Access Statistics for Chris Brooks

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A New Tool for Detecting Intraday Periodicities with Application to High Frequency Exchange Rates 1 1 12 23 2 4 26 57
A Three-Regime Model of Speculative Behaviour: Modelling the Evolution of Bubbles in the S&P 500 Composite Index 1 4 24 36 1 6 35 61
Advance Contracts for the Sale of Wool in Medieval England; An Undeveloped and Inefficient Market? 0 2 7 9 2 9 34 64
An EVT Approach to calculating Risk Capital Requirements 0 1 16 27 2 9 42 87
Augoregressive Conditional Kurtosis 0 1 16 27 0 3 29 58
Can Portemanteau Nonlinearity Tests Serve as General Mis-Specification Tests? Evidence from Symmetric and Asymmetric GARCH Models 0 0 0 1 5 8 23 354
Corporate Reputation and Stock Returns; are good firm good for investors? 3 8 17 35 3 13 30 94
Cross Hedging with Single Stock Futures 0 3 25 50 1 6 50 115
Decomposing the P/E Ratio 1 4 21 36 4 7 61 161
Forecasting the Collapse of Speculative Bubbles: An Empirical Investigation of the S&P 500 Composite Index 0 5 28 39 2 10 46 78
Gambling on the S&P 500's Gold Seal: New Evidence on the Index Effect 0 0 11 16 0 1 29 57
International Evidence of the Predictability of Prices of Securititised Real Estate Assets: Econometric Models versus Neural Networks 0 1 11 25 0 2 19 45
Intra-day Patterns in the Returns, Bidask Spereads, and Trading Volume of Stocks Traded on the New York Stock Exchange 0 1 17 43 1 3 44 101
Leger est aprendre mes fort est arendre;: Wool, Debt and the Dispersal of Pipewell Abbey (1280 - 1330) 0 0 1 1 0 0 7 22
Linear and Non-Linear Transmission of Equity Return Volatility: Evidence From the US, Japan, and Australia 0 0 0 0 4 23 64 517
Measuring the Response of Macroeconomic Uncertainty to Shocks 4 8 23 65 8 17 48 137
Momentum Profits and Time-Varying Unsystematic Risk 2 5 15 27 7 11 44 94
Multivariate GARCH Models: Software Choice and Estimation Issues 1 8 60 102 3 16 112 201
Optimal Hedging and the Value of News 0 0 0 1 5 12 24 396
Optimal Hedging with Higher Moments 1 3 22 39 3 6 36 69
Speculative Bubbles in the S&P 500: Was the Tech Bubble Confined to the Tech Sector? 1 5 28 55 2 14 52 126
The Extremes of the P/E Effect 1 4 23 29 3 10 51 85
The Impact of News on Measures of Undiversifiable Risk: Evidence from the UK Stock Market 2 2 8 28 2 4 27 324
The Long-Term P/E Radio 0 1 11 22 10 24 69 139
The S&P 500 Index Effect in Continuous Time: Evidence from Overnight, Intraday and Tick-by-Tick Stock Price Performance 0 5 27 66 4 15 89 233
The Statistical Properties of Hedge Fund Index Returns 2 7 25 49 8 18 71 134
The Stock Performance of America’s 100 Best Corporate Citizens 0 1 10 26 0 5 36 104
The Value Premium and Time-Varying Unsystematic Risk 4 11 29 52 9 32 114 181
Value at Risk and Market Crashes 1 5 22 39 2 6 26 54
Total Working Papers 25 96 509 968 93 294 1,338 4,148

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Double-Threshold GARCH Model for the French Franc/Deutschmark Exchange Rate 0 0 0 0 3 11 49 356
A Note on Estimating Market-Based Minimum Capital Risk Requirements: A Multivariate GARCH Approach 1 2 5 50 1 2 8 118
A Three-Regime Model of Speculative Behaviour: Modelling the Evolution of the S&P 500 Composite Index 1 3 7 44 2 4 12 110
A comparison of extreme value theory approaches for determining value at risk 5 10 28 94 6 13 49 197
A model for exchange rates with crawling bands--an application to the Colombian peso 0 4 11 40 1 7 28 147
A re-examination of the index effect: Gambling on additions to and deletions from the S&P 500's [`]gold seal' 1 2 14 20 3 5 32 48
A word of caution on calculating market-based minimum capital risk requirements 0 0 2 16 2 3 6 44
An Alternative Approach to Investigating Lead-Lag Relationships between Stock and Stock Index Futures Markets 0 3 6 49 0 3 7 94
Autoregressive Conditional Kurtosis 4 8 29 86 7 14 62 174
Benchmarks and the accuracy of GARCH model estimation 1 6 40 197 3 13 66 346
Bicorrelations and Cross-Bicorrelations As Non-linearity Tests and Tools for Exchange Rate Forecasting 0 0 0 0 0 2 14 85
Can We Explain the Dynamics of the UK FTSE 100 Stock and Stock Index Futures Markets? 0 5 24 140 5 21 104 1,124
Can portmanteau nonlinearity tests serve as general mis-specification tests?: Evidence from symmetric and asymmetric GARCH models 0 0 3 18 0 0 7 64
Chaos in Foreign Exchange Markets: A Sceptical View 0 5 19 82 2 9 26 191
Corporate Social Performance and Stock Returns: UK Evidence from Disaggregate Measures 0 0 0 0 3 16 59 187
Cross-correlations and cross-bicorrelations in Sterling exchange rates 0 0 6 22 0 1 9 72
Detecting intraday periodicities with application to high frequency exchange rates 0 0 11 26 0 2 21 72
Does Orthogonalization Really Purge Equity-Based Property Valuations of Their General Stock Market Influences? 0 0 1 4 1 2 7 56
Forecasting exchange rate volatility using conditional variance models selected by information criteria 1 2 13 40 1 4 23 84
Forecasting models of retail rents 2 4 7 7 2 6 19 21
Information criteria for GARCH model selection 4 12 65 339 12 27 147 671
Interest rates and efficiency in medieval wool forward contracts 0 0 2 20 0 1 14 95
Linear and non-linear transmission of equity return volatility: evidence from the US, Japan and Australia 0 1 8 41 1 2 12 109
Linkages between Property Asset Returns and Interest Rates: Evidence for the UK 0 2 10 81 0 2 18 216
Measuring the Response of Macroeconomic Uncertainty to Shocks 3 7 18 71 9 13 30 182
Modelling the Implied Volatility of Options on Long Gilt Futures 0 0 0 0 3 4 18 73
Momentum profits and time-varying unsystematic risk 0 2 9 12 2 8 29 48
Multivariate GARCH models: software choice and estimation issues 2 7 35 581 10 24 92 1,177
Portmanteau Model Diagnostics and Tests for Nonlinearity: A Comparative Monte Carlo Study of Two Alternative Methods 0 0 3 38 0 1 8 214
Rational Speculative Bubbles: An Empirical Investigation of the London Stock Exchange 2 7 20 160 2 11 38 305
Seasonality in Southeast Asian Stock Markets: Some New Evidence on Day-of-the-Week Effects 0 2 30 166 0 10 59 356
Selecting from amongst Non-nested Conditional Variance Models: Information Criteria and Portfolio Determination 0 0 4 17 0 1 7 78
Testing for a Unit Root in a Process Exhibiting a Structural Break in the Presence of GARCH Errors 0 1 5 48 0 1 6 150
Testing for non-stationarity and cointegration allowing for the possibility of a structural break: an application to EuroSterling interest rates 0 0 1 44 0 0 4 107
The Effect of (Mis-Specified) GARCH Filters on the Finite Sample Distribution of the BDS Test 1 3 8 63 2 6 20 256
The Effect of Asymmetries on Optimal Hedge Ratios 4 12 40 182 6 15 63 362
The Impact of News on Measures of Undiversifiable Risk: Evidence from the UK Stock Market 0 0 5 23 0 1 16 114
The Long-Term Price-Earnings Ratio 0 1 15 41 1 14 66 192
The stock performance of America's 100 Best Corporate Citizens 1 1 1 1 13 22 22 22
The trading profitability of forecasts of the gilt-equity yield ratio 0 5 27 67 0 9 39 135
Trading Rules from Forecasting the Collapse of Speculative Bubbles for the S&P 500 Composite Index 0 4 23 70 1 6 31 168
Volatility forecasting for risk management 3 7 46 260 7 20 100 743
What Will Be the Risk-Free Rate and Benchmark Yield Curve following European Monetary Union? 1 2 26 148 13 29 162 705
Total Journal Articles 37 130 627 3,408 124 365 1,609 10,068

Book File Downloads Abstract Views
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