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
'Buying and Selling of Money for Time': Foreign Exchange and Interest Rates in Medieval Europe 0 0 1 28 0 1 5 41
A Microstructure Model for Spillover Effects in Price Discovery: A Study for the European Bond Market 0 0 0 103 0 0 0 199
A New Tool for Detecting Intraday Periodicities with Application to High Frequency Exchange Rates 0 1 1 49 0 1 1 153
A Three-Regime Model of Speculative Behaviour: Modelling the Evolution of Bubbles in the S&P 500 Composite Index 0 0 1 97 0 0 1 211
Advance Contracts for the Sale of Wool in Medieval England; An Undeveloped and Inefficient Market? 0 0 1 27 0 0 6 137
An EVT Approach to calculating Risk Capital Requirements 0 0 0 49 0 0 1 203
Are Investors Guided by the News Disclosed by Companies or by Journalists? 0 1 1 26 0 1 1 18
Augoregressive Conditional Kurtosis 0 0 0 52 0 0 0 152
Can Portemanteau Nonlinearity Tests Serve as General Mis-Specification Tests? Evidence from Symmetric and Asymmetric GARCH Models 0 0 0 1 0 0 0 467
Commodity Risk Factors and the Cross-Section of Equity Returns 0 1 2 47 0 1 2 116
Corporate Reputation and Stock Returns; are good firm good for investors? 0 0 2 77 1 3 7 247
Cross Hedging with Single Stock Futures 0 0 0 79 0 0 0 303
Decomposing the P/E Ratio 0 0 0 80 0 2 3 453
Did Long-Short Investors Destabilize Commodity Markets? 0 0 0 17 0 1 3 53
Did Purchasing Power Parity Hold in Medieval Europe? 0 1 2 88 0 1 2 67
Does More Detailed Information Mean Better Performance? An Experiment in Information Explicitness 0 0 0 105 0 0 0 49
Forecasting Turning Points in Real Estate Yields 0 0 0 33 0 0 1 70
Forecasting the Collapse of Speculative Bubbles: An Empirical Investigation of the S&P 500 Composite Index 0 0 1 111 0 0 2 259
Futures basis, inventory and commodity price volatility: An empirical analysis 0 0 1 104 5 8 13 309
Gambling on the S&P 500's Gold Seal: New Evidence on the Index Effect 0 0 0 33 0 0 0 148
Housing and equity bubbles: Are they contagious to REITs? 0 0 1 29 0 0 3 79
Interest in medieval accounts: Examples from England, 1272-1340 0 0 0 27 0 1 3 86
International Evidence of the Predictability of Prices of Securititised Real Estate Assets: Econometric Models versus Neural Networks 0 0 0 56 0 0 0 138
Intra-day Patterns in the Returns, Bidask Spereads, and Trading Volume of Stocks Traded on the New York Stock Exchange 0 0 1 92 0 0 1 255
Intrinsic and Rational Speculative Bubbles in the U.S. Housing Market 1960-2009 0 0 0 14 0 0 0 41
Leger est aprendre mes fort est arendre;: Wool, Debt and the Dispersal of Pipewell Abbey (1280 - 1330) 0 0 0 6 0 0 0 60
Linear and Non-Linear Transmission of Equity Return Volatility: Evidence From the US, Japan, and Australia 0 0 0 0 0 0 0 754
Low-Cost Momentum Strategies 0 0 1 33 0 0 1 134
Macroeconomic Influences on Property Returns 0 0 0 5 0 0 1 11
Measuring the Response of Macroeconomic Uncertainty to Shocks 0 0 0 109 0 0 0 286
Momentum Profits and Time-Varying Unsystematic Risk 0 0 0 54 0 0 0 261
Multivariate GARCH Models: Software Choice and Estimation Issues 0 0 0 166 0 0 1 368
On the Predictive Content of Leading Indicators: The Case of US Real Estate Markets 0 0 0 61 0 0 0 37
Optimal Hedging and the Value of News 0 0 0 1 0 0 2 628
Optimal Hedging with Higher Moments 0 0 0 65 0 0 0 151
Over the Moon or Sick as a Parrot? The Effect's of Football Results on a Club's Share Price 0 0 0 0 0 0 1 85
Over the Moon or Sick as a Parrot? The Effects of Football Results on a Club's Share Price 0 0 0 6 0 0 6 74
Speculative Bubbles and the Cross-Sectional Variation in Stock Returns 0 0 1 27 0 0 1 85
Speculative Bubbles in the S&P 500: Was the Tech Bubble Confined to the Tech Sector? 0 0 0 136 0 1 1 351
Testing for periodically collapsing rational speculative bubbles in US REITs 0 0 0 62 0 0 1 168
The Drivers of Cross Market Arbitrage Opportunities: Theory and Evidence for the European Bond Market 1 1 1 137 5 9 28 823
The Dynamics of Commodity Prices 0 0 1 12 0 0 3 64
The Extremes of the P/E Effect 0 0 0 45 0 1 1 219
The Impact of Corporate Social Performance on Financial Risk and Utility: A Longitudinal Analysis 0 0 0 22 0 0 8 135
The Impact of News on Measures of Undiversifiable Risk: Evidence from the UK Stock Market 0 0 1 52 0 0 2 440
The Integration of European and US Real Estate Markets 0 0 0 10 0 0 0 24
The Long-Term P/E Radio 0 0 0 53 0 0 1 371
The Negative Credit Risk Premium Puzzle: A Limits to Arbitrage Story 0 0 0 11 0 0 1 68
The S&P 500 Index Effect in Continuous Time: Evidence from Overnight, Intraday and Tick-by-Tick Stock Price Performance 0 0 1 104 0 0 1 381
The Statistical Properties of Hedge Fund Index Returns 0 0 1 136 0 0 6 450
The Stock Performance of America's 100 Best Corporate Citizens 0 0 0 55 0 0 0 230
The Value Premium and Time-Varying Unsystematic Risk 0 0 0 83 0 0 0 311
The interactive financial effects between corporate social responsibility and irresponsibility 0 0 0 22 0 0 1 72
The ‘Buying and Selling of Money for Time’: Foreign Exchange and Interest Rates in Medieval Europe 0 0 0 49 0 0 4 62
Time Varying Volatility and the Cross-Section of Equity Returns  0 0 0 33 0 0 1 122
Transaction Costs, Trading Volume and Momentum Strategies 0 0 1 78 0 1 3 243
Value at Risk and Market Crashes 0 0 0 86 0 0 0 177
Total Working Papers 1 5 23 3,143 11 32 130 11,899


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 0 0 0 539
A Note on Estimating Market–based Minimum Capital Risk Requirements: A Multivariate GARCH Approach 0 0 1 1 0 0 1 2
A Three-Regime Model of Speculative Behaviour: Modelling the Evolution of the S&P 500 Composite Index 0 0 0 89 0 0 2 245
A comparison of extreme value theory approaches for determining value at risk 0 0 1 193 0 0 4 453
A model for exchange rates with crawling bands--an application to the Colombian peso 0 0 0 53 0 2 3 205
A re-examination of the index effect: Gambling on additions to and deletions from the S&P 500's [`]gold seal' 0 0 2 64 1 3 6 196
A word of caution on calculating market-based minimum capital risk requirements 0 0 1 36 0 0 1 99
An alternative approach to investigating lead-lag relationships between stock and stock index futures markets 0 0 0 78 0 1 1 203
Are investors guided by the news disclosed by companies or by journalists? 0 0 0 3 0 0 0 11
Autoregressive Conditional Kurtosis 0 0 1 181 0 0 5 419
Benchmarks and the accuracy of GARCH model estimation 0 1 2 313 0 1 8 611
Bicorrelations and Cross-Bicorrelations As Non-linearity Tests and Tools for Exchange Rate Forecasting 0 0 0 0 0 1 3 154
Booms and Busts in Commodity Markets: Bubbles or Fundamentals? 0 0 1 12 0 0 1 41
Cambium non est mutuum: exchange and interest rates in medieval Europe 0 0 1 5 0 1 4 22
Can portmanteau nonlinearity tests serve as general mis-specification tests?: Evidence from symmetric and asymmetric GARCH models 0 0 0 28 0 0 0 115
Can profitable trading strategies be derived from investment best-sellers? 0 0 0 0 0 0 1 2
Can we explain the dynamics of the UK FTSE 100 stock and stock index futures markets? 0 0 0 211 0 0 0 1,361
Chaos in Foreign Exchange Markets: A Sceptical View 0 0 0 111 0 0 0 266
Commercial Real Estate and Equity Market Bubbles: Are They Contagious to REITs? 0 0 0 6 0 0 2 54
Commodity futures prices: More evidence on forecast power, risk premia and the theory of storage 1 3 4 31 1 6 7 109
Commodity risks and the cross-section of equity returns 0 0 0 1 0 0 0 3
Corporate Social Performance and Stock Returns: UK Evidence from Disaggregate Measures 0 2 2 86 2 7 16 302
Corporate Social Performance and Stock Returns: UK Evidence from Disaggregate Measures 0 0 0 0 1 3 19 573
Corporate Tax: What Do Stakeholders Expect? 0 0 0 3 0 2 2 28
Cross-correlations and cross-bicorrelations in Sterling exchange rates 0 0 0 37 0 0 0 125
Decomposing the price-earnings ratio 0 0 1 6 2 4 12 33
Detecting intraday periodicities with application to high frequency exchange rates 0 0 0 40 0 0 0 131
Did Purchasing Power Parity Hold in Medieval Europe? 0 1 2 5 0 1 2 29
Do investors care about corporate taxes? 0 0 1 79 0 2 6 269
Do long-short speculators destabilize commodity futures markets? 0 0 0 15 0 0 2 63
Does more detailed information mean better performance? An experiment in information explicitness 0 0 0 6 0 0 0 41
Does orthogonalization really purge equitybased property valuations of their general stock market influences? 0 0 0 9 0 0 0 92
Experience wears the trousers: Exploring gender and attitude to financial risk 0 0 1 12 0 1 6 55
Explaining abnormal returns in stock markets: An alpha-neutral version of the CAPM 0 0 0 3 1 2 5 14
Financial data science: the birth of a new financial research paradigm complementing econometrics? 0 0 0 4 0 0 1 22
Finite sample weighting of recursive forecast errors 0 0 0 2 0 1 2 42
Forecasting Models of Retail Rents 0 0 1 31 0 1 3 93
Forecasting exchange rate volatility using conditional variance models selected by information criteria 1 1 1 88 1 1 4 203
Forecasting real estate returns using financial spreads 0 0 0 1 0 0 0 5
Fundamental indexation revisited: New evidence on alpha 0 0 0 3 0 0 1 35
Futures basis, inventory and commodity price volatility: An empirical analysis 0 0 0 43 0 0 2 240
Gender and the evaluation of research 0 1 3 11 0 1 3 68
Hot and cold IPO markets: The case of the Stock Exchange of Mauritius 0 0 0 61 0 0 2 474
House price dynamics and their reaction to macroeconomic changes 1 1 9 77 3 4 20 240
Idiosyncratic volatility and the pricing of poorly-diversified portfolios 0 0 0 9 0 0 3 102
Information criteria for GARCH model selection 0 3 4 702 0 3 5 1,575
Institutional cross-ownership and corporate strategy: The case of mergers and acquisitions 0 1 7 76 6 8 46 338
Interest rates and efficiency in medieval wool forward contracts 0 1 1 54 0 2 4 204
International evidence on the predictability of returns to securitized real estate assets: econometric models versus neural networks 0 0 0 4 0 0 0 27
Intrinsic and Rational Speculative Bubbles in the US Housing Market: 1960-2011 0 0 1 91 0 0 2 240
Linear and non-linear transmission of equity return volatility: evidence from the US, Japan and Australia 0 0 1 91 0 0 1 238
Linkages between property asset returns and interest rates: evidence for the UK 0 0 0 118 0 0 1 298
Low-cost momentum strategies 0 0 1 3 0 0 3 10
Measuring the Response of Macroeconomic Uncertainty to Shocks 0 0 0 134 1 1 2 338
Medieval Property Investors, ca. 1300–1500 0 0 0 1 0 0 0 8
Modelling the Implied Volatility of Options on Long Gilt Futures 0 1 1 2 1 2 3 6
Momentum profits and time-varying unsystematic risk 0 0 0 51 0 0 4 364
Multivariate GARCH models: software choice and estimation issues 0 0 1 709 0 2 5 1,598
On the Predictive Content of Leading Indicators: The Case of U.S. Real Estate Markets 0 0 1 63 0 0 1 174
On the performance of the tick test 0 0 1 13 0 0 3 53
Optimal hedging with higher moments 0 0 0 0 0 0 1 41
Optimism, volatility and decision-making in stock markets 0 0 0 1 0 1 2 9
Over the moon or sick as a parrot? The effects of football results on a club's share price 0 0 3 35 1 1 11 184
Portmanteau Model Diagnostics and Tests for Nonlinearity: A Comparative Monte Carlo Study of Two Alternative Methods 0 0 0 45 0 0 0 259
Rational Speculative Bubbles: An Empirical Investigation of the London Stock Exchange 0 0 0 251 0 1 3 507
Seasonality in Southeast Asian stock markets: some new evidence on day-of-the-week effects 2 6 7 363 2 16 28 841
Selecting From Amongst Non–Nested Conditional Variance Models: Information Criteria and Portfolio Determination 0 0 0 0 0 0 0 2
Speculative Bubble Spillovers across Regional Housing Markets 0 0 2 13 1 1 5 77
Speculative bubbles and the cross-sectional variation in stock returns 1 1 1 17 1 1 2 86
Speculative bubbles in the S&P 500: Was the tech bubble confined to the tech sector? 0 0 1 94 0 2 5 397
Testing for a Unit Root in a Process Exhibiting a Structural Break in the Presence of GARCH Errors 0 1 4 69 0 1 4 219
Testing for bubbles in indirect property price cycles 0 0 1 2 0 0 2 4
Testing for non-stationarity and cointegration allowing for the possibility of a structural break: an application to EuroSterling interest rates 1 1 1 54 1 2 2 170
Tests of non‐linearity using LIFFE futures transactions price data 0 0 0 0 0 0 0 1
The Cross‐Currency Hedging Performance of Implied Versus Statistical Forecasting Models 0 0 0 2 0 0 0 8
The Effect of (Mis-Specified) GARCH Filters on the Finite Sample Distribution of the BDS Test 0 0 0 76 0 0 0 330
The Effect of Asymmetries on Optimal Hedge Ratios 1 1 4 401 1 3 7 876
The Effects of Corporate Social Performance on the Cost of Corporate Debt and Credit Ratings 0 4 8 54 4 17 44 169
The Financial Effects of Uniform and Mixed Corporate Social Performance 0 0 1 8 0 0 1 41
The Impact of Corporate Social Performance on Financial Risk and Utility: A Longitudinal Analysis 0 3 7 51 2 6 23 258
The Impact of Foreign Real Estate Investment on Land Prices: Evidence from Mauritius 0 0 1 8 0 2 6 66
The Impact of News on Measures of Undiversifiable Risk: Evidence from the UK Stock Market 0 0 0 36 0 0 1 165
The Long‐Term Price‐Earnings Ratio 0 0 0 42 0 0 0 132
The S&P500 index effect reconsidered: Evidence from overnight and intraday stock price performance and volume 3 3 4 133 7 8 11 480
The Value Premium and Time‐Varying Volatility 0 0 0 0 0 0 0 7
The credit crisis of 1294: causes, consequences and results 0 0 1 13 0 0 3 47
The credit relationship between Henry III and merchants of Douai and Ypres, 1247–70 0 0 0 1 0 0 2 21
The determinants of a cross market arbitrage opportunity: theory and evidence for the European bond market 0 0 0 11 0 0 0 69
The dynamics of commodity prices 0 0 2 16 0 3 8 85
The first real estate bubble? Land prices and rents in medieval England c. 1300–1500 1 1 1 1 1 1 2 2
The impact of economic and financial factors on UK property performance 0 1 7 93 0 3 12 194
The impact of personality traits on attitude to financial risk 0 2 17 31 5 10 44 105
The impacts of emotions and personality on borrowers’ abilities to manage their debts 1 1 2 7 1 5 7 24
The long-run performance of IPOs: the case of the Stock Exchange of Mauritius 0 0 0 18 0 0 0 101
The performance effects of composition changes on sector specific stock indices: The case of European listed real estate 0 0 0 6 0 0 2 39
The stock performance of America's 100 Best Corporate Citizens 0 0 2 47 0 1 5 233
The trading profitability of forecasts of the gilt-equity yield ratio 0 0 1 135 0 0 1 336
The underpricing of IPOs on the Stock Exchange of Mauritius 0 0 3 53 0 5 12 314
Threshold autoregressive and Markov switching models: an application to commercial real estate 1 2 3 24 1 2 4 66
Time-varying price discovery in the eighteenth century: empirical evidence from the London and Amsterdam stock markets 0 0 0 16 0 0 2 69
Tomorrow's fish and chip paper? Slowly incorporated news and the cross-section of stock returns 0 1 1 5 0 1 2 11
Topics and trends in finance research: What is published, who publishes it and what gets cited? 0 0 4 88 0 3 17 539
Trading Rules from Forecasting the Collapse of Speculative Bubbles for the S&P 500 Composite Index 0 0 0 141 1 1 3 373
Volatility forecasting for risk management 0 0 1 317 0 1 5 980
What will be the risk-free rate and benchmark yield curve following European monetary union? 0 0 0 192 0 0 0 1,129
When is a MAX not the MAX? How news resolves information uncertainty 0 0 0 4 1 2 4 26
When it comes to the crunch: Retail investor decision-making during periods of market volatility 0 1 2 7 1 7 16 28
Why are older investors less willing to take financial risks? 1 1 2 15 2 5 11 100
Why does research in finance have so little impact? 0 0 2 20 0 0 4 90
Why have UK universities become more indebted over time? 0 0 0 1 0 3 5 8
Total Journal Articles 15 46 150 7,176 53 178 569 24,178


Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Introductory Econometrics for Finance 0 0 0 0 4 11 63 487
RATS Handbook to Accompany Introductory Econometrics for Finance 0 0 0 0 16 33 213 1,695
RATS Handbook to Accompany Introductory Econometrics for Finance 0 0 0 0 0 2 19 395
Real Estate Modelling and Forecasting 0 0 0 0 4 9 34 400
Total Books 0 0 0 0 24 55 329 2,977


Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Testing for speculative bubbles in asset prices 0 0 0 28 0 0 5 76
Total Chapters 0 0 0 28 0 0 5 76


Statistics updated 2024-06-06