometrics for Finance. (2003) (5)
Psychic dividends of socially responsible investment portfolios (2018) (5)
The Dubiety of Double Marking. (2010) (5)
UK Measures of Firm-Lived Equity Duration (2006) (5)
On the Evolution of Global Style Factors in the Morgan Stanley Capital International Universe of Assets (2002) (5)
Property shares and the equity market: exploring the linkages (1994) (5)
Finite-Sample Properties of a Two-Stage Single Equation Estimator in the SUR Model (1986) (5)
Calculating hedge fund risk: the draw down and the maximum draw down (2004) (5)
A critique of momentum strategies (2018) (5)
Large deviations theorems for optimal investment problems with large portfolios (2011) (5)
New test statistics for market timing with applications to emerging markets hedge funds (2005) (5)
Collecting and Investing in Stamps (2009) (4)
Uncertain survival and time discounting: intertemporal consumption plans for family trusts (2011) (4)
Optimal forecasting horizon for skilled investors (2007) (4)
Regime-switching in financial markets (2011) (4)
The anatomy of portfolio skewness and kurtosis (2013) (4)
Trapped in diversification – another look at the risk of fund of hedge funds (2019) (4)
Flash crash in an OTC market: trading behaviour of agents in times of market stress (2020) (4)
A random walk through Mayfair: Art as a luxury good and evidence from dynamic models (2019) (4)
Are There Bubbles in the Art Market? The Detection of Bubbles when Fair Value is Unobservable (2012) (4)
Generalised Mean-Variance Analysis and Robust Portfolio Diversification (2002) (4)
Exact Elliptical Distributions for Models of Conditionally Random Financial Volatility (2022) (4)
Forecasting Volatility in the Financial Markets Ed. 3 (2007) (4)
Diversification When It Hurts? The Joint Distributions of Property and Other Asset Classes (2005) (4)
Approximating the Finite Sample Bias for Maximum Likelihood Estimators by Using the Score (1996) (4)
Discipline of Finance Discussion Paper 2014-008 “ Taking the Art out of Smart Beta ” (2014) (4)
Differential Mortality in Rural Bangladesh (1986) (4)
Partial Moment Momentum (2021) (4)
The simulation of option prices with application to LIFFE options on futures (1999) (4)
The Implied Distribution for Stocks of Companies with Warrants and/or Executive Stock Options (2002) (4)
Valuing Information Using Utility Functions: How Much Should We Pay for Forecasts of Returns? (2001) (4)
The Variance of Property Returns: Some Problems of Time‐Weighted Measures (1992) (4)
Derivatives and Hedge Funds (2016) (4)
Estimating Consumption Plans for Recursive Utility by Maximum Entropy Methods (2012) (3)
The Low Beta Anomaly and Interest Rates (2015) (3)
Fairness in Trading: A Microeconomic Interpretation (2009) (3)
Assessing the Accuracy of Credit R.O.C. Estimates in the Presence of Macroeconomic Shocks (2006) (3)
GARCH predictions and the predictions of option prices (2007) (3)
Modelling U.K. Mortgage Defaults Using a Hazard Approach Based on American Options (1995) (3)
What Proportion of Time is a particular Market inefficient?...Analysing market efficiency when equity prices follow Threshold Autoregressions. (2016) (3)
Endogenous divorce risk and investment (2019) (3)
Risk discriminating portfolio optimization (2018) (3)
A comparison of non-Gaussian VaR estimation and portfolio construction techniques (2020) (3)
Forecasting (LOG) Volatility Models (1998) (3)
Forward and spot exchange rates in a bivariate TAR framework (2001) (3)
What Proportion of Time is a Particular Market Inefficient? … A Method for Analysing the Frequency of Market Efficiency when Equity Prices Follow Threshold Autoregressions (2018) (3)
The analytics of momentum (2019) (3)
On the Difficulty of Measuring Forecasting Skill in Financial Markets (2015) (3)
Nonlinearity and smoothing in venture capital performance data (2012) (3)
Are stock prices driven by the volume of trade? Empirical analysis of the FT30, FT100 and certain British shares over 1988–1990 (2001) (2)
Retirement investor risk tolerance when risk is range : experimental survey evidence from tranquil and crisis periods . (2009) (2)
Chapter 4 – Modelling emerging market risk premia using higher moments (2001) (2)
Some Dynamic and Steady-State Properties of Threshold Auto-Regressions with Applications to Stationarity and Local Explosivity (2019) (2)
Orthant Probability-Based Correlation (2018) (2)
The role of bank funding in systematic risk transmission (2020) (2)
Statistical Properties of the Sample Semi-variance, with Applications to Emerging Markets' Data (1998) (2)
Cost of Capital and Regulator’s Preferences: Investigation into a new method of estimating regulatory bias (2004) (2)
Can NN-algorithms and macroeconomic data improve OLS industry returns forecasts?* (2003) (2)
Global Equity Styles and Industry Effects: Portfolio Construction via Dummy Variables (1998) (2)
Some problems with modelling asset returns using the elliptical class (1996) (2)
On the Characterisation of Investor Preferences by Changes in Wealth (2001) (2)
Optimal investment and asymmetric risk: a large deviations approach (2010) (2)
Quantitative Approaches to High Net Worth Investment (2014) (2)
New Test Statistics for Market Timing with Application to Emerging markets (2002) (2)
Understanding analysts forecasts (2010) (2)
Testing linear factor models on individual stocks using the average F-test (2014) (2)
Some Exact Results for an Asset Pricing Test Based on the Average <i>F</i> Distribution (2012) (2)
The Distribution of Cross Sectional Momentum Returns When Underlying Asset Returns Are Student’s t Distributed (2020) (2)
Endogenous Correlation (2003) (2)
Modelling conditional heteroskedasticity and skewness using the skew-normal distribution (2010) (2)
Risk, Utility an Switching between Gambles (1997) (2)
Evaluating the impact of inequality constraints and parameter uncertainty on optimal portfolio choice (2015) (2)
Social Welfare Issues of Financial Literacy (2010) (2)
The Most Entropic Canonical Copula with an Application To 'Style' Investment (2008) (2)
Stability conditions for heteroscedastic factor models with conditionally autoregressive betas (2011) (2)
Converting true returns into reported returns: A general theory of linear smoothing and anti-smoothing (2014) (2)
Optimal properties of exponentially weighted forecasts in the presence of different information sources (1994) (1)
Portfolio Construction and Risk Budgeting (2002) (1)
Measuring style tilting and decomposing style risk (2004) (1)
Chapter 12 – Assessing the merits of rank-based optimization for portfolio construction (2003) (1)
The Impact of Optimistic and Pessimistic Preferences on Decision Making (2013) (1)
HARNESSING INVESTOR SENTIMENT USING BIG DATA ANALYTICS (2019) (1)
Performance measurement of portfolio risk based on orthant probabilities (2002) (1)
“In Defense of Portfolio Optimization: What If We Can Forecast?”: Author Response (2020) (1)
Recovering the Most Entropic Copulas from Preliminary Knowledge of Dependence (2016) (1)
Bayesian Estimation of Risk-Premia in an APT Context (2003) (1)
Modeling Style Rotation: Switching and Re-switching (2012) (1)
A Loss Aversion Performance Measure (2004) (1)
Technology Shocks and Asset Pricing: The Role of Consumer Confidence (2014) (1)
ENDOGENOUS CROSS CORRELATIONS (2007) (1)
The Validity of Credit Risk Rating Model Validation Methods (2007) (1)
Sequential Variable Selection as Bayesian Pragmatism in Linear Factor Models (2013) (1)
Cost of Capital and the Regulator’s Preferences: An Investigation into a New Method of Estimating Regulatory Beta (2004) (1)
Steady-state distributions for models of bubbles: their existence and econometric implications (2012) (1)
Investigating the benefits of mutuality: Mutual versus proprietary annuity provision (2001) (1)
Some properties of averaging simulated optimization methods (2010) (1)
Decomposing the bias in time-series estimates of CAPM betas (2016) (1)
Robust optimization for utilizing forecasted returns in institutional investment (2007) (1)
The Estimation of Psychic Returns for Cultural Assets (2013) (1)
The Idiosyncratic Volatility Anomaly and the Resale Option in Chinese Stock Markets (2018) (1)
Styles through a convergent/divergent lens: the curious case of ESG (2020) (1)
Using approximate results for validating value-at-risk (2010) (1)
Investment Risk Framing and Individual Preference Consistency (2011) (1)
Minding the store (2003) (1)
The Impact of Consumer Confidence on Expected Utility Maximization: A Contribution to the Equity Premium Puzzle Literature (2005) (1)
1/N versus Mean-Variance (2012) (1)
An Equilibrium Model of Market Efficiency with Bayesian Learning: Explicit Modes of Convergence to Rational Expectations Equilibrium in the Presence of Noise Traders (2015) (1)
Changing Correlation and Portfolio Diversification Failure in the Presence of Large Market Losses (2003) (1)
Advanced statistical methods in the social sciences (1986) (1)
Asset Price Bubbles in the Australian Market (2016) (1)
3 – A demystification of the Black-Litterman model: Managing quantitative and traditional portfolio construction (2007) (1)
Computing optimal mean/downside risk frontiers: the role of ellipticity (2010) (1)
A Data Matrix to Investigate Independence, Overreaction and/or Shock Persistence in Financial Data (1998) (0)
By Force of Confidence (2022) (0)
A word from the Editors (2018) (0)
Working Papers in Economics : 1980 EMERGING MARKETS AND THE CONDITIONAL CAPM (2019) (0)
An Integrated Risk Measure with Application to UK Asset Allocation (1997) (0)
Forecasting UK Mortgage Default: A VAR Approach (2009) (0)
The Size of the CTA Market and the Role of Asymmetric Dependence (2018) (0)
The Leland Model as a Consistent Framework for Analytic Valuation of Equity and Options on Equity (2023) (0)
Valuation of Options in a Setting with Happiness-Augmented Preferences (2006) (0)
The Small Noise Arbitrage Pricing Theory (1999) (0)
Non-Parametric Methods for Asset Allocation in Private Wealth Forthcoming in Quant Methods for High Net Worth Investors (2014) (0)
FISCAL INCENTIVES AND CORPORATE FINANCING A FLOW OF FUNDS (2006) (0)
Improving the Estimates of the Risk Premia - Application in the UK Financial Market (2001) (0)
Styles through a convergent/divergent lens: the curious case of ESG (2020) (0)
Some Statistics for Testing the Influence of the Number of Transactions on the Distributions of Returns (1993) (0)
Misspecification in an Asymmetrically Dependent World (2018) (0)
Emerging Markets and the Conditional CAPM (2019) (0)
Some choices in forecast construction (2007) (0)
Expected Surplus Growth Compared with Mean–Variance Optimization (2021) (0)
Decision making (2013) (0)
Asset Management with Price Impact and Fair Treatment of Clients (2010) (0)
Financial Institutions Center Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think (1999) (0)
Risk in Risk Aversion (2022) (0)
REPORT TO THE AER: ANALYSIS OF CRITICISM OF 2015 DETERMINATIONS (2015) (0)
Sharpe Style Analysis in the MSCI Countries and Sectors: A Monte Carolo integration approach (Reprinted from ORIJ) (2004) (0)
Decision making (2013) (0)
Business School Discipline of Finance Discussion Paper 2015-002 “ A Simple Overnight / Intraday Volatility Estimator ” (2016) (0)
A Taxonomy of Momentum Strategies (2020) (0)
A Rank Approach to Equity Forecast Construction (2006) (0)
The validity of variance and volatility swaps (2007) (0)
Forecasting Single and Multiple Hazards: The Use of the Weibull Distribution with Application to Arrears Mortgages Facing Repossession Risks (1996) (0)
The Black and Scholes Option Price as a Random Variable (1991) (0)
" a Simple Overnight/intraday Volatility Estimator " Robert Krause Chief Executive Officer / the Volatility Exchange (2015) (0)
Correlation dynamics between the benelux and the UK stock markets: implications for risk management (1999) (0)
Time‐Series Momentum in Credit: Machine Learning Approach (2020) (0)
A Bias Correction for Token's Correlation Dimension Estimator (1994) (0)
Is Rating Associated with Better Retail Funds’ Performance in Changing Market Conditions? (2014) (0)
Random Variable Generation via Double Sampling (1990) (0)
The Properties of Double-Blind Dutch Auctions in a Clearing House; Some New Results for the Mendelson Model (2012) (0)
Investigating a Fund Return Distribution when the Value of the Fund under Management is Irregularly Observed (2016) (0)
Investigating Price Discovery Using a VAR-GARCH ( 1 , 1 ) Model of Order Flow and Stock Returns ” (2016) (0)
Random Variable Generation via Double Sampling (1992) (0)
Mean-Variance versus 1/N: What if we can forecast? (Updated 22nd December 2013) (2012) (0)
In Defence of Portfolio Optimisation What If We Can Forecast? (2019) (0)
Some exact results for portfolio estimators in the two-period capital market model (2003) (0)
1980 EMERGING MARKETS AND THE CONDITIONAL CAPM (2019) (0)
The anatomy of portfolio skewness and kurtosis (2013) (0)
A NOTE ON BAYESIAN INFERENCE IN ASSET PRICING (2001) (0)
Computing Mean/Downside Risk Frontiers: The Role of Ellipticity (2008) (0)
The Optimal Mortgage Loan Portfolio in UK Regional Residential Real Estate (2010) (0)
Market Momentum (2020) (0)
Data for: The role of bank funding in risk transmission among Australian banks (2019) (0)
Geometric Indices: A Theory of Hedging and Econometric Analysis with Applications to the UK Stock Market (1993) (0)
X.25 pads performance (1989) (0)
A bias-adjusted Black and Scholes option pricing model (1995) (0)
Social Welfare Issues of Financial Literacy * Professor (2010) (0)
A general theory of smoothing and anti-smoothing, converting true returns to reported returns (2012) (0)
Molten lava meets market languor (2002) (0)
The probability functions of option prices, risk-neutral pricing and Value-at-Risk (2001) (0)
Implementation and Asymptotic Efficiency (2008) (0)
Asset pricing with utility from external anticipation (2019) (0)
Theoretical Analysis of the Fama‐French Portfolios (2020) (0)
Asset Allocatorsí Attitude Towards Real Estate and Alternative Investment Classes (2007) (0)
Endogenous divorce risk and investment (2018) (0)
Editorial — Benchmark Issues (2003) (0)
THE CUMULANT GENERATING (1997) (0)
Invited Editorial (2006) (0)
Variance, volatility swaps and hedging your equity portfolio (2007) (0)
The Accuracy of Credit Scoring Receiver Operating Characteristic in the Presence of Macroeconomic Shocks (2008) (0)
The Skill Paradox : Is Smarter Always Better ? (2010) (0)
Forecasting and compulsion (2007) (0)
S. E. Satchell and S. M. Wright A Rank Approach to Equity Forecast Construction (2005) (0)
Are Property Prices Non-Linear? An Investigation of the Behaviour of US REITs and UK Property Company Shares (1997) (0)
Lower Partial Capital Asset Pricing Models: A Re-examination (1996) (0)
Analyst Forecast Dispersion and Market Return Predictability: Does Conditional Equity Premium Play a Role? (2020) (0)
When Does Pairs Trading Outperform Cross-Sectional Momentum? (2022) (0)
Asset Pricing Anomalies and the State Ownership Effect in China's Domestic Stock Market (2017) (0)
68040 programming (1990) (0)
Style rotation and dynamic asset allocation (2011) (0)
Reversing disbursement rates to estimate stationary wealth processes for endowments with recursive preferences (2018) (0)
Orthant Probabilities for Robust Correlation and Structural Performance Enhancement (2015) (0)
The hidden binomial economy and the role of forecasts in determining prices (2007) (0)
Very exotic derivatives (2013) (0)
The Properties of Co-Quantiles and Their Applications to Momentum Spillovers (2019) (0)
Efficiency Dynamics across Segmented Bitcoin Markets: Evidence from a Decomposition Strategy (2023) (0)
Advanced Trading Rules Ed. 2 (2002) (0)
Discounting and Consumption Over an Uncertain Horizon: Draw-Down Plans for Family Trusts (2007) (0)
Estimation with Errors in Variables via the Characteristic Function (2020) (0)
Modelling Sustainable Spending Plans for Family Offices, Foundations and Trusts (2014) (0)
The small noise arbitrage pricing theory and its welfare implications (2005) (0)
Hedge fund replication (2011) (0)
Downsizing the desktop (1989) (0)
Assessing Interbank Connectedness Using Transmission Decomposition Techniques: an Application to Eurozone SIFIs (2014) (0)
Improved Testing for the Validity of Asset Pricing Theories in Linear Factor Models (2002) (0)
A critique of momentum strategies (2018) (0)
OVER THE LAST FORTY YEARS, there has emerged a considerable quantity of results concerned with parameter estimation in economic models. The estimators of the parameters typically have complicated density functions, making the (1986) (0)
CENTRE FOR ECONOMETRIC ANALYSIS CEA@Cass (2004) (0)
Buy-Side Risk Management: Hedging Hedge Fund Outflows (2011) (0)
A Bias Correction for Taken's Correlation Dimension Estimator (1995) (0)
Utility Functions with Parameters Depending on Initial Wealth (1998) (0)
A Matter of Attitude: Estimation of the Risk Attitude of the Representative UK Pension Fund Investor (2005) (0)
Psychic dividends of socially responsible investment portfolios (2018) (0)
Treating cross‐sectional and time series momentum returns as forecasts (2020) (0)
QUANTITATIVE FINANCE RESEARCH CENTRE (2005) (0)

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What Schools Are Affiliated With Stephen Ellwood Satchell?

Stephen Ellwood Satchell's AcademicInfluence.com Rankings