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 25 0 0 0 34
A Microstructure Model for Spillover Effects in Price Discovery: A Study for the European Bond Market 0 0 1 103 1 5 11 198
A New Tool for Detecting Intraday Periodicities with Application to High Frequency Exchange Rates 0 0 0 48 0 0 1 151
A Three-Regime Model of Speculative Behaviour: Modelling the Evolution of Bubbles in the S&P 500 Composite Index 0 0 0 95 0 3 3 208
Advance Contracts for the Sale of Wool in Medieval England; An Undeveloped and Inefficient Market? 0 0 0 24 0 0 0 126
An EVT Approach to calculating Risk Capital Requirements 0 0 0 49 0 0 0 202
Are Investors Guided by the News Disclosed by Companies or by Journalists? 0 0 0 25 0 0 0 17
Augoregressive Conditional Kurtosis 0 0 1 52 2 5 9 151
Can Portemanteau Nonlinearity Tests Serve as General Mis-Specification Tests? Evidence from Symmetric and Asymmetric GARCH Models 0 0 0 1 0 0 1 467
Commodity Risk Factors and the Cross-Section of Equity Returns 0 1 1 42 1 3 13 101
Corporate Reputation and Stock Returns; are good firm good for investors? 0 0 0 71 0 2 7 229
Cross Hedging with Single Stock Futures 0 0 0 79 1 1 9 303
Decomposing the P/E Ratio 0 1 1 79 0 3 4 434
Did Long-Short Investors Destabilize Commodity Markets? 0 0 0 17 0 0 2 49
Did Purchasing Power Parity Hold in Medieval Europe? 0 0 1 85 0 0 4 62
Does More Detailed Information Mean Better Performance? An Experiment in Information Explicitness 0 0 0 105 1 1 2 49
Forecasting Turning Points in Real Estate Yields 0 1 5 32 0 3 9 62
Forecasting the Collapse of Speculative Bubbles: An Empirical Investigation of the S&P 500 Composite Index 0 1 2 109 0 1 2 254
Futures basis, inventory and commodity price volatility: An empirical analysis 0 0 1 102 1 1 13 281
Gambling on the S&P 500's Gold Seal: New Evidence on the Index Effect 0 0 2 33 1 1 8 147
Housing and equity bubbles: Are they contagious to REITs? 0 1 2 27 0 1 6 67
Interest in medieval accounts: Examples from England, 1272-1340 0 0 0 27 1 1 1 79
International Evidence of the Predictability of Prices of Securititised Real Estate Assets: Econometric Models versus Neural Networks 0 0 0 56 0 0 1 138
Intra-day Patterns in the Returns, Bidask Spereads, and Trading Volume of Stocks Traded on the New York Stock Exchange 0 0 0 91 0 0 4 253
Intrinsic and Rational Speculative Bubbles in the U.S. Housing Market 1960-2009 0 0 2 14 0 0 7 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 58
Linear and Non-Linear Transmission of Equity Return Volatility: Evidence From the US, Japan, and Australia 0 0 0 0 0 0 1 750
Low-Cost Momentum Strategies 0 0 0 32 0 1 4 131
Macroeconomic Influences on Property Returns 0 0 0 5 0 0 0 10
Measuring the Response of Macroeconomic Uncertainty to Shocks 0 0 0 109 1 1 4 286
Momentum Profits and Time-Varying Unsystematic Risk 0 0 1 54 0 0 8 260
Multivariate GARCH Models: Software Choice and Estimation Issues 0 0 1 166 0 1 6 364
On the Predictive Content of Leading Indicators: The Case of US Real Estate Markets 0 1 3 60 0 1 4 36
Optimal Hedging and the Value of News 0 0 0 1 1 2 13 613
Optimal Hedging with Higher Moments 0 0 0 65 0 0 1 150
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 2 81
Over the Moon or Sick as a Parrot? The Effects of Football Results on a Club's Share Price 0 0 0 4 1 3 11 62
Speculative Bubbles and the Cross-Sectional Variation in Stock Returns 0 0 0 25 1 2 5 81
Speculative Bubbles in the S&P 500: Was the Tech Bubble Confined to the Tech Sector? 0 0 1 136 1 4 12 347
Testing for periodically collapsing rational speculative bubbles in US REITs 0 1 1 62 1 2 2 167
The Drivers of Cross Market Arbitrage Opportunities: Theory and Evidence for the European Bond Market 0 1 9 134 5 20 83 765
The Dynamics of Commodity Prices 0 0 0 11 0 3 10 53
The Extremes of the P/E Effect 0 0 0 45 1 1 2 217
The Impact of Corporate Social Performance on Financial Risk and Utility: A Longitudinal Analysis 0 0 0 17 4 8 20 93
The Impact of News on Measures of Undiversifiable Risk: Evidence from the UK Stock Market 0 0 0 51 0 0 1 436
The Integration of European and US Real Estate Markets 0 0 1 9 0 1 4 22
The Long-Term P/E Radio 0 0 0 51 1 1 1 366
The Negative Credit Risk Premium Puzzle: A Limits to Arbitrage Story 0 0 1 10 0 3 11 65
The S&P 500 Index Effect in Continuous Time: Evidence from Overnight, Intraday and Tick-by-Tick Stock Price Performance 0 0 0 102 0 1 2 376
The Statistical Properties of Hedge Fund Index Returns 0 0 0 133 0 2 9 440
The Stock Performance of America's 100 Best Corporate Citizens 0 0 0 55 0 3 6 229
The Value Premium and Time-Varying Unsystematic Risk 0 0 0 83 0 0 3 310
The interactive financial effects between corporate social responsibility and irresponsibility 0 0 1 22 1 1 4 70
The ‘Buying and Selling of Money for Time’: Foreign Exchange and Interest Rates in Medieval Europe 0 0 0 49 0 0 0 56
Time Varying Volatility and the Cross-Section of Equity Returns  0 0 0 33 1 2 5 121
Transaction Costs, Trading Volume and Momentum Strategies 0 1 4 74 4 7 15 234
Value at Risk and Market Crashes 1 2 6 85 1 2 7 172
Total Working Papers 1 11 48 3,080 33 103 373 11,524


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 2 3 11 533
A Note on Estimating Market–based Minimum Capital Risk Requirements: A Multivariate GARCH Approach 0 0 0 0 0 1 1 1
A Three-Regime Model of Speculative Behaviour: Modelling the Evolution of the S&P 500 Composite Index 0 0 1 89 0 0 3 243
A comparison of extreme value theory approaches for determining value at risk 0 0 2 184 0 1 9 440
A model for exchange rates with crawling bands--an application to the Colombian peso 0 0 0 51 1 1 2 198
A re-examination of the index effect: Gambling on additions to and deletions from the S&P 500's [`]gold seal' 0 1 1 62 3 6 7 185
A word of caution on calculating market-based minimum capital risk requirements 0 0 1 34 0 0 3 96
An alternative approach to investigating lead-lag relationships between stock and stock index futures markets 0 0 0 78 0 0 1 201
Are investors guided by the news disclosed by companies or by journalists? 0 0 0 2 0 0 0 10
Autoregressive Conditional Kurtosis 0 1 3 180 0 2 7 409
Benchmarks and the accuracy of GARCH model estimation 0 0 1 307 1 2 6 593
Bicorrelations and Cross-Bicorrelations As Non-linearity Tests and Tools for Exchange Rate Forecasting 0 0 0 0 0 4 6 149
Booms and Busts in Commodity Markets: Bubbles or Fundamentals? 0 0 2 8 0 1 5 33
Cambium non est mutuum: exchange and interest rates in medieval Europe 0 0 0 4 0 0 1 17
Can portmanteau nonlinearity tests serve as general mis-specification tests?: Evidence from symmetric and asymmetric GARCH models 0 0 0 28 0 2 3 114
Can profitable trading strategies be derived from investment best-sellers? 0 0 0 0 0 0 0 0
Can we explain the dynamics of the UK FTSE 100 stock and stock index futures markets? 0 0 2 211 0 1 6 1,358
Chaos in Foreign Exchange Markets: A Sceptical View 0 0 1 111 1 1 4 265
Commercial Real Estate and Equity Market Bubbles: Are They Contagious to REITs? 0 0 0 6 0 2 7 49
Commodity futures prices: More evidence on forecast power, risk premia and the theory of storage 0 2 3 25 1 5 7 95
Commodity risks and the cross-section of equity returns 0 0 0 0 0 0 0 0
Corporate Social Performance and Stock Returns: UK Evidence from Disaggregate Measures 0 0 0 0 4 8 21 504
Corporate Social Performance and Stock Returns: UK Evidence from Disaggregate Measures 0 0 2 79 1 4 21 268
Corporate Tax: What Do Stakeholders Expect? 0 0 1 2 0 0 8 23
Cross-correlations and cross-bicorrelations in Sterling exchange rates 0 0 0 37 2 2 2 122
Decomposing the price-earnings ratio 0 1 1 1 3 5 7 7
Detecting intraday periodicities with application to high frequency exchange rates 0 0 0 40 0 0 1 131
Did Purchasing Power Parity Hold in Medieval Europe? 0 0 0 3 0 0 5 27
Do investors care about corporate taxes? 4 8 20 62 5 9 53 217
Do long-short speculators destabilize commodity futures markets? 0 0 0 14 0 2 3 59
Does more detailed information mean better performance? An experiment in information explicitness 0 0 0 6 0 0 2 40
Does orthogonalization really purge equitybased property valuations of their general stock market influences? 0 0 0 9 0 1 3 92
Experience wears the trousers: Exploring gender and attitude to financial risk 0 0 5 10 0 0 11 38
Financial data science: the birth of a new financial research paradigm complementing econometrics? 0 0 0 3 1 4 9 15
Finite sample weighting of recursive forecast errors 0 0 0 2 1 1 14 38
Forecasting Models of Retail Rents 0 0 1 29 0 0 2 88
Forecasting exchange rate volatility using conditional variance models selected by information criteria 0 0 0 86 0 2 4 198
Forecasting real estate returns using financial spreads 0 0 0 0 0 0 0 4
Fundamental indexation revisited: New evidence on alpha 0 0 0 3 1 2 2 32
Futures basis, inventory and commodity price volatility: An empirical analysis 0 1 2 40 1 2 39 233
Gender and the evaluation of research 0 1 2 6 0 1 6 57
Hot and cold IPO markets: The case of the Stock Exchange of Mauritius 0 2 2 58 3 9 21 462
House price dynamics and their reaction to macroeconomic changes 0 2 8 51 5 11 25 172
Idiosyncratic volatility and the pricing of poorly-diversified portfolios 0 0 0 9 2 8 20 79
Information criteria for GARCH model selection 0 4 7 690 1 8 25 1,546
Institutional cross-ownership and corporate strategy: The case of mergers and acquisitions 2 3 12 53 6 15 61 230
Interest rates and efficiency in medieval wool forward contracts 0 0 1 53 0 1 4 199
International evidence on the predictability of returns to securitized real estate assets: econometric models versus neural networks 0 0 0 4 0 0 0 26
Intrinsic and Rational Speculative Bubbles in the US Housing Market: 1960-2011 0 1 3 88 1 2 10 232
Linear and non-linear transmission of equity return volatility: evidence from the US, Japan and Australia 0 0 0 89 0 0 2 231
Linkages between property asset returns and interest rates: evidence for the UK 0 0 1 114 0 2 4 291
Low-cost momentum strategies 0 0 1 1 0 1 5 5
Measuring the Response of Macroeconomic Uncertainty to Shocks 0 0 0 134 1 1 3 336
Medieval Property Investors, ca. 1300–1500 0 0 0 0 0 0 1 4
Modelling the Implied Volatility of Options on Long Gilt Futures 0 0 0 0 0 0 1 2
Momentum profits and time-varying unsystematic risk 0 1 1 51 2 15 39 343
Multivariate GARCH models: software choice and estimation issues 0 0 0 702 0 1 4 1,582
On the Predictive Content of Leading Indicators: The Case of U.S. Real Estate Markets 1 2 6 58 2 5 18 166
On the performance of the tick test 0 0 0 12 0 0 5 49
Optimal hedging with higher moments 0 0 0 0 1 1 3 35
Optimism, volatility and decision-making in stock markets 0 0 0 1 0 0 3 7
Over the moon or sick as a parrot? The effects of football results on a club's share price 0 0 4 23 3 10 29 154
Portmanteau Model Diagnostics and Tests for Nonlinearity: A Comparative Monte Carlo Study of Two Alternative Methods 0 0 0 45 0 0 1 259
Rational Speculative Bubbles: An Empirical Investigation of the London Stock Exchange 0 1 4 248 1 4 13 497
Seasonality in Southeast Asian stock markets: some new evidence on day-of-the-week effects 3 6 17 338 8 15 50 749
Selecting From Amongst Non–Nested Conditional Variance Models: Information Criteria and Portfolio Determination 0 0 0 0 0 0 2 2
Speculative Bubble Spillovers across Regional Housing Markets 0 0 1 11 0 0 3 70
Speculative bubbles and the cross-sectional variation in stock returns 0 0 4 13 0 1 12 73
Speculative bubbles in the S&P 500: Was the tech bubble confined to the tech sector? 1 1 3 91 2 4 26 379
Testing for a Unit Root in a Process Exhibiting a Structural Break in the Presence of GARCH Errors 0 0 6 62 0 2 13 203
Testing for bubbles in indirect property price cycles 0 0 0 1 0 0 0 2
Testing for non-stationarity and cointegration allowing for the possibility of a structural break: an application to EuroSterling interest rates 0 0 0 52 2 3 7 166
Tests of non‐linearity using LIFFE futures transactions price data 0 0 0 0 0 0 1 1
The Cross‐Currency Hedging Performance of Implied Versus Statistical Forecasting Models 0 0 0 2 0 0 1 8
The Effect of (Mis-Specified) GARCH Filters on the Finite Sample Distribution of the BDS Test 0 0 0 76 1 4 8 329
The Effect of Asymmetries on Optimal Hedge Ratios 0 1 7 392 1 4 30 857
The Effects of Corporate Social Performance on the Cost of Corporate Debt and Credit Ratings 0 1 3 31 1 3 10 91
The Financial Effects of Uniform and Mixed Corporate Social Performance 0 0 1 5 0 1 5 35
The Impact of Corporate Social Performance on Financial Risk and Utility: A Longitudinal Analysis 0 0 1 40 1 6 17 197
The Impact of Foreign Real Estate Investment on Land Prices: Evidence from Mauritius 0 0 1 7 1 2 6 43
The Impact of News on Measures of Undiversifiable Risk: Evidence from the UK Stock Market 0 0 0 36 0 1 1 164
The Long‐Term Price‐Earnings Ratio 0 0 0 41 0 1 6 129
The S&P500 index effect reconsidered: Evidence from overnight and intraday stock price performance and volume 2 2 6 125 2 7 19 454
The Value Premium and Time‐Varying Volatility 0 0 0 0 0 1 3 4
The credit crisis of 1294: causes, consequences and results 0 2 3 10 1 6 9 36
The credit relationship between Henry III and merchants of Douai and Ypres, 1247–70 0 0 0 1 0 1 2 19
The determinants of a cross market arbitrage opportunity: theory and evidence for the European bond market 0 0 0 10 0 0 3 66
The dynamics of commodity prices 1 1 3 13 3 5 16 71
The impact of economic and financial factors on UK property performance 3 3 16 77 8 9 38 165
The impact of personality traits on attitude to financial risk 2 2 2 2 6 8 8 8
The impacts of emotions and personality on borrowers’ abilities to manage their debts 0 1 4 4 0 1 7 7
The long-run performance of IPOs: the case of the Stock Exchange of Mauritius 0 1 5 14 5 11 23 85
The performance effects of composition changes on sector specific stock indices: The case of European listed real estate 1 2 2 5 1 3 3 35
The stock performance of America's 100 Best Corporate Citizens 0 0 0 45 0 1 7 220
The trading profitability of forecasts of the gilt-equity yield ratio 0 1 2 132 4 8 20 325
The underpricing of IPOs on the Stock Exchange of Mauritius 2 2 3 47 6 9 31 285
Threshold autoregressive and Markov switching models: an application to commercial real estate 0 0 1 20 0 1 4 56
Time-varying price discovery in the eighteenth century: empirical evidence from the London and Amsterdam stock markets 0 0 1 15 1 1 5 66
Tomorrow's fish and chip paper? Slowly incorporated news and the cross-section of stock returns 0 0 2 2 0 0 2 2
Topics and trends in finance research: What is published, who publishes it and what gets cited? 0 1 16 76 7 22 135 470
Trading Rules from Forecasting the Collapse of Speculative Bubbles for the S&P 500 Composite Index 0 0 0 141 0 1 3 369
Volatility forecasting for risk management 0 0 1 315 1 2 8 973
What will be the risk-free rate and benchmark yield curve following European monetary union? 0 0 1 190 0 0 22 1,126
When is a MAX not the MAX? How news resolves information uncertainty 0 0 1 4 0 2 8 18
Why are older investors less willing to take financial risks? 0 0 2 12 1 7 16 68
Why does research in finance have so little impact? 0 2 6 16 1 9 30 65
Total Journal Articles 22 60 222 6,770 120 331 1,219 22,580


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 9 45 124 207
RATS Handbook to Accompany Introductory Econometrics for Finance 0 0 0 0 38 144 373 936
Real Estate Modelling and Forecasting 0 0 0 0 2 9 63 335
Total Books 0 0 0 0 49 198 560 1,478


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 2 4 21 0 2 6 56
Total Chapters 0 2 4 21 0 2 6 56


Statistics updated 2022-01-05