Steve Satchell
Steve Satchell
fellow trinity college
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Cited by
Cited by
Estimating variance from high, low and closing prices
LCG Rogers, SE Satchell
The Annals of Applied Probability, 504-512, 1991
Modelling emerging market risk premia using higher moments
S Hwang, SE Satchell
International Journal of Finance & Economics 4 (4), 271-296, 1999
A demystification of the Black–Litterman model: Managing quantitative and traditional portfolio construction
S Satchell, A Scowcroft
Journal of Asset Management 1 (2), 138-150, 2000
The Bernstein copula and its applications to modeling and approximations of multivariate distributions
A Sancetta, S Satchell
Econometric theory, 535-562, 2004
Why do regime‐switching models forecast so badly?
R Dacco, S Satchell
Journal of forecasting 18 (1), 1-16, 1999
Managing downside risk in financial markets
FA Sortino, S Satchell, F Sortino
Butterworth-Heinemann, 2001
Forecasting volatility in the financial markets
S Satchell, J Knight
Elsevier, 2011
Estimating the volatility of stock prices: a comparison of methods that use high and low prices
LCG Rogers, SE Satchell, Y Yoon
Applied Financial Economics 4 (3), 241-247, 1994
Correlated ARCH (CorrARCH): Modelling the time-varying conditional correlation between financial asset returns
GA Christodoulakis, SE Satchell
European Journal of Operational Research 139 (2), 351-370, 2002
Interactions between property and equity markets: An investigation of linkages in the United Kingdom 1972–1992
C Lizieri, S Satchell
The Journal of Real Estate Finance and Economics 15 (1), 11-26, 1997
On the foundation of performance measures under asymmetric returns
CS Pedersen, SE Satchell
Quantitative Finance 2, 217-223, 2002
The hazards of doing a PhD: an analysis of completion and withdrawal rates of British PhD students in the 1980s
LL Booth, SE Satchell
Journal of the Royal Statistical Society: Series A (Statistics in Society …, 1995
An extended family of financial-risk measures
CS Pedersen, SE Satchell
The Geneva Papers on Risk and Insurance Theory 23 (2), 89-117, 1998
An assessment of the economic value of non‐linear foreign exchange rate forecasts
S Satchell, A Timmermann
Journal of Forecasting 14 (6), 477-497, 1995
Apprenticeships and job tenure
AL Booth, SE Satchell
Oxford Economic Papers, 676-695, 1994
Financial competence and expectations formation: Evidence from Australia
H Bateman, C Eckert, J Geweke, J Louviere, S Thorp, S Satchell
Economic Record 88 (280), 39-63, 2012
Diversification when it hurts? The joint distributions of real estate and equity markets
J Knight, C Lizieri, S Satchell
Journal of Property Research 22 (04), 309-323, 2005
Market risk and the concept of fundamental volatility: measuring volatility across asset and derivative markets and testing for the impact of derivatives markets on financial …
S Hwang, SE Satchell
Journal of Banking & Finance 24 (5), 759-785, 2000
How loss averse are investors in financial markets?
S Hwang, SE Satchell
Journal of Banking & Finance 34 (10), 2425-2438, 2010
Tracking error: Ex ante versus ex post measures
SE Satchell, S Hwang
Journal of Asset Management 2 (3), 241-246, 2001
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