Skip to main content
Article thumbnail
Location of Repository

On the evolution of global style factors in the MSCI universe of assets

By George Christodoulakis and S. (Stephen) Satchell
Topics: HG
Publisher: Warwick Business School, Financial Econometrics Research Centre
OAI identifier:

Suggested articles


  1. A New Measure of Herding and Empirical Evidence, doi
  2. A Panel-Based Investigation into the Relationship Between Stock Prices and Dividends,
  3. Aggregation and Memory of Models of Changing Volatility, doi
  4. An Analysis of Performance Measures Using Copulae, doi
  5. An Analysis of the Performance of European Foreign Exchange Forecasters, doi
  6. An Elementary Account of Amari's Expected Geometry, doi
  7. An Introduction to Differential Geometry in Econometrics, doi
  8. Ana-Maria Fuertes and Andrew Wood, Reinterpreting the Real Exchange Rate - Yield Diffential Nexus, doi
  9. Ana-Maria Fuertes and Maria-Teresa Perez, Numerical Issues in Threshold Autoregressive Modelling of Time Series, doi
  10. Calculating the Miss-specification in Beta from Using a Proxy for the Market Portfolio, doi
  11. Co-Volatility and Correlation Clustering: A Multivariate Correlated ARCH Framework, WP01-05 13. Frank Critchley, Paul Marriott and Mark Salmon, On Preferred Point Geometry in Statistics,
  12. Combining Heterogeneous Classifiers for Stock Selection, doi
  13. Currency Spillovers and Tri-Polarity: a Simultaneous Model doi
  14. Evaluating the Performance of Nearest Neighbour Algorithms when Forecasting US Industry Returns,
  15. Event-related GARCH: the impact of stock dividends in Turkey, doi
  16. Evolving Systems of Financial Returns: AutoRegressive Conditional Beta,
  17. Finite Sample Inference for Extreme Value Distributions,
  18. Forecasting Inflation with a Non-linear Output Gap Model,
  19. Forecasting T-Bill Yields: Accuracy versus Profitability,
  20. Forecasting Volatility using LINEX Loss Functions, doi
  21. From Market Micro-structure to Macro Fundamentals: is there Predictability in the Dollar-Deutsche Mark Exchange Rate?,
  22. Gaussian inference on Certain Long-Range Dependent Volatility Models, doi
  23. Generating Composite Volatility Forecasts with Random Factor Betas, doi
  24. Hopscotch Methods for Two State Financial Models, doi
  25. How do UK-Based Foreign Exchange Dealers Think Their Market Operates?, doi
  26. Implied Volatility Forecasting: A Compaison of Different Procedures Including Fractionally Integrated Models with Applications to UK Equity Options,
  27. Improved Testing for the Efficiency of Asset Pricing Theories in Linear Factor Models,
  28. Investigating Dynamic Dependence Using Copulae, doi
  29. 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 Markets, doi
  30. Modelling Emerging Market Risk Premia Using Higher Moments, doi
  31. Multivariate Extremes at Work for Portfolio Risk Measurement,
  32. Noise Training, Costly Arbitrage and Asset Prices: evidence from closed-end funds, doi
  33. On Empirical Risk Measurement with Asymmetric Returns Data,
  34. On the Evolution of Credibility and Flexible Exchange Rate Target Zones,
  35. Option Hedging with Stochastic Volatility, doi
  36. Predictability in International Asset Returns: A Reexamination, WP99-03 20. Christopher Neely and Paul Weller, Intraday Technical Trading in the Foreign Exchange Market, doi
  37. Properties of Cross-sectional Volatility, doi
  38. Rationality Testing under Asymmetric Loss, doi
  39. Rethinking the Forward Premium Puzzle in a Nonlinear Framework,
  40. Robust Decision Theory and the Lucas Critique, doi
  41. Sharp Style Analysis in the MSCI Sector Portfolios: A Monte Caro Integration Approach, doi
  42. Soosung Hwang and Stephen Satchell, Using Bayesian Variable Selection Methods to Choose Style Factors in Global Stock Return Models, doi
  43. Technical Analysis and Central Bank Intervention, doi
  44. Testing Merton's Model for Credit Spreads on Zero-Coupon Bonds, doi
  45. The Asset Allocation Decision in a Loss Aversion World, doi
  46. The Derivation of New Model of Equity Duration,
  47. The Effects of Systematic Sampling and Temporal Aggregation on Discrete Time Long Memory Processes and their Finite Sample Properties, doi
  48. The Felsdtein-Horioka Puzzle is Not as Bad as You Think, doi
  49. Tracking Error: Ex-Ante versus Ex-Post Measures, doi
  50. Vado Durrleman, Ashkan Nikeghbali, Gael Riboulet and Thierry Roncalli, Copulas: an Open Field for Risk Management, doi
  51. Valuing Information Using Utility Functions, doi
  52. Valuing Path Dependent Options in the Variance-Gamma Model by Monte Carlo with a Gamma Bridge,

To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.