Satchell Stephen E.

Stephen E. Satchell

Information about the author Stephen E. Satchell will soon be added to the site.
Found 4 papers in total
On the evolution of global style factors in the Morgan Stanley Capital International universe of assets
On the evolution of global style factors in the Morgan Stanley Capital International universe of assets
2002
We explore the effects of global style factors on the Morgan Stanley Capital...
Correlated ARCH (CorrARCH): Modelling the time-varying conditional correlation between financial asset returns
Correlated ARCH (CorrARCH): Modelling the time-varying conditional correlation between financial asset returns
2002
Although the time variation of the conditional correlations of asset returns is a well...
On the characterisation of investor preferences by changes in wealth
On the characterisation of investor preferences by changes in wealth
2001
As wealth increases, preference of one fixed gamble over another typically changes...
The simulation of option prices with application to London International Financial Futures Exchange options on futures
The simulation of option prices with application to London International Financial Futures Exchange options on futures
1999
We build a framework for modelling the deviation of observed option prices from the...
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