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 0 28 0 0 0 41
A Microstructure Model for Spillover Effects in Price Discovery: A Study for the European Bond Market 0 0 0 103 1 1 2 201
A New Tool for Detecting Intraday Periodicities with Application to High Frequency Exchange Rates 0 0 0 49 0 1 4 157
A Three-Regime Model of Speculative Behaviour: Modelling the Evolution of Bubbles in the S&P 500 Composite Index 0 0 0 97 0 0 1 212
Advance Contracts for the Sale of Wool in Medieval England; An Undeveloped and Inefficient Market? 1 1 1 28 1 1 3 140
An EVT Approach to calculating Risk Capital Requirements 0 0 0 49 0 0 1 204
Are Investors Guided by the News Disclosed by Companies or by Journalists? 0 0 0 26 0 0 0 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 0 0 47 0 0 0 116
Corporate Reputation and Stock Returns; are good firm good for investors? 0 0 1 78 0 1 7 253
Cross Hedging with Single Stock Futures 0 0 0 79 0 0 3 306
Decomposing the P/E Ratio 0 1 2 82 0 2 3 456
Did Long-Short Investors Destabilize Commodity Markets? 0 0 0 17 0 1 7 60
Did Purchasing Power Parity Hold in Medieval Europe? 0 0 0 88 0 2 3 70
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 1 3 73
Forecasting the Collapse of Speculative Bubbles: An Empirical Investigation of the S&P 500 Composite Index 0 0 0 111 0 1 1 260
Futures basis, inventory and commodity price volatility: An empirical analysis 0 0 0 104 1 7 13 317
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 0 29 0 0 1 80
Interest in medieval accounts: Examples from England, 1272-1340 0 0 0 27 0 1 2 88
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 0 92 0 0 1 256
Intrinsic and Rational Speculative Bubbles in the U.S. Housing Market 1960-2009 0 0 1 15 0 0 1 42
Leger est aprendre mes fort est arendre;: Wool, Debt and the Dispersal of Pipewell Abbey (1280 - 1330) 0 0 0 6 0 0 1 61
Linear and Non-Linear Transmission of Equity Return Volatility: Evidence From the US, Japan, and Australia 0 0 0 0 0 0 1 755
Low-Cost Momentum Strategies 0 0 0 33 0 0 2 136
Macroeconomic Influences on Property Returns 0 0 0 5 0 1 1 12
Measuring the Response of Macroeconomic Uncertainty to Shocks 0 0 0 109 0 0 2 288
Momentum Profits and Time-Varying Unsystematic Risk 0 0 0 54 0 1 2 263
Multivariate GARCH Models: Software Choice and Estimation Issues 0 0 0 166 0 1 4 372
On the Predictive Content of Leading Indicators: The Case of US Real Estate Markets 0 0 0 61 0 1 1 38
Optimal Hedging and the Value of News 0 0 0 1 0 1 3 631
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 2 7 92
Over the Moon or Sick as a Parrot? The Effects of Football Results on a Club's Share Price 0 2 3 9 0 2 3 77
Speculative Bubbles and the Cross-Sectional Variation in Stock Returns 0 0 0 27 0 0 0 85
Speculative Bubbles in the S&P 500: Was the Tech Bubble Confined to the Tech Sector? 0 0 2 138 0 0 2 353
Testing for periodically collapsing rational speculative bubbles in US REITs 0 0 0 62 0 0 1 169
The Drivers of Cross Market Arbitrage Opportunities: Theory and Evidence for the European Bond Market 0 1 5 141 6 9 26 844
The Dynamics of Commodity Prices 0 0 0 12 1 1 1 65
The Extremes of the P/E Effect 0 0 0 45 0 0 1 220
The Impact of Corporate Social Performance on Financial Risk and Utility: A Longitudinal Analysis 0 0 0 22 0 0 1 136
The Impact of News on Measures of Undiversifiable Risk: Evidence from the UK Stock Market 0 0 0 52 0 1 1 441
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 2 2 373
The Negative Credit Risk Premium Puzzle: A Limits to Arbitrage Story 0 0 0 11 0 0 0 68
The S&P 500 Index Effect in Continuous Time: Evidence from Overnight, Intraday and Tick-by-Tick Stock Price Performance 0 0 1 105 0 0 2 383
The Statistical Properties of Hedge Fund Index Returns 0 0 0 136 0 0 2 452
The Stock Performance of America's 100 Best Corporate Citizens 0 0 0 55 0 1 2 232
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 0 72
The ‘Buying and Selling of Money for Time’: Foreign Exchange and Interest Rates in Medieval Europe 0 0 0 49 0 0 0 62
Time Varying Volatility and the Cross-Section of Equity Returns  0 0 0 33 0 0 0 122
Transaction Costs, Trading Volume and Momentum Strategies 1 1 3 81 1 1 4 247
Value at Risk and Market Crashes 0 0 0 86 0 0 0 177
Total Working Papers 2 6 19 3,161 11 43 128 12,016


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 4 543
A Note on Estimating Market–based Minimum Capital Risk Requirements: A Multivariate GARCH Approach 0 0 0 1 0 0 0 2
A Three-Regime Model of Speculative Behaviour: Modelling the Evolution of the S&P 500 Composite Index 0 0 0 89 0 2 3 248
A comparison of extreme value theory approaches for determining value at risk 0 1 1 194 0 1 4 457
A model for exchange rates with crawling bands--an application to the Colombian peso 0 1 1 54 1 2 2 207
A re-examination of the index effect: Gambling on additions to and deletions from the S&P 500's [`]gold seal' 0 0 0 64 0 0 1 196
A word of caution on calculating market-based minimum capital risk requirements 0 0 0 36 0 0 3 102
An Extreme Value Theory Approach to Calculating Minimum Capital Risk Requirements 0 0 0 0 0 2 2 3
An alternative approach to investigating lead-lag relationships between stock and stock index futures markets 0 0 0 78 0 0 0 203
Are English football players overvalued? 0 0 0 1 0 0 5 6
Are investors guided by the news disclosed by companies or by journalists? 0 0 4 7 0 0 4 15
Autoregressive Conditional Kurtosis 0 0 0 181 0 0 1 420
Benchmarks and the accuracy of GARCH model estimation 0 0 0 313 1 1 1 612
Bicorrelations and Cross-Bicorrelations As Non-linearity Tests and Tools for Exchange Rate Forecasting 0 0 0 0 0 0 4 158
Booms and Busts in Commodity Markets: Bubbles or Fundamentals? 0 0 0 12 0 0 0 41
CEO overcaution and capital structure choices 0 1 4 4 0 3 10 10
Cambium non est mutuum: exchange and interest rates in medieval Europe 0 0 1 6 0 0 1 23
Can portmanteau nonlinearity tests serve as general mis-specification tests?: Evidence from symmetric and asymmetric GARCH models 0 0 1 29 0 1 2 117
Can profitable trading strategies be derived from investment best-sellers? 0 0 0 0 0 0 0 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 1 267
Commercial Real Estate and Equity Market Bubbles: Are They Contagious to REITs? 0 0 0 6 0 0 1 55
Commodity futures prices: More evidence on forecast power, risk premia and the theory of storage 0 1 4 34 0 1 8 116
Commodity risks and the cross-section of equity returns 0 0 0 1 0 0 1 4
Comparing perceptions of the impact of journal rankings between fields 0 0 1 3 0 0 5 11
Corporate Social Performance and Stock Returns: UK Evidence from Disaggregate Measures 2 3 7 93 10 18 41 341
Corporate Social Performance and Stock Returns: UK Evidence from Disaggregate Measures 0 0 0 0 1 1 15 587
Corporate Tax: What Do Stakeholders Expect? 0 0 0 3 0 0 3 31
Cross-correlations and cross-bicorrelations in Sterling exchange rates 0 0 0 37 0 0 0 125
Decomposing the price-earnings ratio 0 1 1 7 0 1 4 35
Detecting intraday periodicities with application to high frequency exchange rates 0 0 0 40 2 3 3 134
Did Purchasing Power Parity Hold in Medieval Europe? 0 0 1 6 0 0 1 30
Do investors care about corporate taxes? 0 0 3 82 0 1 8 277
Do long-short speculators destabilize commodity futures markets? 0 0 0 15 0 1 4 67
Do you follow your head or your heart? The simultaneous impact of framing effects and incidental emotions on investment decisions 0 0 1 1 1 4 10 11
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 1 10 0 0 1 93
Experience wears the trousers: Exploring gender and attitude to financial risk 0 0 0 12 2 2 6 61
Explaining abnormal returns in stock markets: An alpha-neutral version of the CAPM 0 0 1 4 0 0 2 15
Financial data science: the birth of a new financial research paradigm complementing econometrics? 0 0 0 4 0 1 1 23
Finite sample weighting of recursive forecast errors 0 0 0 2 0 1 3 45
Forecasting Models of Retail Rents 0 0 0 31 0 0 1 94
Forecasting exchange rate volatility using conditional variance models selected by information criteria 0 0 3 90 0 0 7 209
Forecasting real estate returns using financial spreads 0 0 0 1 1 3 3 8
Fundamental indexation revisited: New evidence on alpha 0 0 1 4 0 0 1 36
Futures basis, inventory and commodity price volatility: An empirical analysis 0 0 0 43 1 1 2 242
Gender and the evaluation of research 0 0 1 12 0 0 2 70
Hot and cold IPO markets: The case of the Stock Exchange of Mauritius 0 0 0 61 1 1 2 476
House price dynamics and their reaction to macroeconomic changes 1 3 5 81 1 3 9 246
Idiosyncratic volatility and the pricing of poorly-diversified portfolios 0 0 0 9 1 1 1 103
Information criteria for GARCH model selection 0 1 5 707 2 4 9 1,584
Institutional cross-ownership and corporate strategy: The case of mergers and acquisitions 0 0 3 79 1 3 21 353
Integration of International Office Markets and Signal Extraction 0 0 0 0 0 0 0 0
Interest rates and efficiency in medieval wool forward contracts 0 0 0 54 0 0 1 205
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 U.S. Housing Market: 1960-2011 1 1 1 1 1 4 4 4
Intrinsic and Rational Speculative Bubbles in the US Housing Market: 1960-2011 0 0 0 91 0 0 1 241
Linear and non-linear transmission of equity return volatility: evidence from the US, Japan and Australia 0 0 1 92 0 0 1 239
Linkages between property asset returns and interest rates: evidence for the UK 2 2 2 120 2 4 4 302
Low-cost momentum strategies 0 0 0 3 0 0 1 11
Measuring the Response of Macroeconomic Uncertainty to Shocks 0 0 1 135 0 0 4 341
Medieval Property Investors, ca. 1300–1500 0 0 0 1 0 0 0 8
Model Choice and Value-at-Risk Performance 0 0 0 0 0 1 2 2
Modelling the Implied Volatility of Options on Long Gilt Futures 0 0 0 2 0 1 4 9
Momentum profits and time-varying unsystematic risk 0 0 0 51 0 0 0 364
Multivariate GARCH models: software choice and estimation issues 0 0 0 709 0 0 2 1,600
On the Predictive Content of Leading Indicators: The Case of U.S. Real Estate Markets 0 0 1 64 0 2 3 177
On the Predictive Content of Leading Indicators: The Case of U.S. Real Estate Markets 0 0 1 1 0 0 1 1
On the performance of the tick test 0 0 0 13 0 2 2 55
Optimal hedging with higher moments 0 0 0 0 0 0 6 47
Optimism, volatility and decision-making in stock markets 0 0 0 1 0 0 0 9
Over the moon or sick as a parrot? The effects of football results on a club's share price 0 2 3 38 0 3 7 190
People are people: A comparative analysis of risk attitudes across Europe 0 0 0 0 0 3 5 5
Portmanteau Model Diagnostics and Tests for Nonlinearity: A Comparative Monte Carlo Study of Two Alternative Methods 0 0 0 45 1 1 2 261
Rational Speculative Bubbles: An Empirical Investigation of the London Stock Exchange 0 0 0 251 0 0 1 508
Seasonality in Southeast Asian stock markets: some new evidence on day-of-the-week effects 0 0 7 368 1 1 16 855
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 1 14 0 0 2 78
Speculative bubbles and the cross-sectional variation in stock returns 0 0 1 17 0 0 5 90
Speculative bubbles in the S&P 500: Was the tech bubble confined to the tech sector? 0 0 0 94 0 1 1 398
Testing for Periodically Collapsing Rational Speculative Bubbles in U.S. REITs 0 0 0 0 0 1 1 1
Testing for a Unit Root in a Process Exhibiting a Structural Break in the Presence of GARCH Errors 0 0 2 71 0 0 5 224
Testing for bubbles in indirect property price cycles 0 0 0 2 0 1 1 5
Testing for non-stationarity and cointegration allowing for the possibility of a structural break: an application to EuroSterling interest rates 0 0 1 54 0 0 1 170
Tests of non‐linearity using LIFFE futures transactions price data 0 0 0 0 0 2 4 5
The Cross‐Currency Hedging Performance of Implied Versus Statistical Forecasting Models 0 0 0 2 0 2 2 10
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 0 1 4 404 1 2 8 883
The Effect of Asymmetries on Stock Index Return Value‐at‐Risk Estimates 0 0 0 0 0 1 3 4
The Effects of Corporate Social Performance on the Cost of Corporate Debt and Credit Ratings 0 0 2 56 0 2 20 185
The Financial Effects of Uniform and Mixed Corporate Social Performance 0 0 0 8 0 1 1 42
The Impact of Corporate Social Performance on Financial Risk and Utility: A Longitudinal Analysis 0 0 5 56 0 6 24 280
The Impact of Foreign Real Estate Investment on Land Prices: Evidence from Mauritius 0 0 1 9 0 2 3 69
The Impact of News on Measures of Undiversifiable Risk: Evidence from the UK Stock Market 0 0 0 36 0 0 1 166
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 0 0 4 134 0 1 11 484
The Value Premium and Time‐Varying Volatility 0 0 0 0 0 0 2 9
The credit relationship between Henry III and merchants of Douai and Ypres, 1247–70 0 1 1 2 0 2 3 24
The cyclical relations between traded property stock prices and aggregate time‐series 1 1 1 1 1 1 1 2
The determinants of a cross market arbitrage opportunity: theory and evidence for the European bond market 0 0 0 11 0 0 2 71
The dynamics of commodity prices 0 0 2 18 0 0 4 89
The first real estate bubble? Land prices and rents in medieval England c. 1300–1500 0 0 1 1 0 3 7 8
The impact of economic and financial factors on UK property performance 0 0 3 96 0 1 8 202
The impact of personality traits on attitude to financial risk 0 0 5 36 4 7 31 131
The impacts of emotions and personality on borrowers’ abilities to manage their debts 0 1 2 8 1 5 9 32
The importance of staying positive: The impact of emotions on attitude to risk 1 3 5 8 2 5 13 21
The long-run performance of IPOs: the case of the Stock Exchange of Mauritius 0 0 0 18 0 1 1 102
The performance effects of composition changes on sector specific stock indices: The case of European listed real estate 0 0 0 6 0 0 0 39
The stock performance of America's 100 Best Corporate Citizens 0 0 0 47 0 0 0 233
The trading profitability of forecasts of the gilt-equity yield ratio 0 0 0 135 0 1 3 339
The underpricing of IPOs on the Stock Exchange of Mauritius 0 1 1 54 1 3 6 320
Threshold autoregressive and Markov switching models: an application to commercial real estate 0 0 1 24 0 0 3 68
Time-varying price discovery in the eighteenth century: empirical evidence from the London and Amsterdam stock markets 0 0 0 16 0 2 5 74
Tomorrow's fish and chip paper? Slowly incorporated news and the cross-section of stock returns 1 1 2 7 1 2 3 14
Topics and trends in finance research: What is published, who publishes it and what gets cited? 0 0 0 88 0 0 3 542
Trading Rules from Forecasting the Collapse of Speculative Bubbles for the S&P 500 Composite Index 0 0 1 142 0 0 3 375
Volatility forecasting for risk management 0 0 0 317 1 1 5 985
What will be the risk-free rate and benchmark yield curve following European monetary union? 0 0 0 192 0 1 1 1,130
When is a MAX not the MAX? How news resolves information uncertainty 0 0 0 4 0 0 2 27
When it comes to the crunch: Retail investor decision-making during periods of market volatility 1 2 3 10 1 4 14 41
Why are older investors less willing to take financial risks? 1 1 2 16 1 2 14 112
Why does research in finance have so little impact? 1 1 1 21 1 1 4 94
Why have UK universities become more indebted over time? 0 0 2 3 0 0 5 13
Total Journal Articles 12 30 121 7,275 46 148 535 24,632
1 registered items for which data could not be found


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 3 6 42 525
RATS Handbook to Accompany Introductory Econometrics for Finance 0 0 0 0 7 19 89 1,768
RATS Handbook to Accompany Introductory Econometrics for Finance 0 0 0 0 1 2 6 401
Real Estate Modelling and Forecasting 0 0 0 0 1 1 22 418
Total Books 0 0 0 0 12 28 159 3,112


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 1 29 0 1 2 78
Total Chapters 0 0 1 29 0 1 2 78


Statistics updated 2025-05-12