The log of the price of a share is commonly modelled as a Brownian motion with drift, σ B t +
ct, where the constants c and σ are unknown. In order to use the Black-Scholes option …

The purpose of this paper is to assess the incremental value of higher moments in modelling
capital asset pricing models (CAPMs) of emerging markets. Whilst it is recognized that …

… It is the purpose of this paper to describe a procedure put forward by Rogers and Satchell
(l991)… Satchell method can estimate it even though the expected return is non-constant. This is …

Although the time variation of the conditional correlations of asset returns is a well established
stylized fact (and of crucial importance for efficient financial decisions) there is no explicit …

We examine two performance measures advocated for asymmetric return distributions: the
Sortino ratio-originally introduced by Sortino and Price (Sortino F and Price L 1994 J. …

The paper examines the completion and withdrawal rates for British PhD students, by using
the 1986 national survey of 1980 graduates. The statistical analysis is carried out in a …

Recalling the class of risk measures introduced by Stone [1973], the authors survey
measures from different academic disciplines—including psychology, operations research, …

This paper proposes an unobserved fundamental component of volatility as a measure of
risk. This concept of fundamental volatility may be more meaningful than the usual measures …

Financial literacy has become a prominent item on the public agenda worldwide, with its
relevance very much underlined by the high-profile role played by consumer finance in global …

IT is frequently argued that a cause of the UK's poor economic performance is her low level
of skills relative to her competitors (Bean and Symons, 1990; Greenhalgh, 1990; and Crafts …