Rob Trevor

Associate Professor

  • 170 Citations
  • 4 h-Index
19812000
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Censored Observations Mathematics
futures market Social Sciences
Generalized Autoregressive Conditional Heteroscedasticity Mathematics
Equity Mathematics
Likelihood Function Mathematics
Error term Mathematics
Expected Value Mathematics
bill Social Sciences

Research Output 1981 2000

  • 170 Citations
  • 4 h-Index
  • 8 Article
  • 1 Chapter

Evaluating the Risk of Portfolios with Options

Sheedy, E. & Trevor, R., 2000, Advances in Investment Analysis and Portfolio Management. Lee, C-F. (ed.). Stamford, Connecticut, USA: JAI Press, Vol. 7. p. 1-18 18 p.

Research output: Chapter in Book/Report/Conference proceedingChapterResearchpeer-review

Asset-allocation decisions when risk is changing

Sheedy, E., Trevor, R. & Wood, J., 1999, In : Journal of Financial Research. 22, 3, p. 301-315 15 p.

Research output: Contribution to journalArticleResearchpeer-review

Asset allocation
Estimation risk
Exponential smoothing
Ranking
Volatility clustering

Limit moves as censored observations of equilibrium futures price in garch processes

Morgan, I. G. & Trevor, R. G., 1999, In : Journal of Business and Economic Statistics. 17, 4, p. 397-408 12 p.

Research output: Contribution to journalArticleResearchpeer-review

Censored Observations
futures market
Generalized Autoregressive Conditional Heteroscedasticity
Equity
Likelihood Function

Pricing options under generalized GARCH and stochastic volatility processes

Ritchken, P. & Trevor, R., Feb 1999, In : Journal of Finance. 54, 1, p. 377-402 26 p.

Research output: Contribution to journalArticleResearchpeer-review

Generalized autoregressive conditional heteroscedasticity
Option pricing
Stochastic volatility
Option prices
GARCH process

On the distribution of intra-daily exchange rate changes

Bewley, R., Lowe, P. & Trevor, R., 1992, In : Mathematics and Computers in Simulation. 33, 5-6, p. 557-562 6 p.

Research output: Contribution to journalArticleResearchpeer-review