Christodoulakis, George

Satchell, S. (Stephen)

English

Warwick Research Archives Portal Repository

A New Measure of Herding and Empirical Evidence,

A Panel-Based Investigation into the Relationship Between Stock Prices and Dividends,

Aggregation and Memory of Models of Changing Volatility,

An Analysis of Performance Measures Using Copulae,

An Analysis of the Performance of European Foreign Exchange Forecasters,

An Elementary Account of Amari's Expected Geometry,

An Introduction to Differential Geometry in Econometrics,

Ana-Maria Fuertes and Andrew Wood, Reinterpreting the Real Exchange Rate - Yield Diffential Nexus,

Ana-Maria Fuertes and Maria-Teresa Perez, Numerical Issues in Threshold Autoregressive Modelling of Time Series,

Calculating the Miss-specification in Beta from Using a Proxy for the Market Portfolio,

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,

Combining Heterogeneous Classifiers for Stock Selection,

Currency Spillovers and Tri-Polarity: a Simultaneous Model

Evaluating the Performance of Nearest Neighbour Algorithms when Forecasting US Industry Returns,

Event-related GARCH: the impact of stock dividends in Turkey,

Evolving Systems of Financial Returns: AutoRegressive Conditional Beta,

Finite Sample Inference for Extreme Value Distributions,

Forecasting Inflation with a Non-linear Output Gap Model,

Forecasting T-Bill Yields: Accuracy versus Profitability,

Forecasting Volatility using LINEX Loss Functions,

From Market Micro-structure to Macro Fundamentals: is there Predictability in the Dollar-Deutsche Mark Exchange Rate?,

Gaussian inference on Certain Long-Range Dependent Volatility Models,

Generating Composite Volatility Forecasts with Random Factor Betas,

Hopscotch Methods for Two State Financial Models,

How do UK-Based Foreign Exchange Dealers Think Their Market Operates?,

Implied Volatility Forecasting: A Compaison of Different Procedures Including Fractionally Integrated Models with Applications to UK Equity Options,

Improved Testing for the Efficiency of Asset Pricing Theories in Linear Factor Models,

Investigating Dynamic Dependence Using Copulae,

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,

Modelling Emerging Market Risk Premia Using Higher Moments,

Multivariate Extremes at Work for Portfolio Risk Measurement,

Noise Training, Costly Arbitrage and Asset Prices: evidence from closed-end funds,

On Empirical Risk Measurement with Asymmetric Returns Data,

On the Evolution of Credibility and Flexible Exchange Rate Target Zones,

Option Hedging with Stochastic Volatility,

Predictability in International Asset Returns: A Reexamination, WP99-03 20. Christopher Neely and Paul Weller, Intraday Technical Trading in the Foreign Exchange Market,

Properties of Cross-sectional Volatility,

Rationality Testing under Asymmetric Loss,

Rethinking the Forward Premium Puzzle in a Nonlinear Framework,

Robust Decision Theory and the Lucas Critique,

Sharp Style Analysis in the MSCI Sector Portfolios: A Monte Caro Integration Approach,

Soosung Hwang and Stephen Satchell, Using Bayesian Variable Selection Methods to Choose Style Factors in Global Stock Return Models,

Technical Analysis and Central Bank Intervention,

Testing Merton's Model for Credit Spreads on Zero-Coupon Bonds,

The Asset Allocation Decision in a Loss Aversion World,

The Derivation of New Model of Equity Duration,

The Effects of Systematic Sampling and Temporal Aggregation on Discrete Time Long Memory Processes and their Finite Sample Properties,

The Felsdtein-Horioka Puzzle is Not as Bad as You Think,

Tracking Error: Ex-Ante versus Ex-Post Measures,

Vado Durrleman, Ashkan Nikeghbali, Gael Riboulet and Thierry Roncalli, Copulas: an Open Field for Risk Management,

Valuing Information Using Utility Functions,

Valuing Path Dependent Options in the Variance-Gamma Model by Monte Carlo with a Gamma Bridge,

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

http://wrap.warwick.ac.uk/1806/1/WRAP_Christodoulakis_fwp02-07.pdf

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

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